台灣與美國股市價量關係的分量迴歸分析

A Quantile Regression Analysis of Return-Volume Relation: Evidence from the Taiwan and U.S. Stock Exchanges

莊家彰(Chia-Chang Chuang) ； 管中閔(Chung-Ming Kuan)

《經濟論文》 33卷4期 (2005/12) Pp. 379-404

https://doi.org/10.29628/AEP.200512.0001

摘要

摘要本文利用分量迴歸來分析台灣和美國股市報酬率和成交量的關係。實證結果發現兩地股市的價量關係迥然不同。台灣股市的報酬率與成交量之間具有正向關係，呈現「價量齊揚」和「價跌量縮」的現象，而前者效果通常較顯著；但報酬率接近最大漲幅限制時，報酬率與成交量之間並無顯著關係，報酬率接近最大跌幅限制時，「價跌量縮」的現象甚至更強。相對於台灣，美國股市的報酬率與成交量則出現「價量齊揚」與「價量背離」互相對稱的”V”字關係。就實證方法而言，傳統以OLS方法估計的迴歸模型並無法得到上述的實證結果。進一步的分析顯示，融券成數的高低以及平盤以下不得放空等規定均是造成台灣股市出現「價跌量縮」的可能原因。

關鍵字

V字關係 ； 分量迴歸 ； 成交值 ； 成交量 ； 價量關係

並列摘要

We examine the relationship between the stock return and trading volume in the Taiwan and U.S. Stock Exchanges using quantile regression. The empirical results show that the return-volume relations in these two exchanges are quite different. For Taiwan data, there are significant positive return-volume relations across quantiles, showing that a large positive return is usually accompanied by a large trading volume and a large negative return with a small trading volume, yet the effect of the former is stronger. However, such relations change when returns approach the price limits. We also find that for U.S. data, return-volume relations exhibit symmetric V-shaped across quantiles, showing that a large return (in either sign) is usually accompanied by a large trading volume. On the other hand, linear regressions estimated by the ordinary least square method are unable to reveal such patterns. Further investigation shows that various restrictions on short sales in the Taiwan Stock Exchange may explain the difference between the return-volume relations in the Taiwan and U.S. data.

並列關鍵字

V-shaped pattern ； Quantile regression ； Dollar volume ； Share volume ； Return-volume relation

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