本⽂以分量迴歸模型結合臺灣類股指數進⾏價量分析，有別於過去⽂獻多以⼤
盤為研究對象，本⽂使⽤類股指數針對國內產業進⾏分析。這樣的做法不僅可 以捕捉不同產業投資者對於訊息反應的差異性之外，亦不會出現使⽤個股資料 進⾏價量關係研究時，容易發⽣雜訊過多導致估計缺乏統計效率的問題。本⽂
主要結論可歸納成以下三點：
ㄧ、採之實證結果顯⽰：若使⽤最⼩平⽅法，則僅有電⼦產業具有顯著正向價 量關係，其餘類股皆無顯著價量關係 ; 但採⽤分量迴歸模型分析之實證結 果則顯⽰，個別類股皆在報酬率為正時出現「價量⿑揚」、報酬率為負時 出現「價量背離」的情形。也就是說，分量迴歸模型讓我們更能清楚看出 在每個分量上之價量關係，⽽不只是價量之間的平均關係，此點與莊家彰 與管中閔 (2005) 研究臺灣與美國⼤盤指數之結果⼀致。
⼆、本⽂資料選取漲跌幅限制皆在 7 %的期間，⽽在同樣的交易機制底下，接 近漲跌幅限制時不同產業的價量關係反應不⼀：漲幅限制會破壞⽔泥窯業、
⾷品業、電⼦業、造紙業與營造業的價量⿑揚效果 ; ⽽跌幅限制則會影響
⽔泥窯業、紡織業、造紙業與營造業的價量背離效果。推測其主要原因應 為：漲跌幅限制將使得「量」變數所夾帶的訊息流被阻斷，導致各類股在 極端分量 (接近漲跌幅限制時) 會有異於在⾮極端分量上之價量關係。
三、加⼊衡量資訊不對稱程度的代理變數後，雖無改變各⼤類股價量⿑揚、價 量背離的⾛勢，但資訊不對稱程度相對較⾼的產業，在正報酬時會出現股 價反應不⾜的情形，⽽報酬為負時則會出現股價過度反應。相較之下，資 訊不對稱程度較⼩的產業，價量關係的改變並不明顯。
綜觀本⽂主要實證結果，另⼀部份與既存⽂獻 (莊家彰與管中閔，2005) 的觀察
⼀致，另⼀部分則為本⽂⾸創之模型設計所得到的結果 : 產業類股間的差異化
這些研究成果將令投資⼤眾、證券業者以及政策制訂者都能對臺灣產業類股之 價量關係有更明確的解讀。
⽽在本⽂進⾏實證研究的過程中，以三⼤法⼈持股總額與該類股市值⽐作 為資訊不對稱代理變數，但亦有研究顯⽰不同類型之法⼈機構投資者，具有的 資訊優勢程度不⼀。過去⽂獻常以資訊交易機率 (PIN) 作為衡量私有資訊的機 率，⽽外資經常被視為資訊交易優勢者，因此亦能以外資持股⽐佔該產業市值
⽐作為衡量資訊不對稱程度，本⽂將外資持股⽐之基本統計量置於附錄。 此外，
不同類型之法⼈機構偏好投資之標的也有所不同，因此後續研究或許能將三⼤
法⼈持股進⾏區別，進⾏資訊不對稱與價量關係的相關研究。
參考⽂獻
中⽂⽂獻
莊家彰、管中閔，2005。台灣與美國股市價量關係的分量迴歸分析，經濟論
⽂，第 34卷第 4 期，379 – 404 ⾴。
盧陽正，2007，不同類型投資⼈委託資訊與成交揭⽰資訊之透明度與優勢資訊 內涵─以台灣證券交易所掛牌交易公司逐筆資料解析，中華民國證卷商業同 業公會委託專題研究。
英⽂⽂獻
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Bachelier, L., “Theory of Speculation.” Paris: Gauthier-Villars, 1900.
Bagehot, W., “The only game in town.” Financial Analyst Journal, 27 (1971), 12 – 22.
Barber, B. et al., “Just how much do individual investors lose by trading?” The review
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Beaver, W. H., “The Information Content of Annual Earnings Announcement.”
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Clark, P. K., “A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices.” Econometrica, 41 (Jan., 1973), 135 – 155.
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Hiemstra, C. and Jones, J. D., “Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation.” The Journal of Finance, 49 (1994), 1639 – 1664.
Jaffe, J. F., and Winkler, R. J., “Optimal speculation against an efficient market.”
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Karpoff, J. M., “The Relation Between Price Changes and Trading Volume: A
Survey.” The Journal of Financial and Quantitative Analysis, 22 (Mar., 1987), 109 – 126.
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Koenker, R. and Hallock, K.F., “Quantile Regression,” Journal of Economic
Perspectives, 15 (2001), 143 – 156.
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表1 ⼋⼤類股樣本統計量與單根檢定
成交量 7.95 10.32 10.34 12.83 0.7 0.08 0.03 -23.00*** -7.58***
成交值 10.93 13.63 13.64 16.55 0.85 0.04 -0.06 -18.60*** -6.88***
週轉率 0.05 0.35 0.49 3.73 0.44 0.24 3.85 -25.87*** -8.85***
成交量 7.86 10.55 10.56 12.91 0.71 -0.02 -0.5 -19.97*** -7.31***
成交值 10.63 13.94 13.87 16.87 1.07 -0.18 -0.19 -11.84*** -5.13***
週轉率 0.02 0.51 0.81 8.03 0.92 2.99 11.41 -17.42*** -7.04***
成交量 9.1 11.95 11.93 13.79 0.66 -0.52 0.83 -18.38*** -7.63***
成交值 12.68 15.51 15.48 17.41 0.68 -0.47 0.45 -16.41*** -7.18***
週轉率 0.07 0.62 0.83 4.91 0.66 1.82 3.95 -21.47*** -8.96***
成交量 9.27 11.51 11.49 13.68 0.77 -0.05 -0.51 -18.82*** -7.66***
成交值 11.8 14.54 14.58 17.75 1.02 0.1 -0.41 -14.75*** -6.30***
週轉率 0.04 0.54 0.81 7.55 0.77 2.16 6.02 -20.96*** -7.77***
法⼈佔⽐ 0.08 0.21 0.19 0.35 0.04 -0.35 -0.66 -2.14 -2.25
續表1 ⼋⼤類股樣本統計量與單根檢定
成交量 9.52 13.92 13.37 15.47 1.27 -0.87 -0.55 -10.92*** -4.22***
成交值 13.12 17.72 17.19 19.36 1.24 -0.96 -0.22 -9.28*** -4.24***
週轉率 0.13 0.83 1.1 5.5 0.77 1.77 3.54 -20.59*** -7.61***
報酬率 -6.99 -0.04 0 6.67 2.063 -0.105 1.736 -76.136*** -17.882***
成交量 6.32 9.9 9.9 12.6 0.89 -0.02 -0.39 -22.33*** -7.95***
成交值 10.98 14.32 14.24 17.21 1.03 -0.41 0.02 -11.47*** -5.42***
週轉率 0.07 0.68 0.91 7.37 0.77 1.95 5.52 -23.12*** -8.35***
成交量 8.34 12.45 12.14 14.95 1.18 -0.77 -0.01 -18.03*** -6.67***
成交值 12.24 15.75 15.76 18.16 0.76 -0.22 0.49 -21.28*** -8.05***
週轉率 0.01 0.33 0.47 3.38 0.4 2.33 6.96 -25.11*** -10.08***
表2 個別類股跨期報酬率與週轉率 斜率估計結果
0.01 -1.745 (0.000)*** -1.792 (0.000)*** -1.436 (0.000)*** 0.277 (0.001)***
0.05 -2.509 (0.000)*** -1.730 (0.000)*** -0.902 (0.001)*** -0.514 (0.005)***
0.1 -1.476 (0.000)*** -1.184 (0.000)*** -0.812 (0.000)*** -0.660 (0.000)***
0.15 -1.090 (0.000)*** -0.856 (0.000)*** -0.633 (0.000)*** -0.569 (0.000)***
0.2 -0.967 (0.000)*** -0.667 (0.000)*** -0.491 (0.000)*** -0.637 (0.000)***
0.25 -0.782 (0.000)*** -0.589 (0.000)*** -0.436 (0.000)*** -0.496 (0.000)***
0.3 -0.574 (0.000)*** -0.473 (0.000)*** -0.325 (0.001)*** -0.381 (0.001)***
0.35 -0.389 (0.003)*** -0.260 (0.015)** -0.245 (0.007)*** -0.309 (0.002)***
0.4 -0.282 (0.011)** -0.216 (0.032)** -0.135 (0.075)* -0.237 (0.008)***
0.45 -0.232 (0.090)* -0.088 (0.381) -0.094 (0.168) -0.151 (0.146) 0.5 -0.159 (0.144) 0.046 (0.644) -0.055 (0.451) -0.074 (0.463) 0.55 -0.026 (0.833) 0.115 (0.198) 0.000 (1.000) 0.024 (0.808)
續表2 個別類股跨期報酬率與週轉率 斜率估計結果
0.01 0.032 (0.858) -0.619 (0.001)*** -0.716 (0.000)*** -3.935 (0.000)***
0.05 -0.290 (0.272) -1.261 (0.000)*** -1.134 (0.000)*** -2.159 (0.000)***
0.1 -0.423 (0.018)** -0.892 (0.000)*** -1.060 (0.000)*** -1.448 (0.000)***
0.15 -0.367 (0.010)*** -0.769 (0.000)*** -0.858 (0.000)*** -1.073 (0.000)***
0.2 -0.168 (0.114) -0.568 (0.000)*** -0.576 (0.000)*** -0.850 (0.000)***
0.25 -0.105 (0.273) -0.484 (0.000)*** -0.441 (0.000)*** -0.592 (0.000)***
0.3 -0.081 (0.345) -0.380 (0.000)*** -0.349 (0.000)*** -0.473 (0.003)***
0.35 -0.027 (0.743) -0.312 (0.000)*** -0.220 (0.001)*** -0.247 (0.090)*
0.4 0.028 (0.713) -0.243 (0.000)*** -0.156 (0.010)*** -0.097 (0.447) 0.45 0.046 (0.471) -0.170 (0.017)** -0.072 (0.267) -0.026 (0.805) 0.5 0.072 (0.337) -0.072 (0.334) 0.022 (0.742) 0.050 (0.696)
表3 個別類股法⼈持股佔⽐與週轉率交乘項 基本統計量
類股 極⼩值 第⼀分位 中位數 平均數 第三分位 極⼤值
電⼦業 3.355 20.09 25.46 27.84 32.75 87.44
塑膠化⼯業 2.044 6.266 9.518 11.77 15.4 58.69
營造業 0.429 3.313 6.244 8.833 11.25 66.9
紡織業 1.104 3.433 5.795 7.835 10.02 70.57
⾦融業 0.937 4.237 6.084 7.666 9.337 51.87
⽔泥窯業 0.442 2.669 4.634 6.838 8.973 58.96
造紙業 0.236 1.541 3.161 5.323 6.37 79.93
⾷品業 0.089 0.36 0.657 1.075 1.452 8.962
表4 ⽔泥窯業跨期報酬率與週轉率、法⼈持股佔⽐ 斜率估計結果
0.05 -1.915 (0.001)*** 0.6 0.040 (0.825)
-0.058 (0.110) 0.006 (0.488)
0.1 -0.939 (0.003)*** 0.65 0.183 (0.351)
-0.040 (0.045)** 0.009 (0.348) 0.15 -0.880 (0.000)*** 0.7 0.432 (0.047)**
-0.025 (0.073)* 0.012 (0.247) 0.2 -0.742 (0.000)*** 0.75 0.578 (0.007)***
-0.014 (0.183) 0.021 (0.045)**
0.25 -0.686 (0.000)*** 0.8 0.870 (0.008)***
-0.008 (0.408) 0.020 (0.138)
0.3 -0.505 (0.022)** 0.85 1.311 (0.000)***
-0.009 (0.378) 0.023 (0.161)
0.35 -0.297 (0.115) 0.9 1.614 (0.000)***
-0.008 (0.365) 0.036 (0.105)
0.4 -0.159 (0.253) 0.95 1.632 (0.000)***
-0.010 (0.149) 0.068 (0.000)***
0.45 -0.151 (0.169) 0.99 1.539 (0.000)***
-0.007 (0.285) 0.076 (0.003)***
0.5 -0.149 (0.304)
-0.001 (0.910)
表5 ⾷品業跨期報酬率與週轉率、法⼈持股佔⽐ 斜率估計結果
0.05 -1.387 (0.176) 0.6 0.243 (0.355)
-0.152 (0.698) -0.024 (0.791)
0.1 -1.177 (0.037)** 0.65 0.313 (0.277)
-0.004 (0.983) -0.017 (0.864)
0.15 -0.896 (0.050** 0.7 0.395 (0.226)
0.020 (0.903) -0.013 (0.908)
0.2 -1.044 (0.003)*** 0.75 0.618 (0.088)
0.143 (0.250) -0.025 (0.839)
0.25 -0.881 (0.001)*** 0.8 0.843 (0.087)*
0.105 (0.265) -0.012 (0.940)
0.3 -0.674 (0.048)** 0.85 1.398 (0.003)***
0.073 (0.512) -0.135 (0.415)
0.35 -0.343 (0.256) 0.9 1.313 (0.011)**
0.030 (0.764) -0.008 (0.966)
0.4 -0.338 (0.215) 0.95 2.130 (0.016)**
0.042 (0.653) -0.171 (0.573)
0.45 -0.168 (0.549) 0.99 2.219 (0.129)
0.023 (0.801) -0.209 (0.683)
0.5 0.178 (0.518)
-0.047 (0.602)
表6 塑膠化⼯業跨期報酬率與週轉率、法⼈持股佔⽐ 斜率估計結果
0.05 -1.096 (0.146) 0.6 0.050 (0.808)
0.013 (0.680) 0.004 (0.684)
0.1 -0.922 (0.027)** 0.65 0.120 (0.621)
0.008 (0.701) 0.003 (0.742)
0.15 -0.660 (0.054)* 0.7 0.435 (0.088)*
0.001 (0.941) -0.006 (0.591)
0.2 -0.460 (0.092)* 0.75 0.593 (0.016)**
-0.002 (0.889) -0.011 (0.312)
0.25 -0.441 (0.058)* 0.8 0.710 (0.045)**
0.000 (0.987) -0.009 (0.525)
0.3 -0.434 (0.057)* 0.85 1.368 (0.000)***
0.006 (0.564) -0.022 (0.155)
0.35 -0.447 (0.035)** 0.9 1.748 (0.000)***
0.010 (0.292) -0.033 (0.061)*
0.4 -0.310 (0.093)* 0.95 3.578 (0.000)***
0.008 (0.304) -0.105 (0.000)***
0.45 -0.236 (0.172) 0.99 3.604 (0.000)***
0.006 (0.411) -0.140 (0.001)***
0.5 -0.173 (0.361)
0.006 (0.501)
表7 紡織業跨期報酬率與週轉率、法⼈持股佔⽐ 斜率估計結果
0.05 -0.801 (0.006)*** 0.6 0.295 (0.302)
0.016 (0.548) -0.011 (0.449)
0.1 -0.868 (0.007)*** 0.65 0.363 (0.139)
0.015 (0.511) -0.007 (0.587)
0.15 -1.098 (0.002)*** 0.7 0.399 (0.259)
0.029 (0.091)* -0.008 (0.647)
0.2 -0.698 (0.053)* 0.75 0.875 (0.063)*
0.004 (0.844) -0.027 (0.254)
0.25 -0.612 (0.083)* 0.8 1.200 (0.001)***
0.007 (0.700) -0.035 (0.079)*
0.3 -0.367 (0.229) 0.85 1.735 (0.001)***
-0.001 (0.937) -0.053 (0.056)*
0.35 -0.292 (0.306) 0.9 1.547 (0.000)***
-0.001 (0.958) -0.028 (0.228)
0.4 -0.121 (0.616) 0.95 1.029 (0.000)***
-0.008 (0.549) -0.002 (0.932)
0.45 -0.075 (0.773) 0.99 -0.102 (0.755)
-0.006 (0.691) 0.051 (0.005)***
0.5 0.018 (0.944)
-0.005 (0.739)
表8 電⼦業跨期報酬率與週轉率、法⼈持股佔⽐ 斜率估計結果
0.05 -1.952 (0.000)*** 0.6 0.043 (0.783)
0.066 (0.000)*** 0.006 (0.154)
0.1 -1.936 (0.000)*** 0.65 0.193 (0.285)
0.061 (0.000)*** 0.001 (0.819) 0.15 -1.521 (0.000)*** 0.7 0.594 (0.003)***
0.048 (0.000)*** -0.009 (0.067)*
0.2 -1.198 (0.000)*** 0.75 0.826 (0.000)***
0.039 (0.000)*** -0.016 (0.002)***
0.25 -0.905 (0.000)*** 0.8 1.302 (0.000)***
0.032 (0.000)*** -0.029 (0.000)***
0.3 -0.884 (0.000)*** 0.85 1.792 (0.000)***
0.031 (0.000)*** -0.043 (0.000)***
0.35 -0.781 (0.000)*** 0.9 2.669 (0.000)***
0.029 (0.000)*** -0.066 (0.000)***
0.4 -0.592 (0.000)*** 0.95 3.381 (0.000)***
0.026 (0.000)*** -0.086 (0.000)***
0.45 -0.450 (0.000)*** 0.99 3.417 (0.000)***
0.022 (0.000)*** -0.087 (0.003)***
0.5 -0.410 (0.001)***
0.019 (0.000)***
表9 造紙業跨期報酬率與週轉率、法⼈持股佔⽐ 斜率估計結果
0.05 -2.616 (0.001)*** 0.6 0.652 (0.005)***
0.163 (0.033)** -0.060 (0.0070***
0.1 -2.042 (0.000)*** 0.65 0.812 (0.017)**
0.118 (0.000)*** -0.063 (0.040)**
0.15 -1.444 (0.002)*** 0.7 1.468 (0.000)***
0.060 (0.146) -0.108 (0.001)***
0.2 -0.885 (0.017)** 0.75 1.671 (0.000)***
0.031 (0.342) -0.114 (0.001)***
0.25 -0.591 (0.031)** 0.8 1.810 (0.000)***
0.011 (0.675) -0.114 (0.001)***
0.3 -0.432 (0.058)* 0.85 2.039 (0.000)***
0.006 (0.792) -0.114 (0.017)**
0.35 -0.317 (0.153) 0.9 2.823 (0.000)***
0.001 (0.966) -0.173 (0.0020***
0.4 -0.231 (0.319) 0.95 3.256 (0.000)***
-0.001 (0.957) -0.201 (0.000)***
0.45 0.000 (0.999) 0.99 2.196 (0.087)*
-0.017 (0.482) -0.127 (0.286)
0.5 0.375 (0.160)
-0.045 (0.056)*
表10 營造業跨期報酬率與週轉率、法⼈持股佔⽐ 斜率估計結果 0.05 -1.010 (0.000)*** 0.6 0.290 (0.040)**
-0.011 (0.641) -0.002 (0.844)
0.1 -1.650 (0.000)*** 0.65 0.522 (0.001)***
0.057 (0.036)** -0.016 (0.137) 0.15 -1.358 (0.000)*** 0.7 0.656 (0.000)***
0.053 (0.0030*** -0.02 (0.096)*
0.2 -1.126 (0.000)*** 0.75 1.026 (0.000)***
0.055 (0.000)*** -0.038 (0.003)***
0.25 -0.851 (0.000)*** 0.8 1.503 (0.000)***
0.042 (0.001)*** -0.064 (0.000)***
0.3 -0.651 (0.000)*** 0.85 1.858 (0.000)***
0.033 (0.003)*** -0.080 (0.000)***
0.35 -0.475 (0.000)*** 0.9 2.385 (0.000)***
0.027 (0.005)*** -0.110 (0.000)***
0.4 -0.386 (0.001)*** 0.95 2.580 (0.000)***
0.025 (0.004)*** -0.123 (0.000)***
0.45 -0.244 (0.025)** 0.99 1.444 (0.000)***
0.021 (0.015)** -0.063 (0.017)**
0.5 -0.182 (0.108)
0.022 (0.013)**
表11 ⾦融業跨期報酬率與週轉率、法⼈持股佔⽐ 斜率估計結果
0.05 -1.360 (0.055)* 0.6 0.155 (0.525)
-0.064 (0.096)* 0.011 (0.324)
0.1 -1.873 (0.002)*** 0.65 0.358 (0.104)
0.030 (0.282) 0.007 (0.514)
0.15 -1.284 (0.012)** 0.7 0.390 (0.180)
0.012 (0.591) 0.004 (0.740)
0.2 -1.044 (0.001)*** 0.75 0.964 (0.015)**
0.015 (0.333) -0.013 (0.408)
0.25 -0.870 (0.003)*** 0.8 1.527 (0.000)***
0.020 (0.167) -0.034 (0.063)*
0.3 -0.767 (0.003)*** 0.85 1.682 (0.000)***
0.022 (0.094)* -0.016 (0.439)
0.35 -0.629 (0.013)** 0.9 2.479 (0.000)***
0.023 (0.054)* -0.033 (0.216)
0.4 -0.439 (0.045)** 0.95 3.253 (0.000)***
0.020 (0.048)** -0.027 (0.454)
0.45 -0.319 (0.124) 0.99 1.197 (0.049)**
0.014 (0.153) 0.097 (0.064)*
0.5 -0.180 (0.454)
0.013 (0.239)
附錄
0.01 -1.249 (0.000)*** -0.835 (0.011)** -0.593 (0.049)** 0.045 (0.821) 0.05 -1.369 (0.000)*** -0.760 (0.000)*** -0.290 (0.063)* -0.383 (0.005)***
0.1 -0.853 (0.000)*** -0.535 (0.000)*** -0.213 (0.050)** -0.494 (0.000)***
0.15 -0.630 (0.000)*** -0.395 (0.000)*** -0.183 (0.014)** -0.377 (0.000)***
0.2 -0.496 (0.000)*** -0.298 (0.000)*** -0.182 (0.003)*** -0.321 (0.000)***
0.25 -0.399 (0.000)*** -0.232 (0.000)*** -0.161 (0.002)*** -0.249 (0.000)***
0.3 -0.312 (0.000)*** -0.176 (0.000)*** -0.081 (0.117) -0.197 (0.000)***
0.35 -0.213 (0.000)*** -0.120 (0.002)*** -0.044 (0.332) -0.156 (0.000)***
0.4 -0.173 (0.000)*** -0.080 (0.035)** -0.021 (0.608) -0.108 (0.005)***
0.45 -0.117 (0.000)*** -0.035 (0.326) -0.015 (0.692) -0.064 (0.118) 0.5 -0.079 (0.042)** 0.012 (0.735) 0.008 (0.852) -0.024 (0.539) 0.55 -0.002 (0.950) 0.056 (0.106) 0.035 (0.382) 0.021 (0.600)
個別類股跨期報酬率與成交量 斜率估計結果
0.01 0.353 (0.286) -0.844 (0.000)*** -0.947 (0.000)*** -1.452 (0.000)***
0.05 0.229 (0.384) -0.908 (0.000)*** -1.461 (0.000)*** -0.919 (0.000)***
0.1 0.413 (0.012)** -0.567 (0.000)*** -1.080 (0.000)*** -0.513 (0.000)***
0.15 0.298 (0.014)** -0.425 (0.000)*** -0.749 (0.000)*** -0.370 (0.000)***
0.2 0.234 (0.005)*** -0.338 (0.000)*** -0.526 (0.000)*** -0.285 (0.000)***
0.25 0.209 (0.016)** -0.263 (0.000)*** -0.431 (0.000)*** -0.197 (0.002)***
0.3 0.259 (0.001)*** -0.228 (0.000)*** -0.291 (0.000)*** -0.151 (0.010)***
0.35 0.244 (0.000)*** -0.162 (0.000)*** -0.209 (0.000)*** -0.077 (0.132) 0.4 0.240 (0.000)*** -0.12 (0.000)*** -0.108 (0.005)*** -0.02 (0.659) 0.45 0.237 (0.000)*** -0.075 (0.004)*** -0.057 (0.167) -0.009 (0.834)
0.5 0.205 (0.001)*** -0.012 (0.653) 0.037 (0.358) 0.032 (0.489) 0.55 0.191 (0.002)*** 0.026 (0.317) 0.142 (0.000)*** 0.090 (0.067)
個別類股跨期報酬率與成交值 斜率估計結果
0.01 -0.544 (0.021)** -0.318 (0.205) 0.211 (0.492) 0.158 (0.328) 0.05 -0.603 (0.000)*** -0.332 (0.001)*** 0.046 (0.753) -0.007 (0.964) 0.1 -0.413 (0.000)*** -0.156 (0.007)*** -0.016 (0.872) -0.104 (0.317) 0.15 -0.273 (0.000)*** -0.121 (0.005)*** 0.000 (1.000) -0.082 (0.231)
0.2 -0.226 (0.000)*** -0.095 (0.013)** -0.060 (0.301) -0.140 (0.018)**
0.25 -0.207 (0.000)*** -0.065 (0.045)** -0.065 (0.172) -0.124 (0.007)***
0.3 -0.147 (0.000)*** -0.039 (0.182) -0.039 (0.351) -0.093 (0.028)**
0.35 -0.115 (0.001)*** -0.025 (0.350) 0.006 (0.879) -0.069 (0.082)*
0.4 -0.111 (0.000)*** 0.000 (1.000) 0.000 (1.000) -0.052 (0.150) 0.45 -0.075 (0.008)*** 0.007 (0.785) 0.012 (0.711) -0.052 (0.174) 0.5 -0.052 (0.069)* 0.006 (0.824) 0.014 (0.689) -0.028 (0.448) 0.55 -0.026 (0.362) 0.005 (0.826) 0.012 (0.730) 0.000 (1.000) OLS -0.016 (0.669) -0.003 (0.913) -0.021 (0.605) 0.005 (0.913)
個別類股跨期報酬率與成交值 斜率估計結果
0.01 0.591 (0.036)** -0.616 (0.000)*** -0.511 (0.001)*** -0.975 (0.040)**
0.05 0.470 (0.029)** -0.539 (0.000)*** -0.465 (0.000)*** -0.676 (0.000)***
0.1 0.541 (0.000)*** -0.419 (0.000)*** -0.210 (0.010)*** -0.289 (0.008)***
0.15 0.297 (0.007)*** -0.299 (0.000)*** -0.101 (0.056)* -0.265 (0.002)***
0.2 0.201 (0.016)** -0.240 (0.000)*** -0.038 (0.406) -0.204 (0.001)***
0.25 0.216 (0.005)*** -0.184 (0.000)*** -0.046 (0.254) -0.167 (0.003)***
0.3 0.192 (0.007)**** -0.162 (0.000)*** -0.034 (0.292) -0.116 (0.034)**
0.35 0.201 (0.002)*** -0.129 (0.000)*** -0.012 (0.615) -0.061 (0.197) 0.4 0.196 (0.000)*** -0.099 (0.000)*** 0.003 (0.905) -0.021 (0.612) 0.45 0.204 (0.000)*** -0.053 (0.018)** 0.029 (0.193) -0.016 (0.690) 0.5 0.176 (0.000)*** -0.017 (0.436) 0.060 (0.009)*** 0.008 (0.857)
個別類股 外資持股⽐基本統計量
類股 極⼩值 第⼀分位 中位數 平均數 第三分位 極⼤值
⽔泥窯業 0.799 1.26 1.564 1.632 1.811 3.149
⾷品業 6.076 10.1 25.69 21.89 29.47 36.68
塑膠化⼯業 11.31 14.03 17.92 17.5 19.82 25.28
紡織業 6.441 13.23 17.01 15.9 18.76 23.23
電⼦業 0.093 0.226 0.305 0.418 0.622 1.173
造紙業 4.375 6.916 8.974 8.777 10.84 12.45
營造業 2.754 6.601 10.6 10.79 13.29 26.95
⾦融業 6.036 15.13 22.85 20.53 25.27 30.53