本論文以濾嘴法則應用在台灣股票市場，試圖揭露報酬率與成交量之間的關係。雖然在短期內可藉由過度反應獲取報酬，然而，報酬率與成交量的關係仍舊模糊不清，本篇引用的文獻並不足以解釋此研究的結果。另外，我們發現在近十年中，因流動性進行的交易，而非因資訊進行的交易，主導了台灣股票市場。 / This thesis uses filter rule on Taiwan stock market to uncover the relationship between return and volume change. Although the profits for overreaction in a short time horizon exist, the pattern of the combination of return and volume change is unclear. No theory mentioned in the literature seems to be able to fully explain the results in this study. Yet, we find that the liquidity trading, rather than information trading, dominates Taiwan stock market in recent decade.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0100351028 |
| Creators | 嚴浩祖 |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 中文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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