台灣股市日內效果之研究

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姓名

陳中怡(Chung-Yi Chen) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

台灣股市日內效果之研究
(The Study of Intraday Effect in Taiwan Stock Market)

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摘要(中)

在探討台灣股市的文獻中，大部分著眼於資訊不對稱理論的研究。在本篇文章中，嘗試採用存貨理論來檢測台灣股市，並且再次檢驗資訊不對稱理論。採用每年各股配對的樣本，並使用GMM的方法拆解波動性及價差。實證結果發現日內型態會受到市值及產業風險不同所影響。然而，與先前文獻不同的是，不同市值日內型態不同的原因並非由於資訊不對稱，甚至發現在大型公司中資訊不對稱的情形較小公司嚴重。此外，結論也無法斷言存貨因素是影響不同產業風險組別在收盤時波動性及價差不同的原因。

摘要(英)

Much of the currently available literature regarding the Taiwan stock market has focused on information asymmetry. In this paper, I will use the inventory factor to account for intraday patterns as well as to reexamine information asymmetry theory. Yearly pair-comparison and the GMM method are used directly to separate volatility and spread. The results from empirical evidence show that intraday pattern is affected by different market values and industry risks. However, contrary to previous research, the difference between market value groups is not a result of information asymmetry; even the information asymmetry factor is shown to be stronger in the large market value group. Also, distinct day-end effects caused by the inventory factor in different industry risk groups could not be confirmed in the empirical findings.

關鍵字(中)

★ 價差
★ 波動性
★ 存貨理論
★ 資訊不對稱理論
★ 日內效果

關鍵字(英)

★ Intraday Effects
★ Information Asymmetry Theory
★ Volatility
★ Spread
★ Inventory Theory

論文目次

List of Figures V
List of Tables VI
1 Introduction 1
2 Hypothesis 4
3 Data and Methodology 6
3.1 Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
3.2 Methodology . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
3.2.1 Intraday pattern for size . . . . . . . . . . . . . . . . . . . . . 6
3.2.2 Intraday pattern for industry risk . . . . . . . . . . . . . . . . 11
4 Empirical Result 13
4.1 Intraday pattern for size . . . . . . . . . . . . . . . . . . . . . . . . . 13
4.2 Intraday pattern for industry risk . . . . . . . . . . . . . . . . . . . . 18
5 Conclusion 22
A Rolling Industry Beta 24
Reference 42

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指導教授

賴弘能(Hung-Neng Lai)

審核日期

2006-6-30

推文