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。
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.