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研究生： 藍右儒
Lan, Yu-Ju
論文名稱： 股票換手率與短期股票報酬可預測性：來自臺灣股票市場之證明
Share Turnover and Short-Term Return Predictability: Evidence from the Taiwan Stock Market
指導教授： 黃炳勳
Huang, Ping-Hsun
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融研究所
Graduate Institute of Finance
論文出版年： 2026
畢業學年度： 114
語文別： 英文
論文頁數： 52
中文關鍵詞： 短期報酬可預測性 、交易量 、股票換手率 、市場微結構 、三大法人買賣超不平衡
外文關鍵詞： Short-Term Return Predictability, Trading Volume, Share Turnover, Market Microstructure, Institutional Order Imbalance
相關次數： 點閱：17  下載：0 
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    • 本研究以臺灣上市與上櫃股票之月資料為樣本，探討股票換手率與短期報酬可預測性之間的關係。過去美國市場研究指出，換手率有助於區分短期動能與流動性驅動之反轉效果。鑑於臺灣股票市場具有高度散戶參與、整體換手率偏高、放空限制與每日價格漲跌幅限制等特徵，本研究檢驗換手率在不同市場微結構下是否具有相同的經濟意涵。
    本研究採用以前一個月股票報酬與股票換手率為基礎之條件式雙重排序法。實證結果顯示，臺灣市場呈現出與美國證據不同的型態。高換手率股票並未產生短期動能，反而在最高換手率組別呈現顯著短期反轉。此一反轉主要來自高換手率過去贏家股票的後續低報酬，而非過去輸家股票的反彈。公司規模條件分析進一步顯示，高換手率反轉主要集中於中小型股票，低換手率動能則局部出現在中型股票。
    為檢驗其背後機制，本研究分析報酬與換手率投資組合中的三大法人買賣超不平衡指標。結果顯示，高換手率過去贏家股票中，法人淨買超占總成交量的比例明顯被稀釋，表示極端高換手率較可能反映非法人、散戶驅動的交易活動，而非知情法人交易。此反轉效果亦在動態報酬分析與交易成本檢驗後仍具經濟意義。
    本研究結果顯示，股票換手率並非普遍適用的資訊代理變數，其經濟意涵取決於市場微結構、投資人組成與交易限制。在臺灣這類散戶主導的市場中，極端高換手率更符合噪音交易引發的過度反應與後續價格修正，而非資訊驅動的短期動能。

    This study examines the relation between share turnover and short-term return predictability in Taiwan using monthly data on listed and over-the-counter stocks. Prior U.S. evidence shows that turnover helps distinguish short-term momentum from liquidity-driven reversal. Motivated by Taiwan’s high retail participation, high turnover, short-sale constraints, and daily price limits, this study investigates whether turnover has the same economic meaning in Taiwan.
    Using conditional double sorts based on previous-month returns and turnover, this study finds a pattern different from U.S. evidence. High-turnover stocks do not generate short-term momentum; instead, they display significant short-term reversal. This reversal is mainly driven by the underperformance of high-turnover past winners, rather than loser rebounds.
    To examine the mechanism, this study analyzes institutional order imbalance across return-turnover portfolios. Institutional net buying is diluted among high-turnover winners, suggesting that extreme turnover is more closely associated with non-institutional trading than informed institutional trading. The reversal remains economically meaningful after transaction costs.
    Overall, share turnover is not a universal proxy for information. In Taiwan, extreme turnover is more consistent with noise-driven overreaction and subsequent price correction than with information-based short-term momentum.

    摘要 II ABSTRACT III 誌謝 IV CONTENTS V 1. INTRODUCTION 1 2. LITERATURE REVIEW 5 2.1 SHORT-TERM AND INTERMEDIATE-TERM RETURN PATTERNS 5 2.2 THE INFORMATION CONTENT OF TRADING VOLUME 6 2.3.1 Rational Expectations Models 8 2.3.2 Behavioral Explanations and Bounded Rationality 9 2.4 MOMENTUM, REVERSAL, AND SYSTEMATIC RISK FACTORS 9 2.5 PRIOR TAIWAN EVIDENCE AND TAIWAN MARKET MICROSTRUCTURE 10 2.5.1 Retail Dominance and Noise Trading 11 2.5.2 Limits to Arbitrage 12 2.5.3 Investor Trading Behavior and Order Imbalance 12 2.5.4 Hypothesis for Taiwan 13 3. METHODOLOGY 14 3.1 DATA AND VARIABLE CONSTRUCTION 14 3.2 PORTFOLIO CONSTRUCTION AND BASELINE DOUBLE-SORT PROCEDURE 15 3.2.1 One-month return and turnover as predictive signals 15 3.2.2 Conditional double sorts on return and turnover 16 3.2.3 Long-Short strategies and rebalancing convention 16 3.3 SIZE-CONDITIONAL ANALYSIS 17 3.4 ECONOMIC MECHANISM: INSTITUTIONAL TRADING ANALYSIS 17 3.5 RISK ADJUSTMENT AND RETURN PERSISTENCE 17 3.5.1 Factor Model Regressions 18 3.5.2 Return Persistence Analysis 18 3.6 ECONOMIC FEASIBILITY AND TRANSACTION COSTS 18 4. EMPIRICAL RESULTS 20 4.1 BASELINE RESULTS: DOUBLE SORTS ON PAST RETURNS AND TURNOVER 20 4.2 SIZE-CONDITIONAL RESULTS 24 4.3 ECONOMIC MECHANISM: INSTITUTIONAL ORDER IMBALANCE AND THE DILUTION EFFECT 26 4.3.1 Additional Cross-Sectional: Institutional Trading Share 28 4.4 RETURN PERSISTENCE AND DYNAMIC PERFORMANCE ANALYSIS 31 4.5 ECONOMIC FEASIBILITY AND TRANSACTION COSTS 35 5. CONCLUSION 38 REFERENCE 43

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