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題名：金融海嘯前後波動的動態條件相關下臺股價量關係與規模效應之影響
作者：魏石勇
作者(外文)：Shih-yung Wei
校院名稱：雲林科技大學
系所名稱：財務金融系博士班
指導教授：楊踐為
學位類別：博士
出版日期：2011
主題關鍵詞：規模傳遞效應；價量關係；EGARCH；Component GARCH；DCC-GARCH；DCC-GARCH；Component GARCH；EGARCH；firm size transmission effect；price-volume relationship
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新興市場的規模傳遞效應與價量關係過去一直很少人進行研究，主因為新興市場缺乏規模性的股票指數，為了建立規模指數，本研究擬臺灣股票市場(上市、上櫃)的公司為樣本，並以公司的市值當作公司規模的代理變數，按照本研究的期間將所有研究樣本(扣除成交量較低的5%)給與排序，分成10組(每組110家公司)，並利用加權股價的概念，計算出各類規模的指數，其中大型股指數則以最大公司規模組的指數代替，而小型股指數最小規模組的指數代替，中型股則排序在中間110家的公司計算出加權股價指數。
在有各類規模指數後，本研究則採用GARCH族模型中的EGARCH (Nelson(1991))、component GARCH (Engle and Lee(1999))、DCC-GARCH (Engle (2002))，進行規模傳遞效應以及價量關係的分析，並進一步探討金融海嘯前後(前期：2003/9/1~2006/8/31，後期：2007/9/1 ~ 2010/8/31)波動不對稱、長短期效果、價量關係以及規模傳遞效應的變化狀況。
研究結果發現，金融海嘯前期小型股指數不存在波動不對稱的狀況，並且在金融海嘯過後大型股及中型股的波動不對稱狀況顯著下降，但長期效果顯著增加，並且短期效果顯著減少，這反映出金融海嘯過後，臺灣的護盤政策有助於投資人恐慌性的減少，不過卻弱化了市場效率。
此外在價量關係及規模傳遞效應上，在金融海嘯前期臺灣股票市場的波動是呈現價先量行的狀況，並且規模訊息傳遞效應確是不顯著。在海嘯過後，價先量行或是量先價行並不存在，反而波動的規模訊息傳遞效應有顯著影響，此一研究結果將提供投資人一個投資決策建議即在不存在金融突發事件時，可以注意成交量的變化，而在金融突發事件後，則注意大規模指數來進行投資決策的判斷，將有利於投資獲益及風險的降低。
There are few researches for firm size transmission effect and price-volume relationship over the past in the emerging markets. Because they lack relevant information, for example firm size stock index. For research purpose, at first this study establishes firm size stock indexes. This research makes the sample that is stock market in Taiwan. The firm size of the proxy variable is the company of market price. During the all samples of the study period (delete 5% lower net volume) is divided into 10 groups (110 company / group). The concept of using the weighted price calculated the index of all sizes. The large stock index makes the largest group of firm size index. And the small stock index makes the smallest group of firm size index. The midcap stock index makes 110 in the middle are sort of company to computing the weighted stock price index.
The paper makes EGARCH (Nelson(1991))、component GARCH (Engle and Lee(1999))、DCC-GARCH (Engle (2002)) to analysis firm size transmission effect, price-volume relationship, asymmetric volatility and trend and transitory component volatility, and further comparative analysis of the changes the per- and post financial tsunami(the per-period: 2003/9/1- 2006/8/31, the post period: 2007/9/1- 2010/8/31).
The results showed that the small stock index does not exist asymmetric volatility before financial tsunami period. And after financial tsunami the asymmetric volatility are decreased significantly for large and midcap stock index. But the volatility of the long effect are increased significantly and the volatility of the short effect are decreased significantly. The reflections that the support of the market policy will help reduce fright of investors, but it weakened the market efficiency.
In the price-volume relationship and the firm size transmission effect, the volatility of Taiwan stock market render price leading volume, but the firm size transmission effect is not significant before financial tsunami. And after financial tsunami, the price leading volume or volume leading price is not significant; instead of the firm size transmission effect is significant. Results of this study will provide investors an investment decision suggested that in the absence of financial shocks, you can pay attention to changes in volume, but after the financial emergency, the attentions of the large stock index to determine the investment decisions will be is conducive to the investment of the profit and reduce risk.
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8.楊踐為與游淑禎，2003，「金融風暴前後亞洲股票市場波動性不對稱現象之研究」，管理學報，20(4), 805-827.
9.賴鈺城、張純明、廖敏齡與黃景琳，2008，「台指現貨、台指期貨與摩根台指期貨價量關係之探討－GARCH模型之應用」，華人經濟研究，6(2),18-34。new window
10.劉映興與陳家彬，2002，「臺灣股票市場交易值、交易量與發行量加權股價指數關係之實證研究－光譜分析之應用」，農業經濟半年刊，72，65-87。
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