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博碩士論文 etd-0522113-164519 詳細資訊
Title page for etd-0522113-164519
論文名稱
Title
搜尋量指數和台灣股票流動性與報酬率之研究
The Effect of Search Volume Index on Liquidity and Returns of Taiwan Stocks
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
45
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2013-06-11
繳交日期
Date of Submission
2013-06-24
關鍵字
Keywords
流動性、股票報酬、Carhart四因子模型、市場關注度、投資組合、搜尋量指數
Stock Returns, Liquidity, Carhart Four-Factor Model, Market Attention, Portfolios, Search Volume Index
統計
Statistics
本論文已被瀏覽 5710 次,被下載 908
The thesis/dissertation has been browsed 5710 times, has been downloaded 908 times.
中文摘要
本研究旨在探討Google趨勢中的搜尋量指數對於台灣股票市場中流動性與報酬率的相關性研究。發現Google搜尋量指數(SVI)不僅可以代表公司的知名度,也可以做為市場投資人的關注程度。以上市公司者為研究對象,其於2010年至2012年為研究期間。主要的方法是以每年的搜尋量指數變動大小分成相等的三個群組,觀察群組中的公司平均特性有無差異之處。在流動性方面,加入相關的控制變數,像是周轉率、報酬率等變數,觀察公司前一期的基本變數對下一期的流動性有無影響力。
實證結果發現,以搜尋量指數對台灣上市公司進行分類,各群組中確實有不同的平均特性,在流動性方面,台灣股票之非流動性,受到公司前一期的規模大小、報酬率等影響,而同時搜尋量大小也對股票流動性存在線性與非線性關係。
最後再分別CAPM模型、三因子模型、四因子模型,分析零和投資策略下的超額報酬,發現零和策略下的報酬主要是受到淨值市價比溢酬風險之影響,而股票報酬也會存在動能效應的特性。
網路搜尋量只是不僅受到網路使用者的注意以外,並且還和股票的交易活動有關,並且可以代表公司的知名度來進行相關的研究。
Abstract
The purpose of this research is to know Google search volume index and the relationship with liquidity and returns in Taiwan stock market. The target companies of this paper are the listed companies in the period from 2010 to 2012.
The main research method is based on their signed change in search volume on Google and compute three groups with an approximately equal number of stocks. The Empirical results show that the groups do have different average characteristics.
We employ a one-month lag structure to account for a possibly endogenous interdependence between a stock’s illiquidity and its trading activity, search volume index, or other control variables. Search volume index also appears to be related to liquidity.
The profitability of a zero-investment strategy which longs a portfolio with large signed changes in search volume index and shorts a portfolio with small signed changes are regressed on recognized risk factors by employing three different factor models: the CAPM model , the Fama three-factor model, and the Carhart four-factor model. We found the profitability is significantly positive related to book-to-market factor, and has the momentum effect.
Overall, we conclude that variation in search volume of a firm’s name is significantly related to trading activity and thus to investor recognition.
目次 Table of Contents
目錄
論文審定書 ......................................................... i
誌謝 .............................................................. ii
摘要 ............................................................. iii
Abstract ............................................................ iv
目錄 ............................................................... v
表目錄 ............................................................ vi
圖目錄 ............................................................ vi
第一章 緒論 ....................................................... 1
第一節 研究背景................................................................................................ 1
第二節 研究動機與目的.................................................................................... 4
第三節 研究架構................................................................................................ 5
第二章 文獻探討 ................................................... 6
第一節 探討與市場關注度相關的文獻............................................................ 6
第二節 影響股價報酬因子之文獻.................................................................... 8
第三章 研究方法 .................................................. 11
第一節 資料來源與變數定義.......................................................................... 11
第二節 投資組合分類方法.............................................................................. 13
第三節 Panel Data 模型 ................................................................................... 14
第四節 四因子模型.......................................................................................... 17
第四章 實證結果 .................................................. 20
第一節 敘述統計量.......................................................................................... 20
第二節 Panel 迴歸模型 ................................................................................... 26
第三節 網路搜尋與股票報酬率...................................................................... 31
第五章 結論與建議 ................................................ 34
第一節 結論...................................................................................................... 34
第二節 對後續研究者之建議.......................................................................... 36
參考文獻 .......................................................... 37
參考文獻 References
參考文獻
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38
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13. Fang, L. and Peress, J., (2009), “Media coverage and the cross-section of stock returns, “Journal of Finance, 64(5), pp. 2023–2052.
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16. Lo, A. W. and Wang, J. (2000), “Trading volume: Definitions, data analysis, and implications of portfolio theory,” Review of Financial Studies, 13(2),pp. 257–300.
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20. Sharpe, W. F. (1964), “Capital asset prices: a theory of market equilibrium under conditions of risk,” Journal of finance, 19, pp.425-442.
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