價量關係之新解:量作為交易資訊異質性的指標

A New Theory of Price-Volume Relationship: Volume Acts as a Proxy of Heterogeneity of Trading Information

張雅惠(Ya-Hui Chang)

指導教授 ： 許溪南

台南應用科技大學/管理學院/商學與管理研究所/碩士(2007年)

摘要

過去有關股票價量關係的理論雖有五種假說，但並無一致性的看法，更重要的是，這些理論無法解釋為何在股價反轉或反彈時，成交量總是爆增數倍，甚至數十倍。本文最主要的目的在於提出一個股票價量關係的新假說：一般而言，股票成交量代表投資人對股票價格趨勢看法異質性的指標。明確言之，「在其他因素不變下，股票成交量增加代表投資人對於股票價格趨勢的看法愈分歧，股票成交量減少代表投資人對股票價格趨勢的看法愈一致。」
研究的結果強烈支持本文所提出之理論假說。首先，當股價在自谷底反彈或自高點反轉時，成交量均爆增數倍至數十倍；其次，股價自谷底反彈時的成交量增加的倍數與未來股價上漲的幅度成正相關，但股價自高點反轉時成交量增加的倍數與未來股價下跌的幅度並無關聯性；最後，股價在上漲或下跌過程中，其成交量均逐漸增加，足證成交量的增加代表投資人對股價趨勢的看法愈趨於分岐。
本研究所顯示的意義如下：本文是財務文獻中，最先提出有關價量關係，成交量代表投資人對價格趨勢看法是否分歧的指標。本理論有助於解釋為何在股價反轉或反彈時，成交量總是爆增數倍，甚至數十倍。這是其他理論所無法解釋者。本研究結果不僅對學術界具有新貢獻，也有助於投資人實務操作之參考。

關鍵字

價量關係 ； 反彈 ； 反轉 ； 交易資訊異質性 ； 價格趨勢

並列摘要

There are five hypotheses regarding price-volume relationship for securities in the previous literature. However, there is no consensus among these five theories. In particular, they cannot explain why the trading volume is always abruptly increasing several times even hundred times in the stock price rebounds or reversals. The main purpose of this thesis is to propose a new hypothesis for price-volume relationship: In general, the stock trading volume represents a signal of heterogeneity of trading information on stock trends. Specifically, “other things being equal, an increase in stock trading volume represents an increase in heterogeneity of investor trading information on stock trends, the more trading volume the more heterogeneous for the trading information on stock trends; conversely, a decrease in stock trading volume represents an increase in homogeneity of investor trading information on stock trends, the less trading volume the more homogeneity for the trading information on stock trends.”
The empirical evidences strongly support the theoretical hypothesis this thesis proposed. First of all, the trading volume abruptly increases several times to hundred times as stock price rebounds or reversals. Next, the multiple of stock trading volume increased as stock price rebounds from the bottom is positively related to the amplitude of rebound; however, the multiple of stock trading volume increased as stock price reverses from the peak is not necessarily correlated with the amplitude of reversal. And finally, in the processes of stock price increasing or decreasing, the stock trading volume is all increasing, indicating that a signal of increasing heterogeneity of trading information on stock trends.
The significance of this study is as follows: This thesis is the first one that proposes the price-volume relationship hypothesis that the stock trading volume represents a signal of heterogeneity of trading information on stock trends. This theory is helpful to explain why the trading volume is always abruptly increasing several times even hundred times in the stock price rebounds or reversals, which is not easily explained by other theories. Thus, the theory and results of this thesis not only contribute to the academics, but are also useful to the practices.

並列關鍵字

Price-Volume Relationship ； Stock Price Rebounds or Reversals ； Heterogeneity of Trading Information ； Stock Trends

參考文獻

一、中文文獻

王志誠（民91），隱藏性交易之研究－以台灣股市與美國股市為例，國立成功大學財務金融研究所未出版之碩士論文。

余尚武、陳逸謙 (民88)，「股價指數期貨的交易量、價格波動與到期期間之關係」，中華管理評論，2(4)，43-59。

吳清豐(民94），東亞各國家地區股市價量關係之研究，國立雲林科技大學管理研究所未出版之博士論文。

吳東安(民89)，股價波動與交易量之關係，暨南國際大學經濟學研究所未出版之碩士論文。