長久以來，針對投資組合間存在著交叉序列相關的論點，許多學者有不同的解釋和說法，Boudoukh, Richardson, and Whitelaw（1994）綜合了各家的解釋，並將各解釋主要分成三個學派：忠誠者、異類者與改革者。這三個學派對於自我相關與交叉序列相關的成因都各有解釋。本研究採取異類者的論點為研究方向，認為投資組合報酬率之間會有交叉序列相關的原因是不同的投資組合對於訊息反應的速度不同所致。本研究所要探討的是投資組合週轉率的高低是否對於報酬率有所影響，進一步研究高週轉率投資組合的報酬率與低週轉率都資組合的報酬率之間是否有領先-落後的關係存在。如果不同週轉率的投資組合報酬率存在領先-落後的關係，此關係形成的原因為何？

針對上述所欲探討的主題，本研究參照Chordia and Swaminathan（2000）的方法，將台灣上市公司先依照公司大小作分類，其次在每一規模類別公司中，接著再以成交量的高低再加以細分，藉以比較在相同的公司規模級距中，不同成交量的投資組合間之投資組合報酬是否有領先-落後關係。依照此方法總共形成九組投資組合。由於本研究首先要探討的是投資組合之間的交叉序列相關是否獨立於投資組合本身的自我相關，然後才可確認投資組合之間的報酬率能經由交叉序列相關互相預測，其次還要檢驗兩投資組合間以報酬率相互預測對方報酬率的效果優劣，此檢驗程序可藉由向量自我迴歸來達成。另一方面，本研究還欲推測投資組合之間存在交叉序列相關及存在投資組合報酬率之間的領先-落後關係，是否是因為不同週轉率的投資組合對於訊息的反應速度不同所致，故採用Dimson Beta Regressions來做檢測。

在研究結果中發現，每一市值分組中，最高週轉率的投資組合報酬率領先最低週轉率投資組合報酬率，也進一步證實高週轉率的投資組合對於訊息的反應速度比低週轉率投資組合為快。

一、 中文文獻
1.王敦正，2002，週轉率與訊息反應在台灣股市之實證研究，東海大學企業管理學系未出版碩士論文。
2.李士偉，2000，以股價及淨值/市值比為分類基礎，探討投資組合之自我（own-）交叉（cross-）自我相關（autocorrelation），以及當期的相關（contemporaneous correlations），國立東華大學企業管理系未出版碩士論文。
3.陳向榮，2001，以成交量為分類探討香港股市之自我相關與交叉序列相關，國立中正大學財務金融學系未出版碩士論文。
4.賴育志，1999，台灣股市資訊傳導效果之研究，國立中正大學財務金融學系未出版碩士論文。
5.劉寶桂，1990，台灣股市變現性、股價行為與漲跌幅關聯性之實證研究，淡江大學金融研究所未出版碩士論文。

二、英文文獻
1.Atchison, M., K. Butler and R. Simonds, 1987, “Non-synchronous Security Trading and Market Index Autocorrelation,” The Journal of Finance 42, pp.111-118
2.Badrinath, S.G., J.R. Kale and T.H. Noe, 1995, “Of Shepherds, Sheep and the Cross-Autocorrelations in equity returns,” Review of Financial Studies 8, pp.799-823
3.Barry, C.B., and S. J. Brown, 1984, “Differential Information and The Small Firm Effect,” Journal of Financial Economics, 13, pp.283-294
4.Boudoukh, J., M.P. Richardson, and R.F. Whitelaw, 1994, “A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns,” The Review of Financial Studies 7, pp.539-573
5.Brennan, M.J., N. Jegadeesh, and B. Swaminathan, 1993, “Investment Analysis and the Adjustment of Stock Prices to Common Information,” Review of Financial Studies 6, pp.799-824
6.Chang, K., 1993, “Imperfect Information and Cross-Autocorrelation Among Stock Prices,” The Journal of Finance 48, pp.1211-1230
7.Chang, E.C., G.R. McQueen, and J. M. Pinegar, 1999, “Cross-Autocorrelation in Asian Stock Markets,” Pacific-Basin Finance Journal 7, pp.471-493
8.Chan, K.C. and N.F. Chen, 1991, “Structure and Return Characteristics of Small and Large Firms,” The Journal of Finance, September, pp.1467-1484
9.Chordia, T. and B. Swaminathan, 2000, “Trading Volume and Cross-Autocorrelations in Stock Returns,” The Journal of Finance, pp.913-935
10.Conard, J., and G. Kaul, 1988, “Time-Variation in Expected Returns,” Journal of Business 61, pp.409-425
11.Conard, J., and G. Kaul, 1989, “Mean Reversion in Short-Horizon Expected Returns,” Review of Financial Studies 2, pp.225-240
12.Conard, J., M. Gultekin, and G. Kaul, 1991, “Asymmetric Predictability of conditional Variances,” Review of Financial Studies 4, pp.597-622
13.Conard, J., G. Kaul and M. Nimalendran, 1991, “Components of Short-Horizon Individual Security Returns,” Journal of Financial Economics 29, pp.365-384
14.Dimson, E., 1979, “Risk Measurement When Shares Are Subject to Infrequent trading,” Journal of Financial Economics 7, pp.197-226
15.Fama, E.F., and K.R. French, 1993, “Common Risk Factors in the Returns on Stocks and Bonds,” Journal of Financial Economics 33, pp.3-56
16.Fama, E.F., 1970, “Efficient Capital Markets: A Review of Theoretical and Empirical Work,” The Journal of Finance 23, pp.383-417
17.Fama, E.F., and K.R. French, 1988, “Permanent and Temporary Components of Stock Prices,” The Journal of Political Economics 81, pp.807-836
18.Fargher N.L., R.A. Weigand, 1988, “Changes in the Stock Price Reaction of Small Firms to Common Information,” The Journal of Financial Research 21,1, pp.105-111
19.French, K., and R. Roll, 1986, “Stock Return Variances: The Arrival of Information and the Reaction of Traders,” Journal of Financial Economics 17, pp.5-26
20.Hameed, A., 1997, “Time Varying Factors and Cross-Autocorrelation in Short-Horizon Stock Returns,” Journal of Financial Research 20, pp.453-458
21.Hameed, A, and S. Ting, 2000, “Trading Volume and Short-Horizon Contrarian Profits: Evidence from the Malaysian Market,” Pacific-Basin Finance Journal 8, pp.67-84
22.Jegadeesh, N., 1990, “Evidence of Predictable Behavior of Security Returns,” The Journal of Finance 45, pp.881-898
23.Jegadeesh, N., and S. Titman, 1995, “Overreaction, Delayed Reaction and Contrarian Profits,” The Review of Financial Studies 8, pp.973-993
24.John Y.C., S.J. Grossman, and J. Wang, 1993, “Trading Volume and Serial Correlation in Stock Returns,” The Quarterly Journal of Economics 108, pp.907-939
25.Keim, D., 1989, “Trading Patterns, Bid-Ask Spreads, and Estimated Security Returns: The Case of Common Stocks at Calendar Turning Points,” Journal of Financial Economics 25, pp.75-98
26.Lehmann, B., 1990, “Fads, Martingales, and Market Efficiency,” Quarterly Journal of Economics 105, pp.1-28
27.Lo, A.W. and A.C. Mackinlay, 1988, “Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test,” The Review of Financial Studies 1, pp.41-66
28.Lo, A.W. and A.C. Mackinlay, 1990, “When Are Contrarian Profits Due to Stock Market Overreaction?,” The Review of Financial Studies 3, pp.175-205
29.Martikainen, T., J. Perttunen and V. Puttonen, 1995, “The Lead-Lag Effect Vetween Larger and Small Firms: Evidence From Finland,” Journal of Business and Accounting, April 1995, pp.449-453
30.McQueen, G. M. Pinegar, and S. Thorley, 1996, “Delayed Reaction to Good News and the Cross-Autocorrelation of Portfolio Returns,” The Journal of Finance 51, pp.889-920
31.Mech, T.S., 1993, “Portfolio Return Autocorrelation,” Journal of Financial Economics 34, pp.307-344
32.Ogden, J. P., 1997, “Empirical Analyses of Three Explanations for the Positive Autocorrelation of Short-Horizon Stock Index Return,” Review of Quantitative Finance and Accounting 9, pp.203-217
33.Shen, C.H., and L.R. Wang, 1998, “Daily Serial Correlation, Trading Volume and Price Limits: Evidence from the Taiwan Stock Market,” Pacific-basin Finance Journal 6, pp.251-273
34.Sias, R.W. and L.T. Starks, 1997, “Return Autocorrelation and Institutional Investors,” Journal of Financial Economics 46, pp.103-131