台灣地區保險類個股之價量關係

Abstract

本研究針對台灣加權指數中之保險類股共十一檔進行價量關係之探討，資料選取期間為2004年1月2日 至 2014年9月19日，採報酬率與成交量變動率進行ADF單根檢定、Granger因果關係檢定以及衝擊反應分析，並針對壽險、產險、與金控三種性質之保險類股之價量關係進行整合與分析。本文實證結果發現，多數之保險個股價對量具有正向之影響，意即當保險個股之報酬率越高時，成交量變動率也會增加，反之亦然，具價量齊揚、價跌量縮之現象。

This study focuses on the insurance stocks in Taiwan and tries to find out the relation between return and volume change for the years 2004 to 2014. We use the ADF test, Granger Causality test, and VAR impulse analysis. Considering the insurance stocks could be classified into three parts: life insurance, property insurance, and financial holding, we observe and analyze the results of each part. The conclusion is that higher return leads higher volume change in most of the insurance stocks. This means that return-volume relation of insurance stocks in Taiwan is positive.