| 摘要註: |
本文調查台灣股票市場的極端交易量是否包含著未來股價走勢的訊息。Gervais, Kaniel and Mingelgrin (2001)發現在美國的股市中,個別股票經歷了不常有的高(低)交易量之後,在後續的一個月會有較高(低)的報酬發生,這個現象稱之為高交易量溢酬。本研究依據Gervais et al. (2001)的研究方法來探討台灣股票市場中,是否存在高交易量溢酬的現象。研究方法為把研究期間從1991年1月3日至2014年12月31日,區分為121個沒有重疊的交易區間。每個交易區間有50天,由前面49天的參考期間與最後一天的形成期間所組成。在形成期末,依據形成期當天的交易量區分出高、低交易量股票來形成零投資組合,並觀察這個投資組合在形成期間之後的1、10、20、30、50、以及100天的累積報酬變化。研究發現台灣股票市場中,僅中規模公司存在高交易量溢酬的現象,而大規模與小規模公司則沒有存在此現象。 This study investigates whether extreme trading activity contains information about the future evolution of stock prices in Taiwan stock market. Gervais, Kaniel and Mingelgrin (2001) find that individual stocks whose trading activity is unusually large (small) over periods of a day or a week, tend to experience large (small) returns over the subsequent month. This effect, which they refer to as the high-volume return premium. This study follows the methodology used by Gervais et al. (2001) to investigate whether the high-volume return premium exist in Taiwan stock market. We construct the daily sample by splitting the time interval between January 15, 1991, to December 31, 1996, into 121 nonintersecting trading intervals of 50 trading days. Each trading interval is split into a reference period and a formation period, which, respectively, consist of the first 49 days and the last day of the interval. At the end of the formation period, we form a zero investment portfolio based on the stock's trading volume classification for that trading interval. After the portfolios are formed, we observed cumulative returns for zero investment portfolio over the subsequent 1, 10, 20, 50, or 100 trading days. The results indicate that high-volume return premium only exist in the medium firms, but not exist in the large or small firms. |