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題 名 | 探討週轉率對價量波動的連動性及其成因分析--以富邦科技ETFs成分股為例=Examining Transmission Effects and Causes of Turnover Ratios and Price-volume Volatilities for the Undelying Stock of Fubun Technology ETFs |
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作 者 | 黃寶玉; 倪衍森; 劉程睿; | 書刊名 | 財金論文叢刊 |
卷 期 | 13 2010.12[民99.12] |
頁 次 | 頁45-58 |
分類號 | 563.54 |
關鍵詞 | 週轉率; 成交量波動性; 股價波動性; Turnover ratio; Volume volatilities; Price volatilities; |
語 文 | 中文(Chinese) |
中文摘要 | 高週轉率爲台股特色,表示投資人不欲長期持有,那麼週轉率對價量波動是否存有連動性,爲本研究所欲探討的課題;相關文獻對於波動性有不少的著墨,然而週轉率對價量波動性存有正向連動性是否爲普遍的現象,若是有些公司有,有些公司沒有此一現象,則此種正向連動性是否與公司治理或財報因素有關,在這方面反而鮮少爲人所探討。以佔台股權值較高之電子重量級標的之富邦科技ETFs成分股中,本研究發現週轉率對價量波動具有正向連動性,存在於低負債比率、高存貨週轉率的公司,亦爲即使投資人進行短線交易,也會考量此投資標的之風險性,並非不考量基本面而去追逐人云亦云之投資標的。 |
英文摘要 | High turnover ratio is one of the characteristics of trading stocks in TSE, and it means that investors are unwilling to hold stocks for a long period of time. Thus, whether turnover ratio would transmit to price (volume) volatilities might be a worthwhile topic to investigate in this study. Although several lilteratures involve in transmission topics in the area of finance and econmics, however the facts of positive transmission from turnover to price (volume) volatilities are seldom to examine, and whether the factors related to financial reports and corporation governance will affect the above phenomena is still a question mark. In this study, we find that the facts of positive transmission from turnover to price (volume) volatilities are low debt ratio and high inventory ratio by employing the data of the underlying stocks of Fubon Taiwan Technology ETTs. This phenomenon is beyond our cognition since we consider individual investors would invest so called "hot" stocks without concerning the fundamental aspect of trading stocks. |
本系統中英文摘要資訊取自各篇刊載內容。