Empirical Analysis of Investment Portfolio Based on Trading Volume: Examples of Publicly Traded Companies in Taiwan

• Main Authors: WU, CHENG-CHUN, 吳承駿
• Other Authors: LIAU, YUNG-SHI
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/2ps925

碩士 === 南華大學 === 財務金融學系財務管理碩士班 === 107 === 　　The four major elements of stock market technical analysis: price,volume, time and space, technical analysis is to use the past and present volume, transaction price data, graphical analysis and indicator analysis tools to analyze and predict future market trends. 　　The volume and price at the specific time reflect a shared marketing behavior of both buyer and seller, a point of power balance on both sides. If volume variation data could be analyzed, it could be possible to provide common investors a chance to win excess returns. 　　The study time was from January 2000 to August 2018, Listed Firms in Taiwan and divided electronic stocks, non-electronic stocks as research samples, using monthly trading volume data and market value to build a trading strategy, using Monthly trading volume investment strategy and explore whether there is excess compensation for changes in trading volume under the boom cycle and long-short market. 1. When using the monthly volume strategy, the sample Listed Firms in Taiwan, electronic stock companies and non-electronic stock companies in Taiwan, the portfolio return rate of small low-volume companies is significantly higher than the high-volume portfolio return rate 2. Under the economic cycle, there is a volume change effect all of the sample Significant. 3. During bull/bear market, all of the sample Significant have volume change effect.