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財務計量分析
指導教授：楊奕農 老師
學生：9792013 陳姿蓉 9792019 林怡伶
資料來源：ASUS收盤股價
時間：1996/11/14~2009//03/24
Note：**表在1%顯著水準下顯著。
PanelA: Full sample
Period
1996~2009
Test
(1,50,0)
(1,50,0.01)
(1,150,0)
(1,150,0.01)
(5,150,0)
(5,150,0.01)
(1,200,0)
(1,200,0.01)
(2,200,0)
(2,200,0.01)
N(Buy
1408
1315
1369
1289
1373
1278
1272
1199
1271
1196
N(Sell)
1707
1803
1649
1729
1645
1740
1696
1769
1697
1772
Buy
0.00077
(-0.496948)
0.00055
(-0.642361)
-0.00029
(-0.739059)
-0.00024
(-0.791241)
-0.00011
(-0.895934)
-0.00024
(0.792088)
-0.00043
(0.701053)
-0.00066
(-0.570239)
-0.00043
(-0.698534)
-0.00039
(-0.734082)
Sell
-0.00067
(-0.517179)
-0.0004
(-0.690483)
0.00024
(-0.81848)
0.00018
(-0.863831)
0.0001
(0.927493)
0.00017
(-0.863516)
0.00029
(-0.74662)
0.00042
(-0.638284)
0.00029
(-0.743517)
0.00024
(0.788391)
Buy>0
0.4631
0.4555
0.4383
0.4352
0.4436
0.4421
0.4434
0.4437
0.4477
0.4507
Sell>0
0.4429
0.4498
0.4536
0.4552
0.4492
0.45
0.4458
0.4454
0.4425
0.4407
Buy-Sell
0.0014
(-0.2518)
0.001
(-0.45724)
-0.0005
(-0.63002)
-0.0004
(-0.70669)
-0.0002
(0.84931)
-0.0004
(-0.7064)
-0.0007
(-0.54352)
-0.0011
(-0.37573)
-0.0007
(0.53948)
-0.0006
(0.60279)
Average -0.000147 0.000086 - 0.000233
Panel B ： Subperiods
96/11/14~99/09/28
99/09/29~02/11/01
02/11/02~06/01/05
06/01/06~0903/24
(1,150,0)
(1,150,0)
(1,150,0)
(1,150,0)
382
180
376
270
260
462
266
372
-0.00028
(-0.90469)
-0.00027
(0.917487)
-0.0009
(-0.48549)
0.00008
(-0.958051)
0.00041
(-0.923044)
0.00009
(-0.966977)
0.0012
(-0.432688)
-0.00014
(-0.94022)
0.4503
0.4278
0.4202
0.463
0.5
0.4156
0.4436
0.4677
-0.0007
(-0.86729)
-0.0004
(0.89752)
-0.0021
(-0.20256)
0.0002
(-0.90995)
Note: 括弧內代表P值。
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