股票周轉率的影響因素-以台灣上市公司為例

Abstract

本研究主要在探討股票週轉率的影響因素,而週轉率也就是當日交易的總股數與上市的總股數之間的比率,或是當日交易的成交值與公司的總市值之間的比值。當週轉率高時,代表股票在投資人之間轉換頻率過高,也表示股票擁有較高的流動性。本文採用2003-2010年的追蹤資料(panel data),來對股票周轉率進行分析,實證分析結果,本國自然人持股比例,機構投資人持股比例,市值,股東權益報酬率,現金流量比率,融資餘額等的檢定結果都是呈現顯著,這表示各個解釋變數的確具有解釋能力,而且整條迴歸式對於股票週轉率也具有顯著的解釋能力。

The objective of the thesis is to study the factors that affect the “stock turnover”. “Stock turnover” is the ratio between daily trading number of shares and total number of shares, or the ratio between daily trading value and a company’s market value. High turnover rate indicates that a stock has high switching frequency and liquidity. I adopt the panel data from year 2003 to 2010 to empirically analyze “stock turnover”. The results illustrated that domestic individual holding of market capitalization, domestic and foreign institutional holdings of market capitalization, return on equity, cash flow ratio and the margin purchase are significant, and exhibited strong explanatory power in the regression equation.