調降期貨交易稅對市場品質的影響 by Stanley Lin

ර໚ࣽ‫מ‬εᏢ ଄୍ߎᑼ‫س‬

ᅺγፕЎ

ፓफ़ය೤Ҭܰิჹѱ൑ࠔ፦‫ޑ‬ቹៜǺаѠ᡼ѱ൑ࣁ‫ٯ‬ The Impact of Reducing Transaction Tax on the Market QualityǺEvidence from Taiwan Market

ࡰᏤ௲௤Ǻ‫ྷ׵‬ฑ! റγ ࣴ ‫ ز‬ғǺ‫໋ڬ‬๔

ύ๮҇୯97ԃ6Д24В

ර໚ࣽ‫מ‬εᏢ଄୍ߎᑼ‫س‬ Department of Finance Chaoyang University of Technology

ᅺγፕЎ Thesis for the Degree of Master

ፓफ़ය೤Ҭܰิჹѱ൑ࠔ፦‫ޑ‬ቹៜǺаѠ᡼ѱ൑ࣁ‫ٯ‬ The Impact of Reducing Transaction Tax on The Market QualityǺEvidence from Taiwan Market

ࡰᏤ௲௤Ǻ‫ྷ׵‬ฑ (Ruei-Lin Lee) ࣴ ‫ ز‬ғǺ‫໋ڬ‬๔ (Chun-Hsiang Chou)

ύ๮҇୯97ԃ6Д24В June 24, 2008

ᄔा ය೤Ҭܰิ‫ิޑ‬౗ӧၸѐΜԃύፓफ़ΑΒԛǴ࣬ჹ‫ܭ‬ཥу‫ڵ‬᛾‫چ‬ Ҭܰ‫܌‬ය೤Ҭܰิ‫ޑ‬႟ิ౗ϝࢂୃଯǶ߈ٰѱ൑΢ӭΑ΋ިፓफ़ය೤ Ҭܰิ‫ޑ‬ᖂੁǴՠࢂၨե‫ิޑ‬౗ᗨฅ཮уೲၗૻ໺ሀೲࡋǴՠࢂ‫׫‬ᐒ Ҭܰ‫ޣ‬ᆶᗉᓀҬܰ‫ࢂޣ‬ց཮೷ԋѱ൑όᛙ‫ۓ‬ϷሽৡᘉεǻԶ೭٤ѱ ൑ࠔ፦Ҟ኱ࠅਔத࣬ϕፂँǴՖ‫ޣ‬ᔈӃԵໆǴჴឦόܰǶҁࣴ‫ۯز‬՜ Chou and Wang (2006) аВϣၗ਑ϷВၗ਑Ǵ٬Ҕ΋૓ϯ୏ৡ‫ݤ‬ (General method of movement, GMM) ՗ीҬܰิፓफ़ჹѠ᡼ࡰኧය ೤ѱ൑ࠔ፦‫ޑ‬ቹៜǶҁЎЬाଅ᝘ӧ‫ܭ‬ஒѱ൑‫׫‬ၗ‫ޣ‬ϩԋ‫׫‬ᐒ‫ޣ‬ᆶᗉ ᓀ‫ޣ‬٠ϩ‫۬ࡹ݋‬೽ߐჹ‫ܭ‬Ҭܰิ‫ޑ‬ፓफ़୏բࢂӧߏයցԖၸ‫܈‬όϷ ‫ޑ‬౜ຝǻࣴ‫่݀ز‬ว౜Ҭܰิፓफ़ࡕǴວ፤ሽৡቚу཮٬Ҭܰໆቚу Զ҂ѳঊໆ཮෧ϿǴ‫ځ‬ύǴሽৡ‫ܨ‬ှࡕҬܰሽৡϷुൂೀ౛ԋҁ཮Π फ़ԶӸ೤Ϸ଍ᒧ᏷ԋҁ཮΢ϲǴԶҬܰໆᗨ཮ቚуՠ٠όᡉ๱Ǵࡹ۬ ิԏҭ཮ၟ๱ቚуǴќѦǴ‫׫‬ᐒ‫ޣ‬ᆶᗉᓀ‫ޑޣ‬Ҭܰ฼ౣӧόӕҬܰิ ‫ڋ‬Π٠คᡉ๱όӕǴՠࣣ཮຾΋‫؁‬ቹៜ౜೤ѱ൑ǶനࡕǴಃΒԛफ़ิ ࣬ჹಃ΋ԛफ़ิЇวሽৡᘉεϷ‫୏ݢ‬ቚу‫ޑ‬౜ຝǴς጗‫ک‬ѱ൑ࠔ፦‫ׯ‬ ๓ำࡋǶ

ᜢᗖຒǺҬܰิǵວ፤Ԗਏሽৡǵѱ൑ࠔ፦ǵѱ൑ᛙ‫܄ۓ‬

Abstract This paper extends the work of Chou and Wang (2006) to test the impact of reducing tax on the Taiwan future market quality by using intraday and daily data obtained from TEJ. Our contribution of this study is to divide the investors into speculators and hedgers and to analyze whether the current transaction tax is optimal. We find that, after reducing tax, an increasing in bid-ask spread increases trading volume and decreases open interest. The traded spread and order processing cost decreases but the inventory and adverse select cost increases. Although the volume increases insignificantly, the government tax revenue will increase. Finally, the feedbacks between speculators and hedgers in different tax rate regimes are insignificant, but speculators and hedgers impact traded spread and volatility in the long run. Hence, the second reducing tax leading to an increase in traded spread and volatility mitigates the improvement of the Taiwan futures market quality, with suggesting that the market seems to be a bit unstable.

Key Word: transaction taxǵbid-ask effective spreadǵmarket qualityǵ market stability

ᇞᖴ ፕЎёа໩ճ຾ՉǴ๱ჴࢂ೚ӭΓ‫ޑ‬ᔅշωளаֹԋǴЈύкᅈคज़ ‫ޑ‬གᐟǶ‫ځ‬ύനाགᖴ‫ޑ‬྽ฅࢂ‫ࡰޑך‬Ꮴ௲௤‫ྷ׵‬ฑԴৣǴόՠаᝄᙣ‫ޑ‬ Ꮲ‫ޣ‬ᄊࡋЇᏤ‫ך‬຾Εࣴ‫ޑز‬ሦୱǴӕਔӧࡑΓೀШБय़ҭόսࡰᏤǴ٬‫ך‬ ᕇ੻‫ؼ‬ӭǹ٠གᖴԙ३ᑯԴৣᆶቅ‫ۓ‬งԴৣӧፕЎीჄϷα၂ය໔‫ࡰޑ‬Ꮴ ᆶࡌ᝼Ǵ٬ளፕЎ‫׳‬ᑪֹഢǶགᖴ೭Βԃٰ௲Ꮴ‫ߏৣޑך‬ǴЀ‫ࢂځ‬ഋѶӓ Դৣǵ஭଼ٖԴৣǵБШ၍Դৣ‫ک‬ഋࡌֻЬҺǴόፕࢂፐ཰΢‫܈‬ғࢲ΢ࣣ ჹ‫៝ྣך‬ԖуǹаϷགᖴᅺγ੤‫ޑ‬Ꮴৣߎ៓मԴৣჹ‫ך‬ӚБय़‫ޑ‬ᔅշǶӕ ਔΨགᖴ‫س‬΢շ௲३ࣔ‫ࣣک‬ӣ‫܌‬๏ϒ‫ޑ‬ᔅշǶ! ࣴ‫ޑ܌ز‬ғࢲǴό໻ፐ཰ᕷख़ǴϣЈᓸΚΨख़ǴԜਔӕืӳ϶ࢂख़ा ‫ޑ‬ЍࢊǴགᖴӕᏢ؊ᘹǵျയǵ‫ځ‬ՙǵඳ๔Ǵӧ‫ך‬ᓸΚၸεਔǴᗎ‫ך‬ၮ୏ǵ Ӟ໭ωளа๤ှᓸΚǶӢࣁԖգॺ‫ޑ‬ഉՔǴᙦ൤Α‫ޑך‬ғࢲǶ! ੝ձाགᖴ‫ޑךࢂޑ‬Рᒃ‫҆ک‬ᒃǴӧѦӦ‫؃‬ᏢϤԃǴऩόࢂգॺคచ ҹ‫ޑ‬Ѝ࡭ᆶбрǴ‫ך‬ค‫ֹݤ‬ԋ೭Ꮲ཰ǴЈύԖคज़‫ޑ‬གᐟό‫ޕ‬வՖᇥଆǴ ѝૈᇥ‫ך‬ངգॺǶ! ! ‫໋ڬ‬๔!ᙣᇞ ර໚ࣽ‫מ‬εᏢ଄୍ߎᑼᏢ‫!س‬ ҇୯ΐΜΎԃϤД III

Ҟᒵ ᄔा ........................................................................................................................I Abstract................................................................................................................. II ᇞᖴ ..................................................................................................................... III ಃ΋ക ᆣፕ ......................................................................................................... 1 ಃ΋࿯ ࣴ‫ز‬ङඳᆶ୏ᐒ .............................................................................. 1 ಃΒ࿯ ࣴ‫ز‬Ҟ‫ ޑ‬.......................................................................................... 3 ಃΒക!Ў᝘ӣ៝ ................................................................................................. 4 ಃ΋࿯ ౛ፕଷᇥ .......................................................................................... 4 ಃΒ࿯ Ҭܰໆǵሽ਱‫୏ݢ‬ᆶਏ౗‫ޑ‬ᜢ߯.................................................. 7 ಃΟ࿯ ҂ѳঊໆᆶਏ౗‫ޑ‬ᜢ߯.................................................................. 9 ಃѤ࿯ ሽৡᆶਏ౗‫ޑ‬ᜢ߯ ........................................................................ 11 ಃϖ࿯ Ҭܰԋҁᆶሽ਱‫ޑ୏ݢ‬ᜢ߯........................................................ 13 ಃϤ࿯!ᆕӝλ่ ........................................................................................ 15 ಃΟക ࣴ‫ز‬Б‫ ݤ‬............................................................................................... 19 ಃ΋࿯ ၗ਑ٰྍ ........................................................................................ 19 ಃΒ࿯ ѱ൑ࠔ፦ᡂኧ‫ۓ‬က ........................................................................ 20 ಃΟ࿯ ჴຓኳࠠ ........................................................................................ 23 ಃѤ࿯ ࣴ‫ز‬ଷ೛ ........................................................................................ 29

III

ಃϖ࿯ ൂਥᔠ‫(ۓ‬Unit Root Test) ............................................................. 31 ಃϤ࿯ ΋૓ϯ୏ৡ‫(ݤ‬General method of moment) ................................. 33 ಃѤക ჴຓ่݀ ............................................................................................... 35 ಃ΋࿯ ൂਥᔠ‫ ่݀ۓ‬................................................................................ 35 ಃΒ࿯ ѱ൑ࠔ፦௶ॊ಍ीᆶҬܰิჹ‫ځ‬ቹៜ่݀................................ 36 ಃΟ࿯ ሽৡჴຓ่݀ ................................................................................ 40 ಃѤ࿯ ่ᄬ‫܄‬БำԄჴຓ่݀................................................................ 42 ಃϖ࿯ ิԏჴຓ่݀ ................................................................................ 50 ಃϖക ࣴ‫่ز‬ፕᆶࡌ᝼................................................................................... 52 ಃ΋࿯ ่ፕ ................................................................................................ 52 ಃΒ࿯ ࣴ‫ز‬ज़‫ ڋ‬........................................................................................ 54 ಃΟ࿯ ࡌ᝼ ................................................................................................ 54 ୖԵЎ᝘ ............................................................................................................. 55 ߕᒵ ..................................................................................................................... 58

߄Ҟᒵ ߄ 2-1 Ў᝘ᆕӝ΋ំ߄......................................................................................16 ߄ 4-1 ᕴኬҁය໔ϐ ADF ൂਥᔠ‫ ۓ‬...............................................................35 ߄ 4-2 ѱ൑ࠔ፦୷ҁ಍ी่݀..........................................................................38 ߄ 4-3 Ҭܰิჹѱ൑ࠔ፦ᡂኧᔠ‫ ่݀ۓ‬..........................................................39 ߄ 4-4 Ԗਏሽৡ୷ҁ಍ी่݀...........................................................................40 ߄ 4-5 ҬܰิჹӚሽৡ೽ҽᔠ‫ ่݀ۓ‬..............................................................41 ߄ 4-6 ѱ൑ࠔ፦ᡂኧ่ᄬ‫܄‬БำԄ่݀ .........................................................49 ߄ 4-7 Ӛԃิԏᡂϯ߄......................................................................................51 ߕ߄΋!ѱ൑ࠔ፦ᡂኧፄ଑ᘜ่݀....................................................................58 ߕ߄Β!ѱ൑ࠔ፦ᡂኧ೴‫؁‬଑ᘜ่݀................................................................59

ಃ΋ക ᆣፕ ಃ΋࿯ ࣴ‫ز‬ङඳᆶ୏ᐒ ය೤ѱ൑Ҭܰิ‫ޑ‬ୢᚒ΋‫ޔ‬аٰ೿ࢂᏢೌࣚᆶࡹ۬೽ߐ‫܌‬Ӆӕ ᜢЈ‫ޑ‬ୢᚒǴWang and Yau (2000) ว౜ǴቻԏҬܰิ཮٬ሽৡቚу ϷҬܰໆ෧ϿǴStiglitz (1989) ҭᇡࣁǴቻԏҬܰิёᔅշ෧Ͽ‫׫‬ᐒ ҬܰϷ෧Ͽൔၿ‫୏ݢ‬ǶฅԶǴChou and Wang (2006) ߾ᇡࣁӧҬܰิ ፓफ़ࡕǴҬܰໆ཮ቚуЪວ፤ሽৡ཮෧ϿǴԶิԏӧߏයԖቚу‫ޑ‬ᖿ ༈ǴWesterholm (2003) ӕኬᇡࣁྷ‫ڂ‬Ϸ޹ើӧҬܰิፓफ़ࡕǴຓ‫چ‬ ሽ਱‫ڀ୏ݢޑ‬Ԗᡉ๱෧Ͽ‫ޑ‬ਏ݀Ƕҗа΢ё‫ޕ‬౲ৎҥ൑ό΋ǴฅԶǴ ᔈҔӧѠ᡼ය೤Ҭܰ‫܌‬Ǵ‫ۭډ‬ය೤Ҭܰิ‫ޑ‬ፓफ़ࢂցૈ಄ӝࡹ۬‫܌‬Ⴃ යิԏǵሽৡਏ౗ࣣቚуаϷѱ൑ᛙ‫܄ۓ‬Πྖ‫ޑ‬ਏ݀ǻ ‫ך‬୯ය೤ѱ൑ၮՉςԖΜԃϐᐕўǴԶය೤ѱ൑ҭᒿ๱ਔ໔Զ‫׳‬ Ԗਏ౗Ǵ‫ځ‬ύǴය೤Ҭܰิ‫ิޑ‬౗‫׳‬ӧ೭Μԃύፓफ़ΑΒԛǴ२Ӄӧ 2000 ԃ 5 Д 1В வ 0.05%ፓ फ़ Կ 0.025%Ǵ Զ ࡕ ӧ 2006 ԃ 1 Д 1 В வ 0.025%ፓफ़Կ0.01%ǴฅԶǴ࣬ჹ‫ܭ‬ཥу‫ڵ‬ຓ‫چ‬Ҭܰ‫܌‬ය೤Ҭܰิ‫ޑ‬ ႟ิ౗Ǵ߈ٰѱ൑΢ӭΑ΋ިፓफ़ය೤Ҭܰิ‫ޑ‬ᖂੁǴՠࢂǴࡹ۬೽ ߐӧ‫ۓڋ‬፟ิࡹ฼ਔǴӵՖ៾ᑽ଺ന፾ϐᒧ᏷ǴନΑόཞϷ࿶ᔮԋߏ ѦǴۘ໪៝ϷચิϦѳ‫܄‬ǵਏ౗‫܄‬Ϸ୺Չ࣬ᜢϐԋҁ฻ǴԶ೭٤Ҟ኱ ਔத࣬ϕፂँǴӵՖঋ៝ჴឦόܰǴՖ‫ޣ‬ᔈӃԵໆǴ‫ـ‬Ϙ‫ـ‬ඵǶ

ࡐᡉฅǴፓफ़Ҭܰิჹѱ൑ҬܰΓٰᇥ‫ڰ‬ฅёаԖਏ‫ޑ‬फ़ե‫ځ‬Ҭ ܰԋҁǴՠࢂჹࡹ۬೽ߐٰᇥǴԜፓफ़୏բࢂց੿ё٬ѱ൑ਏ౗ቚ уǻԜࣴ‫ز‬ᆶChou and Wang (2006) ϐЬाόӕᗺԖΒǴ (΋)Chou and Wang (2006) ໻Եቾѱ൑‫׫‬ၗΓǴԶҁࣴ‫ز‬຾΋‫؁‬ஒѱ ൑‫׫‬ၗΓϩԋ‫׫‬ᐒ‫ޣ‬ᆶᗉᓀ‫ޣ‬Ǵ٠ϩձаҬܰໆᆶ҂ѳঊໆඹ жǴҞ‫ޑ‬ӧ௖૸‫׫‬ᐒ‫ޣ‬ᆶᗉᓀ‫ޑޣ‬Չࣁϩձჹሽ਱‫୏ݢ‬ᆶວ፤ሽ ৡ‫ޑ‬ቹៜǶ (Β)Chou and Wang (2006) ໻Եቾ 2000ԃ5Д1Вፓफ़ჹѱ൑ࠔ፦߻ ࡕ΋ԃ‫ޑ‬ቹៜǴԶҁࣴ‫߾ز‬ஒࣴ‫ز‬ය໔܎ߏǴҞ‫ޑ‬ӧ௖૸फ़ิჹ ѱ൑ࠔ፦ߏය‫ޑ‬ቹៜǶ ҁࣴ‫ز‬ЬाҞ‫ޑ‬ӧ௖૸‫׫‬ᐒ‫ޣ‬ᆶᗉᓀ‫ޣ‬ჹ‫ܭ‬ሽ਱‫୏ݢ‬ᆶວ፤ሽ ৡӧߏය໔‫ޑ‬ቹៜǴ٠຾΋‫؁‬ϩ‫۬ࡹ݋‬೽ߐჹ‫ܭ‬Ҭܰิ‫ޑ‬ፓफ़ࢂցԖ ၸ‫܈‬όϷ‫ޑ‬౜ຝǻ‫׆‬ఈᙖԜࣴ‫ޑز‬ჴຓϩ‫ૈ݋‬ග‫ٮ‬๏ࡹ۬೽ߐୖԵǶ

ಃΒ࿯ ࣴ‫ز‬Ҟ‫ޑ‬ ҁࣴ‫ۯز‬՜ԾChou and Wang (2006)Ǵ٬Ҕ΋૓ϯ୏ৡ‫(ݤ‬GMM) ኳࠠ՗ीҬܰิፓफ़ჹѠ᡼ࡰኧය೤ѱ൑ࠔ፦‫ޑ‬ቹៜǴ٠ஒਔ໔у аϩࣁΟࢤǴΒঁፓफ़ਔ໔ᗺϩձࣁ 2000ԃ5Д1ВϷ 2006ԃ1Д1 ВǴԶҁࣴ‫ز‬ЬाҞ‫ޑ‬ట௖૸Ǵಃ΋ԛϷಃΒԛය೤Ҭܰิፓफ़ჹ ය೤ѱ൑ϐࠔ፦ԖՖቹៜǴЬाଅ᝘ӧ‫ܭ‬ஒѱ൑‫׫‬ၗΓ຾΋‫؁‬ϩࣁ ‫׫‬ᐒ‫ޣ‬ᆶᗉᓀ‫ޣ‬аϷճҔВϣ‫؂‬฽ၗ਑ѐϩ‫ߏ݋‬යϐΠࡹ۬೽ߐჹ ‫ܭ‬Ҭܰิ‫ޑ‬ፓफ़୏բࢂցԖၸ‫܈‬όϷ‫ޑ‬౜ຝǴӅёಒϩࣁΠӈϖ໨ ᝼ᚒǺ (΋)Ҭܰิፓफ़ࡕǴሽৡ೽ҽჹ‫ܭ‬Ҭܰໆǵ҂ѳঊໆ‫ޑ‬ቹៜǶ (Β)Ҭܰิፓफ़ࡕǴሽৡ‫ܨ‬ှϐࡕ‫ޑ‬Ҭܰሽৡᆶुൂೀ౛ԋҁ཮ό཮ ‫ׯ‬ᡂǶ (Ο)‫׫‬ᐒ‫ޣ‬ᆶᗉᓀ‫ޑޣ‬Ҭܰ฼ౣӧόӕҬܰิ‫ڋ‬ΠǴࢂցԖᡉ๱ό ӕǴ٠Ъࢂց཮຾΋‫؁‬ቹៜ౜೤ѱ൑Ƕ (Ѥ)Ҭܰิፓफ़ࡕǴҬܰໆࢂց཮ቚуǴࡹ۬ิԏࢂց཮ၟ๱ቚуǶ (ϖ)Ҟ߻‫ޑ‬Ҭܰิิ౗ࢂցࣁ΋ന፾ิ౗Ƕ ҁЎ‫ࢎޑ‬ᄬӼ௨ӵΠ:ಃΒ೽ҽӣ៝࣬ᜢЎ᝘ǴಃΟ೽ҽϟಏࣴ ‫ز‬Б‫ݤ‬ǴಃѤ೽ҽൔ֋٠ϩ‫݋‬ჴ᛾่݀Ǵനࡕ߾ࢂ༼᏾٠ᇥܴЬा‫ޑ‬ ፕᗺᆶ่ፕǶ

ಃΒക!Ў᝘ӣ៝! வ౛ፕय़ٰ࣮Ǵሽໆᜢ߯ࢂࡌҥሽ਱ϩଛኳࠠаϷၗૻ‫ܢ‬ၲኳࠠ ‫୷ޑ‬ᘵǶYing (1966) २Ӄࡰрሽໆᜢ߯‫ޑ‬ख़ा‫܄‬Ǵ‫ځ‬ᇡࣁሽ਱ᆶҬ ܰໆࣁѱ൑ᐒૈϐᖄӝౢ‫ނ‬Ǵऩൂ൩ሽ਱‫܈‬Ҭܰໆٰϩ‫ޑ݋‬ኳԄǴ೿ όૈᆉࢂࡐֹ᏾ϩ‫݋‬ǴӢԜӧϩ‫݋‬΢ᔈӕਔуаԵቾǶ ಃ΋࿯ ౛ፕଷᇥ (΋)షӝϩଛଷᇥ(Mixture of Distribution HypothesisǹMDH) Clark (1973) ᇡࣁ‫؂‬В‫ޑ‬ሽ਱ᡂ୏ǴёຎࣁmВϣሽ਱ᡂ୏‫ޑ‬у ᕴǴ྽mς‫ޕ‬ਔǴ٩Ᏽύѧཱུज़‫ۓ‬౛Ǵሽ਱ᡂ୏ϐϩଛஒ಄ӝதᄊϩ ଛǴԶ‫ځ‬ᡂ౦ኧ߾ᆶmԋК‫ٯ‬ᜢ߯Ǵՠऩmࣁ΋ᒿᐒᡂኧǴ߾ሽ਱ᡂ ୏ϐϩଛ߾ஒ٩ߕ‫ܭ‬m‫ޑ‬ϩଛǶԜਔ‫ॺך‬ऩஒmຎࣁ‫؂‬В‫ډ‬ၲѱ൑‫ޑ‬ ૻ৲ኧໆǴ߾ሽ਱ᡂ୏‫ޑ‬చҹᡂ౦ኧߡࣁૻ৲‫ډ‬ၲೲ౗‫ޑ‬ሀቚ‫ڄ‬ኧǴ ԶҬܰໆӕኬӦΨࢂૻ৲‫ډ‬ၲೲ౗‫ޑ‬ሀቚ‫ڄ‬ኧǶӢԜǴሽ਱ᡂ୏‫๊ޑ‬ ჹॶᆶҬܰໆӸӧ๱҅࣬ᜢǴӕਔሽ਱‫୏ݢ‬ᆶҬܰໆ໔Ψ཮Ӹӧ҅ӛ ᜢ߯ǴԜջషӝϩଛଷᇥǶ (Β)ൻ‫ׇ‬ၗૻኳࠠ(Sequential Information ModelǹSIM) Copeland (1976) ගрൻ‫ׇ‬ၗૻኳࠠǴҔаᇥܴൂ΋ૻ৲ჹሽ਱ ᆶҬܰໆ‫ޑ‬ቹៜǶኳࠠଷ೛ӵΠǺ

΋ǵӧӕ΋ਔ໔ѝԖ΋ঁҬܰ‫཮ޣ‬ௗ‫ډڙ‬ཥ‫ૻޑ‬৲Ǵૻ৲኷ᢀ‫ځޣ‬ሡ ‫؃‬Ԕጕ཮΢౽!ঁൂՏǴൿᢀ‫཮߾ޣ‬Πफ़!ঁൂՏǶ Βǵѱ൑҂ௗᕇૻ৲‫ޣ‬Ǵค‫ݤ‬җςᕇ‫ૻޕ‬৲‫ޑޣ‬ҬܰՉࣁύǴள‫ޕ‬၀ ૻ৲Ƕ Οǵ྽ѱ൑‫܌‬Ԗ‫ޑ‬Ҭܰ‫֡ޣ‬ள‫ૻޕ‬৲ࡕǴ֡ᑽሽ਱ω཮ౢғǴ‫ځ‬ፓ᏾ ‫ޑ‬ၸำ٩ᒘ኷ᢀ‫ޣ‬ᆶൿᢀ‫܌ޣ‬ௗ‫ૻޑډڙ‬৲Զ‫ۓ‬Ƕ Ѥǵѱ൑όӸӧ፤‫ޜ‬ҬܰǶ Copelandаᐒ౗ኳԄኳᔕཥૻ৲ჹҬܰໆයఈॶ‫ޑ‬ቹៜǴଷ೛ѱ ൑ӅԖnՏҬܰ‫ޣ‬Ǵӧ֡ᑽሽ਱ౢғ߻ԖoՏ኷ᢀ‫ޣ‬ǴpՏൿᢀ‫ޣ‬Ǵn-o-p Տ҂ௗᕇૻ৲‫ޣ‬Ƕ྽nՏҬܰ‫ޣ‬೿ᕇ‫ૻޕ‬৲ࡕǴѱ൑ω཮ၲ‫֡ډ‬ᑽǴ ‫֡ځ‬ᑽၸำࢂᒿᐒ‫ޑ‬ǴԖ๱೚ӭόӕ‫ޑ‬ᐒ౗ၡ৩Ǵࡺѱ൑ӧ֡ᑽ߻Ӆ Ԗn-1ঁό֡ᑽ‫ޑ‬Ҭܰໆᆶሽ਱ᡂ୏ǴऩஒԜуᕴଆٰǴջёᕇளന ࡕ‫ޑ‬ᕴҬܰໆϷᕴሽ਱ᡂ୏ǴЪ‫ځ‬ҬܰໆයఈॶࣁӚၡ৩ϐу៾ѳ ֡Ƕኳᔕ่݀ᡉҢǴ྽Ҭܰ‫ޣ‬ӕࣁ኷ᢀ‫܈ޣ‬ൿᢀ‫ޣ‬ਔǴҬܰໆനεǴ Զሽ਱ᡂ୏ϐ๊ჹॶᆶҬܰໆ߾և҅࣬ᜢǶ )Ο*ਏ౗ѱ൑ଷᇥ! Fama (1970) ගрਏ౗ѱ൑ଷᇥǴ‫ځ‬ଷ೛ӧ੃৲‫ڗ‬ளԋҁᆶҬܰ ԋҁࣁ႟‫߻ޑ‬ගϐΠǴሽ਱ᐒ‫ڋ‬Ѹฅૈкϩวච‫܌‬Ԗ‫ޑ‬ၗૻςкϩЪ Ԗਏ౗‫ޑ‬ϸᔈӧި౻ሽ਱΢ǴӢԜ‫܌‬Ԗ‫׫ޑ‬ၗ‫ޣ‬ค‫ݤ‬ӧި౻ѱ൑΢ᔐ

௳εዬǴᕇ‫ڗ‬ຬᚐճዎǴՠϝёᕇ‫҅ڗ‬தճዏǶӵ݀Ԗ‫׫‬ၗ‫ޣ‬ᖺ‫ڗ‬ຬ ᚐൔၿǴஒѝࢂ۩ၮǶ

ಃΒ࿯ Ҭܰໆǵሽ਱‫୏ݢ‬ᆶਏ౗‫ޑ‬ᜢ߯ ှញҬܰໆ‫ک‬ሽ਱‫୏ݢ‬ϐ໔‫ޑ‬ᜢ߯ЬाԖΒঁ౛ፕǺൻ‫ׇ‬ၗૻኳ ࠠ (Sequential Information Model) ‫ ک‬ష ӝ ϩ ଛ ଷ ೛ (Mixture of Distribution Hypothesis)ǺSIMЬ஭ၗૻ‫ډ‬ၲࢂൻ‫ޑׇ‬ϸᔈǴᇡࣁሽ਱ ‫ࢂ୏ݢޑ‬ёаҔҬܰໆٰႣෳ‫ޑ‬ǴMDH߾ᇡࣁҬܰໆ‫ک‬ሽ਱‫཮୏ݢ‬ ӕਔϸᔈ‫ډ‬ၲѱ൑‫ޑ‬ၗૻሽॶǶ Garcia et al. (1986) ճҔӢ݀ᜢ߯ፓࢗ୘ࠔය೤ѱ൑Ǵ่݀ว౜ ྽ҬܰໆቚуਔǴሽ਱‫୏ݢ‬ΨӕਔቚуǶWang and Yau (2000) ճҔ ΋૓ϯ୏ৡ‫ݤ‬ϩ‫ ݋‬1990ԃ1Д2ВԿ 1994ԃ4Д29В‫޲ޑ‬уঢ୘཰Ҭ ܰ‫ߎ܌‬ᑼය೤Ϸ୘ࠔҬܰ‫ߎ܌‬ឦය೤Ǵว౜ሽ਱‫୏ݢ‬ᆶҬܰໆ໔Ӹӧ ҅ӛᜢ߯Ǵࠅᆶሀ‫ޑۯ‬ҬܰໆӸӧϸӛᜢ߯ǶHsieh (2004) ٬Ҕ٣ҹ ࣴ‫ݤز‬ϩ‫ ݋‬1998ԃ9Д21ВԿ 2001ԃ12Д31ВǴѠ᡼ය೤Ҭܰ‫؂܌‬ ฽Ҭܰሽ਱ࣁࣴ‫ز‬ჹຝǴਔ໔ืαࣁ120ВǴჴ᛾่݀ࡰрǴӧፓࢗ Ѡ᡼ය೤Ҭܰ‫ک܌‬ཥу‫़ڵ‬ғ‫܄‬Ҭܰ‫ޑ܌‬ሽ਱Ӄ௖ૈΚਔǴว౜ሽ਱ Ӄ௖ૈΚᆶ‫࣬ځ‬ჹҬܰໆελ΋ठǶ೭٤೿ᗦ֖ࢬ୏‫܄‬ଷᇥჹѱ൑ਏ ౗‫ޑ‬ଅ᝘ԋҥǶTauchen and Pitts (1983) ճҔሽ਱ᡂϯᆶҬܰໆ‫ޑ‬ᖄ ӝᐒ౗ϩଛኳࠠϩ‫!݋‬1976ԃԿ 1979ԃǴ90Ϻය୯৤‫چ‬ය೤Вၗ਑຾ Չሽ਱‫୏ݢ‬ᆶҬܰໆᜢ߯ϐჴ᛾ࣴ‫ز‬Ƕ่݀ว౜Ǵሽ਱‫୏ݢ‬ϐᡂ౦ኧ ཮ᒿ๱ҬܰΓኧ‫ޑ‬ቚуԶ෧ϿǴԶҬܰໆϐѳ֡ኧ߾཮ᒿ๱ҬܰΓኧ

‫ޑ‬ቚуԶቚуǴ྽ҬܰΓኧ‫ۓڰ‬ਔǴ߾ሽ਱‫ޑ୏ݢ‬ѳБ໨ᆶҬܰໆ໨ ϐӅᡂ౦ኧࣁ҅‫ڄ‬ኧǴӢԜǴሽໆΒ‫ޣ‬ᔈࣁ҅࣬ᜢǶ! ќѦǴKawaller et al. (2001) ᇡࣁ໺಍΢ႣයҬܰໆ‫ࢂ܄୏ݢک‬ ҅ӛᜢ߯ǴࢂӢࣁؒԖ୔ϩ೭ঁᜢ߯ࢂҬܰໆ‫܌‬೷ԋ‫୏ݢࢂ܈ޑ‬ҁ‫ي‬ ‫ޑ‬౽୏ǴӧЎകύ௓‫ڋ‬ΑҬܰໆ‫ׯޑ‬ᡂ٠٬Ҕ΋૓ጕ‫܄‬଑ᘜϩ‫݋‬Ǵว ౜ 1983ԃԿ 1998ԃӧଯҬܰໆ‫ޑ‬S&P 500ය೤ࠨऊύԖ๱ၨե‫ޑ‬ሽ ਱‫୏ݢ‬НྗǴԜ่݀Ѝ࡭ࢬ୏‫܄‬ග‫)ޣٮ‬೷ѱ‫*ޣ‬Ҭܰၨࢲ៌‫ޑ‬ሦᏤࠨ ऊǴߦ຾ၨε‫ޑ‬ѱ൑ుࡋᆶၨե‫ޑ܄୏ݢޑ‬౛ፕǶGrossman (1988) ௦ Ҕ΋૓֡ᑽኳࠠࣴ‫!ز‬1987ԃS&P 500౜೤Ϸය೤‫؂ޑ‬Вၗ਑ᔠຎҬ ܰໆࢂց཮ቚу౜೤ሽ਱‫܄୏ݢޑ‬Ǵ่݀ว౜Ҭܰໆᆶሽ਱‫܄୏ݢ‬ϐ ໔٠คܴᡉ‫ޑ‬ᜢೱ‫܄‬ǶWatanabe (2001) ճҔനλѳБ՗ी‫ݤ‬ᆶፄ଑ ᘜኳࠠᔠෳεٞ᛾‫چ‬Ҭܰ‫(܌‬OSE)!ӧ 1990ԃ8Д24ВԿ 1997ԃ12Д 30В‫ޑ‬В࿶225ިሽࡰኧය೤Ǵ௖૸ሽ਱‫܄୏ݢ‬ǵԋҬໆᆶ҂ѳঊࠨ ऊኧϐ໔‫ޑ‬ᜢ߯Ǵ่݀ว౜ሽ਱‫୏ݢ‬ǵҬܰໆᆶ҂ѳঊໆϐ໔٠ؒԖ ᡉ๱‫ޑ‬ᜢ߯Ƕ

ಃΟ࿯ ҂ѳঊໆᆶਏ౗‫ޑ‬ᜢ߯ Bessembinder and Seguin (1992) а 1978ԃ1ДԿ 1989ԃ9Д‫ޑ‬ S&P 500ࡰኧВၗ਑ࣁࣴ‫ز‬ჹຝǴࡌҥ΋ঁሽ਱ᆶҬܰໆ‫ޑ‬ኳࠠǴஒ ය೤ѱ൑‫ޑ‬዗๎ำࡋϩձаҬܰໆᆶ҂ѳঊໆ߄ҢǴ٠٬Ҕ ARIMA(0,1,10)ஒҬܰໆᆶ҂ѳঊࠨऊໆϩԋႣයᆶߚႣය‫ޑ‬೽ҽǴ аϷ100Ϻ‫ޑ‬౽୏ѳ֡‫ׇ‬ӈǴ่݀ᇡࣁҬܰໆ‫ک‬ሽ਱‫ޑ୏ݢ‬ᜢ߯ᆶѱ ൑΢ЬाҬܰ‫ࠠޣ‬ᄊԖᜢǴҭว౜ߚႣයҬܰ‫ޑޣ‬Ҭܰໆᆶሽ਱‫୏ݢ‬ և҅࣬ᜢԶႣයҬܰ‫ޑޣ‬Ҭܰໆᆶሽ਱‫୏ݢ‬ևॄ࣬ᜢǴԶЪሽ਱‫୏ݢ‬ ෧Ͽ཮٬҂ѳঊໆቚуǴӢԜǴሽ਱‫ࢂۭډ୏ݢޑ‬ၗૻҬܰ‫ࢂ܈ޣ‬ᚇ ૻҬܰ‫܌ޣ‬೷ԋǴ൩ᡂԋ΋ঁ࣬྽ख़ाୢᚒǶ Wang (2002) ‫ۯ‬՜Bessembinder and Seguin (1993) ‫ޑ‬Б‫ݤ‬Ǵа 1993ԃ1ДԿ 2000ԃ3Дᐞჾǵу৾εჾǵमᙸǵቺ୯ଭլǵВ༝Ϸ ྷγ‫ຼޑ॔ݤ‬ၗ਑଺ࣁࣴ‫ز‬ჹຝǴ่݀ว౜ሽ਱‫୏ݢ‬ᆶ‫׫‬ᐒ‫ޣ‬ԋ҅ӛ ᜢ߯Ǵࠅᆶ‫׫‬ၗ‫ޣ‬ևϸӛᜢ߯Ǵҭջ‫׫‬ᐒ‫཮ޣ‬٬ѱ൑όᛙ‫ۓ‬Ƕ Wang (2003) ‫ۯ‬՜Bessembinder and Chan (1992) ‫ޑ‬Б‫ݤ‬Ǵа 1992ԃ10ДԿ 2000ԃ3Д‫ޑ‬Οঁߎᑼය೤(S&P 500ǵࡹ۬Ϧ໸ǵ୯৤ ‫)چ‬ǵѤঁၭౢࠔය೤(ҏԯǵε‫ل‬ǵλഝǵᑗ)ǵѤঁ୘ࠔය೤(ёёǵ ‫ڜ‬ଢ଼ǵচ‫ݨ‬ǵ዗ᐯ‫)ݨ‬ϷѤঁѦ༊ය೤(मᙸǵቺ୯ଭլǵВ༝ǵྷγ ‫ຼޑ)॔ݤ‬ၗ਑଺ࣁࣴ‫ز‬ჹຝǴ่݀ว౜‫׫‬ᐒ‫ڀޣ‬ᒥൻѱ൑ଆҷ‫ޑ‬౜

ຝǴΨ൩ࢂ྽ѱ൑΢ᅍ(Πຳ)ਔǴ‫׫‬ᐒ‫ޑޣ‬ృය೤೽Տ཮ቚу(෧Ͽ)Ǵ Զᗉᓀ‫ڀ߾ޣ‬ჹ‫ל‬ѱ൑ଆҷ‫ޑ‬౜ຝǴҭӕኬว౜Ǵ‫׫‬ᐒ‫(ޣ‬ᗉᓀ‫ޑ)ޣ‬ Ҭܰᆶຬᚐൔၿև҅ӛ(ϸӛ)ᜢ߯Ǵՠ٠ό߄Ң‫׫‬ᐒ‫ڀޣ‬ၨଯ‫ޑ‬Ⴃෳ ૈΚǶ Holmes and Tomsett (2004) ٬Ҕ΋૓ϯ୏ৡ‫ زࣴݤ‬1992ԃ1Д Կ 1996ԃ7ДǴаम୯൤ਔ100ࡰኧǵߏයᕮᓬϦ໸ᆶѲើ੝চ‫ݨ‬ය ೤Вၗ਑բࣁࣴ‫ز‬ჹຝǴ‫ځ‬ᇡࣁය೤Ҭܰໆ‫ک‬ሽ਱‫ޑ୏ݢ‬ೱ่Ǵࢂᘜ Ӣ‫ܭ‬ၗૻ‫ࢬޑ‬ໆǴ‫׳‬ख़ा‫ࢂޑ‬ǴᙖҗၗૻҬܰ‫܌ޣ‬೷ԋ‫ޑ‬ሽ਱ᡂ୏‫׳‬ ࣗ‫ܭ‬ᚇૻҬܰ‫ޣ‬Ƕ ќѦǴBlack (1986) ගраၗૻҬܰ‫(ޣ‬Informed trader)ᆶᚇૻҬ ܰ‫(ޣ‬Noise trader)ࣁЬᡏ‫ߎޑ‬ᑼѱ൑ኳࠠǴᇡࣁᚇૻҬܰ‫ޑޣ‬Ӹӧ٬ ߎᑼѱ൑ளаၮբǴՠࠅ٬Ѭᡂளคਏ౗ǹЪᇡࣁᚇૻ‫ک‬ၗૻӧϣ఼ ΢ϕ࣬ᐱҥǴ‫܌‬аอයԶ‫ق‬Ǵሽ਱‫୏ݢޑ‬ε‫ܭ‬ሽॶ‫୏ݢޑ‬ǴߏයԶ‫ق‬Ǵ ሽ਱཮ᖿӛሽॶǴሽ਱‫཮୏ݢޑ‬λ‫ܭ‬ሽॶ‫୏ݢޑ‬Ƕ

ಃѤ࿯ ሽৡᆶਏ౗‫ޑ‬ᜢ߯ Huang and Stoll (1997) ஒວ፤ሽৡ‫ܨ‬ှԋаΠΟঁ೽ҽǴ(A)Ӹ ೤࡭Ԗԋҁ(Inventory costs)Ǻ࡭Ԗ᛾‫܌چ‬ሡ‫܍‬ᏼϐሽ਱॥ᓀ‫ک‬ᐒ཮ԋ ҁ(B)ुൂೀ౛ԋҁ(Order-processing costs)Ǻ୺ՉҬܰ‫܌‬ౢғϐԋҁ (C)଍ᒧ᏷ԋҁ(Adverse select costs)ǺӢѱ൑ၗૻ‫ޑ‬όჹᆀǴ೷ѱ‫کޣ‬ ၗૻҬܰ‫܌ޣ‬ౢғϐ଍ᒧ᏷ԋҁǶᗨฅ΢ॊ‫ޑ‬Οঁ೽ҽǴӚԖόӕ‫ޑ‬ ૸ፕǴՠࢂдॺ೿ᡉҢວ፤ሽৡᆶ‫୏ݢځ‬և҅࣬ᜢǶWang and Yau (2000) ճҔ΋૓ϯ୏ৡ‫ݤ‬Ǵ᛾ჴሽ਱‫୏ݢ‬ᆶວ፤ሽৡև҅࣬ᜢǴԶҬ ܰໆᆶວ፤ሽৡ߾Ӹӧ๱ϸӛᜢ߯Ƕ Chou and Lee (2002) ஒԖਏሽৡ(Effective spread)ϩှԋςჴ౜ ‫ޑ‬ሽৡ(Realized spreads)‫ک‬ၗૻόჹᆀ‫ޑ‬೽ϩ(Information asymmetric component)ǴаѠ᡼ය೤Ҭܰ‫ک܌‬ཥу‫़ڵ‬ғ‫܄‬Ҭܰ‫܌‬ӧ 1999ԃ11 Д1ВԿ 2000ԃ10Д30В‫ޑ‬Вϣၗ਑բࣁࣴ‫ز‬ჹຝǴճҔӢ݀ᜢ߯‫ݤ‬ ѐКၨ‫࣬ځ‬ჹᕮਏǴ่݀ว౜Ѡ᡼ය೤Ҭܰ‫܌‬Ҭܰิ‫ޑ‬ፓफ़཮٬Ѡ᡼ ය೤Ҭܰ‫܌‬ӧࡰኧය೤ሽ਱Ӄ௖‫ڀ‬ԖሦӃཥу‫़ڵ‬ғ‫܄‬Ҭܰ‫ޑ܌‬ф ૈǴफ़ิࡕ‫ޔ‬ௗԋҁᆶϣ֖ԋҁ೿཮Ԗ‫܌‬෧ϿǴԶѠ᡼ය೤Ҭܰ‫ޑ܌‬ ϣ֖ԋҁࣗԿե‫ܭ‬ཥу‫़ڵ‬ғ‫܄‬Ҭܰ‫܌‬Ǵ่݀ҭว౜ӧफ़ิϐࡕǴၗ ૻҬܰ‫ޣ‬ᆶᚇૻҬܰ‫ޣ‬ӧѠ᡼ය೤Ҭܰ‫ޑ܌‬Ҭܰ೿Ԗ‫׳‬ᓎᕷ‫ޑ‬౜ ຝǴԶЪၗૻ‫ޑ‬ኧໆᆶ໺ሀೲࡋ೿཮ቚуǶ

Hsieh (2004) ҭ᛾ܴҬܰิፓफ़཮‫ׯ‬຾ၗૻ‫ޑ‬໺ሀਏ౗Ǵ‫ځ‬ᇡࣁ Ҭܰิ‫ޑ‬ፓफ़ࢂനԖਏ෧ϿҬܰԋҁ‫ޑ‬Б‫ݤ‬Ǵ٠ว౜Ѡ᡼ය೤Ҭܰ‫܌‬ ӧ෧ϿҬܰԋҁࡕǴѠ᡼ය೤Ҭܰ‫ک܌‬ཥу‫़ڵ‬ғ‫܄‬Ҭܰ‫܌‬໔‫ޑ‬ሦӃ -ပࡕᜢ߯ҭԖ‫ׯ܌‬ᡂǶ

ಃϖ࿯ Ҭܰԋҁᆶሽ਱‫ޑ୏ݢ‬ᜢ߯ Fleming et al. (1996) ᙖҗ΋૓ϯ୏ৡ‫ݤ‬ѐϩ‫ ݋‬1988ԃ3ДԿ 1991ԃ1ДS&P 100ǵS&P 500ި౻ࡰኧᆶS&P 100ວǵ፤៾аϷS&P 500ය೤‫ޑ‬Вϣၗ਑ǴനࡕගрҬܰԋҁଷᇥǴ่݀ว౜Ҭܰԋҁന ե‫ޑ‬ѱ൑‫ڀ‬Ԗന‫ז‬ϸᔈཥၗૻ‫ޑ‬੝‫܄‬ǴӢԶᏱԖၨଯ‫ޑ‬ሽ਱Ӄ௖ૈ ΚǶ Jones and Seguin (1997) ճҔਔ໔‫ׇ‬ӈ଑ᘜϩ‫݋‬ѐᔠຎ 1974ԃ5 Д1ВԿ 1976ԃ4Д30В‫ޑ‬Вၗ਑Ǵ่݀ว౜ӧ 1975ԃऍ୯᛾‫چ‬ѱ൑ ҬܰิΠफ़ਔǴ᛾‫چ‬ൔၿ‫୏ݢ‬ҭӢҬܰิ‫ޑ‬Πफ़ԶԖ‫܌‬෧ϿǴҬܰໆ ߾཮ӢԜԶቚуǶWesterholm (2003) ٬Ҕፄ଑ᘜኳࠠѐࣴ‫ڂྷز‬Ϸ ޹ើϩձӧ 1990ԃԿ 1992ԃаϷ 1991ԃԿ 1993ԃຓ‫چ‬ѱ൑ჹ‫ܭ‬ फ़ิ‫ޑ‬ਏ݀ҭว౜Ǵӧྷ‫޹کڂ‬ើ‫ޑ‬ຓ‫چ‬Ҭܰิፓफ़ࡕǴ᛾‫چ‬ሽ਱‫ޑ‬ ‫୏ݢ‬ҭԖᡉ๱෧Ͽ‫ޑ‬౜ຝǶ Huang (2004) а΋૓ϯ୏ৡ‫زࣴݤ‬Ѡ᡼ය೤Ҭܰ‫܌‬ᆶཥу‫़ڵ‬ ғ‫܄‬Ҭܰ‫ ܌‬2001 ԃ 1 Д 1 ВԿ 2001 ԃ 9 Д 30 В‫ޑ‬Вϣၗ਑Ǵ่݀ ᡉҢΒঁҬܰ‫܌‬ϐुൂೀ౛ԋҁᆶ଍ᒧ᏷ԋҁЬाࢂҗሽ਱‫୏ݢ‬ᆶ ၗૻ‫܌‬ಔԋǴќѦǴҬܰໆ٠όࢂቹៜुൂೀ౛ԋҁ‫ޑ‬ЬӢǶ Chou and Wang (2006) ӕኬа΋૓ϯ୏ৡ‫زࣴݤ‬Ѡ᡼у៾ިሽ ࡰኧය೤ 1999ԃ5Д1ВԿ 2001ԃ4Д30В‫ޑ‬Вϣၗ਑Ǵࡌҥᜢ‫ܭ‬Ҭ

ܰໆǵሽৡϷሽ਱‫่ޑ୏ݢ‬ᄬ‫܄‬БำԄǴ‫ځ‬ᇡࣁӧය೤Ҭܰิፓफ़ ࡕǴҬܰໆ཮ቚуЪວ፤ሽৡ཮෧ϿǴ‫ځ‬ύǴ‫ܨ‬ှሽৡࡕǴुൂೀ౛ ԋҁᆶҬܰሽৡࣣ཮Πफ़ǴՠࢂǴሽ਱‫୏ݢ‬٠ؒԖᡉ๱ቚуǹќѦǴ ӧҬܰิፓफ़50%Կ࿤ϩϐΒᗺϖࡕ΋ԃǴࡹ۬೽ߐҬܰิ‫ޑ‬ԏΕѝ Πफ़13%ǴԶЪӧҬܰิፓफ़ࡕಃΒԃϷಃΟԃǴҬܰิ‫ޑ‬ԏΕࣗԿ Кፓफ़߻ᗋଯǴΨ൩ࢂᇥǴፓफ़Ҭܰิჹࡹ۬ิԏ‫ޑ‬ቹៜӧอය‫ޑ‬ዴ ཮෧ϿǴฅԶӧߏයࠅ཮ቚуǶ Summer and Summer (1989) ϩ‫݋‬ફऊ᛾‫چ‬Ҭܰ‫܌‬ӧ 1987ԃ‫ޑ‬ၗ ਑ว౜ǴҬܰิёᔅշ෧ϿᏓॣҬܰϷሽ਱‫୏ݢ‬Ъ຾Զ෧Ͽൔၿ‫ݢ‬ ୏ǶWang and Yau (2000) ӕኬว౜ǴቻԏҬܰิ཮٬ሽৡቚуϷҬ ܰໆ෧ϿǶ

ಃϤ࿯!ᆕӝλ่! ᗉᓀ೽Տ೯த཮ӧ྽Ϻǵ႖ϺࣗԿ‫׳‬Φω่మǴԶ‫׫‬ᐒ೽Տ೯த ཮ӧ྽ϺǵࣗԿӧ‫׳‬อਔ໔ϣ่మǴҁࣴ‫ز‬Եቾ‫ډ‬Ԝલ΋όё‫ޑ‬௃ ‫ݩ‬ǴӢԜ຾΋‫؁‬ஒѱ൑‫׫‬ၗΓϩࣁ‫׫‬ᐒ‫ޣ‬ᆶᗉᓀ‫ޣ‬Ǵ٠ϩձаҬܰໆ ᆶ҂ѳঊໆඹжǶа߻‫ޑ‬Ў᝘ӭኧ٬ҔሦӃ-ပࡕᜢ߯ѐ௖૸ය೤ᆶ ౜೤‫ޑ‬ᜢ߯ǴӵǺGarcia et al. (1986)ǵChou and Lee (2002)ǴฅԶǴ ሦӃ-ပࡕᜢ߯ࠅค‫ݤ‬Եቾ‫ډ‬ӕයᆶပࡕයᡂኧ‫ޑ‬ᜢ߯Ǵҁࣴ‫ࣁز‬Α ਂਆԜᜢ߯ӢԶԵቾӃ٬Ҕፄ଑ᘜѐၸᘠᡂኧӆ٬ҔᖄҥБำಔѐ ϩ‫݋‬೭Βԛफ़ิࢲ୏ࡕǴߏයΠ‫׫‬ᐒ‫ޣ‬ᆶᗉᓀ‫ޣ‬ჹວ፤ሽৡਏ౗ᆶѱ ൑ᛙ‫܄ۓ‬ำࡋ‫ޑ‬ቹៜǴ‫׆‬ఈᙖҗԜࣴ‫ز‬ග‫ٮ‬΋٤ၗૻ๏ᏢೌࣚϷࡹ۬ ೽ߐ଺ࣁୖԵϐҔǶ

߄ 2-1 Ў᝘ᆕӝ΋ំ߄ բ‫ޣ‬

ࣴ‫ز‬ጄൎ

ࣴ‫ز‬Б‫ݤ‬

ࣴ‫่݀ز‬

Grossman (1988)

1987 ԃ S&P 500 ౜೤Ϸය೤‫ޑ‬В ၗ਑Ƕ

΋૓֡ᑽኳࠠǶ

Bessembinder and Seguin (1992)

1978 ԃ 1 ДԿ 1989 ԃ 9 Д S&P 500 ‫ޑ‬Вၗ਑Ƕ

Ծρࡌҥ‫ޑ‬ሽ਱ Ҭܰໆ‫ک‬ሽ਱‫ݢ‬ ୏‫ޑ‬ᜢ߯ᆶѱ൑ ᆶҬܰໆኳࠠ ARIMA(0,1,10)Ƕ ‫׫‬ၗ‫ࠠޣ‬ᄊԖᜢǶ

Tauchen and Pitts

1976 ԃԿ 1979 ԃ ሽ ਱ ᡂ ϯ ᆶ Ҭ ܰ ሽ ਱ ᆶ Ҭ ܰ ໆ և 90 Ϻය୯৤‫ ޑچ‬ໆ ‫ ޑ‬ᖄ ӝ ᐒ ౗ ϩ ҅ӛ࣬ᜢǶ ଛኳࠠǶ Вၗ਑Ƕ

(1993) Fleming et al. (1996)

Jones and Seguin (1997)

Wang and Yau (2000)

1988 ԃ 3 ДԿ

΋૓ϯ୏ৡ‫ݤ‬Ƕ

Watanabe (2001)

ගрҬܰԋҁଷ

1991 ԃ 1 Д S&P 100ǵS&P 500 ި ౻ࡰኧᆶ S&P 100

ᇥǴҬܰԋҁനե ‫ޑ‬ѱ൑‫ڀ‬ന‫ז‬ϸ ᔈཥၗૻ‫ޑ‬੝

ວǵ፤៾аϷ S&P 500 ‫ޑ‬Вϣၗ਑Ƕ

‫܄‬ǴӢԶᏱԖၨଯ ‫ޑ‬ሽ਱Ӄ௖ૈΚǶ

1974 ԃ 5 Д 1 ВԿ ਔ໔‫ׇ‬ӈ଑ᘜǶ

᛾‫چ‬ѱ൑Ћុ຤

1976 ԃ 4 Д 30 В ຓ‫چ‬ѱ൑‫ޑ‬Вၗ ਑Ƕ

Πफ़ਔǴ᛾‫چ‬ൔၿ ‫୏ݢ‬Ԗ‫܌‬෧ϿǴҬ ܰໆ߾ቚуǶ

1990 ԃ 1 Д 2 ВԿ ΋૓ϯ୏ৡ‫ݤ‬Ƕ 1994 ԃ 4 Д 29 В ‫޲ޑ‬уঢ୘཰Ҭ

ሽ਱‫୏ݢ‬ᆶҬܰ ໆӸӧ҅ӛᜢ߯ ࠅᆶሀ‫ۯ‬Ҭܰໆ Ӹӧϸӛᜢ߯Ǵ! ԏҬܰิ཮٬ሽ ৡቚуϷҬܰໆ ෧ϿǶ

ܰ‫ߎ܌‬ᑼය೤Ϸ ୘ࠔҬܰ‫ߎ܌‬ឦ ය೤Ƕ Kawaller et al. (2001)

Ҭܰໆᆶሽ਱‫ݢ‬ ୏คܴᡉᜢᖄ‫܄‬Ƕ

1983 ԃԿ 1998 ԃ ΋૓ጕ‫܄‬଑ᘜǶ S&P 500 ය೤‫ޑ‬В ၗ਑Ƕ

ଯҬܰໆ‫ࠨޑ‬ऊ ‫ځ‬ሽ਱‫୏ݢ‬ၨեǶ

1990 ԃ 8 Д 24 В ന λ ѳ Б ՗ ी ‫ ݤ‬ሽ਱‫୏ݢ‬ǵҬܰໆ ᆶ҂ѳঊໆคᡉ Կ 1997 ԃ 12 Д 30 ᆶፄ଑ᘜኳࠠǶ ๱ᜢ߯Ƕ Вεٞ᛾‫چ‬Ҭܰ ‫ޑ܌‬В࿶ 225 ިሽ ࡰኧǶ

Chou and Lee (2002)

1999 ԃ 11 Д 1 В

Ӣ݀ᜢ߯ᔠ‫ۓ‬Ƕ

Կ 2000 ԃ 10 Д 30

Ѡ᡼ය೤Ҭܰ‫܌‬ ӧፓफ़ය೤Ҭܰ

ВѠ᡼ය೤Ҭܰ

ิࡕǴ‫ځ‬ሽ਱Ӄ௖

‫܌‬ᆶཥу‫़ڵ‬ғ ‫܄‬Ҭܰ‫ޑ܌‬Вϣ

ૈΚሦӃཥу‫ڵ‬ ़ғ‫܄‬Ҭܰ‫܌‬ǴԶ

ၗ਑Ƕ

ၗૻҬܰ‫ޣ‬ᆶᚇ ૻҬܰ‫ޣ‬ӧѠ᡼ ය೤Ҭܰ‫ޑ܌‬Ҭ ࣣܰԖቚу‫ޑ‬౜ ຝǶ

Wang (2002)

1993 ԃ 1 Д Կ ‫ۯ‬՜ Bessembinder ሽ ਱ ‫ ୏ ݢ‬ᆶ ‫ ׫‬ᐒ 2000 ԃ 3 Д ᐞ and Seguin (1993) ‫ޣ‬ԋ҅ӛᜢ߯Ǵࠅ ᆶ‫׫‬ၗ‫ޣ‬ևϸӛ ჾǵу৾εჾǵम ‫ޑ‬Б‫ݤ‬Ƕ ᜢ߯Ǵҭջ‫׫‬ᐒ‫ޣ‬ ཮٬ѱ൑όᛙ‫ۓ‬Ƕ

ᙸǵቺ୯ଭլǵВ ༝Ϸྷγ‫ޑ॔ݤ‬ ຼၗ਑Ƕ Wang (2003)

Westerholm (2003)

Holmes and Tomsett (2004)

Hsieh

1992 ԃ 10 ДԿ ‫ۯ‬՜ Bessembinder ‫ ׫‬ᐒ ‫ ڀ ޣ‬ᒥ ൻ ѱ 2000 ԃ 3 Д‫ޑ‬Ο and Chan (1992)‫ ޑ‬൑ଆҷ‫ޑ‬౜ຝǴΨ ൩ࢂ྽ѱ൑΢ᅍ ঁߎᑼය೤ǵѤঁ Б‫ݤ‬Ƕ (Πຳ)ਔǴ‫׫‬ᐒ‫ޣ‬ ၭౢࠔය೤ǵѤঁ ‫ޑ‬ృය೤೽Տ཮ ୘ࠔය೤ϷѤঁ ቚу(෧Ͽ)ǴԶᗉ Ѧ༊ය೤‫ຼޑ‬ၗ ਑Ƕ

ᓀ‫ڀ߾ޣ‬ჹ‫ל‬ѱ ൑ଆҷ‫ޑ‬౜ຝǴҭ ӕኬว౜Ǵ‫׫‬ᐒ‫ޣ‬ (ᗉᓀ‫ޑ)ޣ‬Ҭܰᆶ ຬᚐൔၿև҅ӛ (ϸӛ)ᜢ߯Ƕ

1990 ԃԿ 1992 ԃ ፄ଑ᘜኳࠠǶ Ϸ 1991 ԃԿ 1993 ԃྷ‫ڂ‬Ϸ޹ើຓ

ྷ‫ڂ‬Ϸ޹ើ‫ޑ‬ຓ ‫چ‬Ҭܰิፓफ़ ࡕǴ‫ځ‬ሽ਱‫୏ݢ‬ҭ

‫چ‬ѱ൑‫ޑ‬Вၗ਑Ƕ

Ԗᡉ๱෧Ͽ‫ޑ‬౜ ຝǶ

1992 ԃ 1 ДԿ 1996 ԃ 7 Д‫ޑ‬म

΋૓ϯ୏ৡ‫ݤ‬Ƕ

Ҭܰໆ‫ک‬ሽ਱‫ݢ‬ ୏‫ޑ‬ೱ่ᘜӢ‫ܭ‬

୯൤ਔ 100 ࡰኧǵ ߏයᕮᓬϦ໸ᆶ Ѳើ੝চ‫ݨ‬ය೤

ၗૻ‫୏ࢬޑ‬ǴԶЪ ၗૻҬܰ‫܌ޣ‬೷ ԋ‫ޑ‬ሽ਱୏‫ݢ‬ε

‫ޑ‬Вၗ਑Ƕ

‫ܭ‬ᚇૻҬܰ‫ޣ‬Ƕ

1998 ԃ 9 Д 21 В ٣ҹࣴ‫ݤز‬Ƕ

ሽ਱Ӄ௖ૈΚᆶ

(2004)

‫࣬ځ‬ჹҬܰໆε λ΋ठǶ

Կ 2001 ԃ 12 Д 31 В‫ޑ‬Ѡ᡼ය೤Ҭ ܰ‫܌‬Вϣၗ਑Ƕ

Huang (2004)

2001 ԃ 1 Д 1 ВԿ ΋૓ϯ୏ৡ‫ݤ‬Ƕ 2001 ԃ 9 Д 30 В Ѡ᡼ය೤Ҭܰ‫܌‬ ᆶཥу‫़ڵ‬ғ‫܄‬ Ҭܰ‫ޑ܌‬Вϣၗ ਑Ƕ

Chou and Wang (2006)

1999 ԃ 5 Д 1 ВԿ ΋૓ϯ୏ৡ‫ݤ‬Ƕ 2001 ԃ 4 Д 30 В Ѡ᡼ය೤Ҭܰ‫܌‬ ‫ޑ‬Вϣၗ਑Ƕ

ΒঁҬܰ‫ुޑ܌‬ ൂೀ౛ԋҁϷ଍ ᒧ᏷ԋҁЬाࢂ җሽ਱‫୏ݢ‬ᆶၗ ૻ‫܌‬ಔԋǶ ය೤Ҭܰิፓफ़ ࡕǴҬܰໆ཮ቚу Զວ፤ሽৡ཮෧ ϿǴሽ਱‫୏ݢ‬คᡉ ๱ቚуǴࡹ۬ิԏ ӧอය཮෧Ͽฅ Զӧߏය཮ቚуǶ

ಃΟക ࣴ‫ز‬Б‫ݤ‬ ಃ΋࿯ ၗ਑ٰྍ ! ! ҁࣴ‫ز‬ၗ਑ٰԾѠ᡼࿶ᔮཥൔ(Taiwan Economic Journal Co. ,TEJ) ၗ਑৤ǴаѠ᡼у៾ިሽࡰኧբࣁࣴ‫ز‬ჹຝǴၗ਑ጄൎவ 1999ԃ3 Д24ВԿ 2007ԃ12Д31ВǴа‫؂‬ВόӕҬപДҽ‫ࠨޑ‬ऊҬܰໆ࣬ჹ നεӝऊ଺ࣁ߈ДӝऊǴВၗ਑ᡂኧх֖ය೤ࡰኧԏዬሽ਱ǵനଯሽ ਱ǵനեሽ਱ǵҬܰໆ‫ک‬҂ѳঊໆǴВϣၗ਑ᡂኧх֖‫؂‬฽ය೤ࡰኧ Ҭܰሽ਱ǵҬܰໆ‫ک‬ວ፤ൔሽǴനࡕǴ௨ନѠ᡼ය೤Ҭܰ‫܌‬Ҭܰਔ໔ Ѧ‫ޑ‬ҬܰϷൔሽǶ1 Ѡ᡼ය೤Ҭܰ‫܌‬ፓफ़Ҭܰิ‫ޑ‬Βঁਔ໔ᗺϩձࣁ 2000ԃ5Д1В аϷ 2006ԃ1Д1ВǴӢԜҁࣴ‫ز‬຾΋‫؁‬ஒਔ໔ϩࣁΟࢤǴಃ΋ࢤࣁ 1999ԃ3Д24В‫ ډ‬2000ԃ4Д30ВǴಃΒࢤࣁ 2000ԃ5Д1В‫ ډ‬2005 ԃ12Д31ВǴಃΟࢤࣁ 2006ԃ1Д1В‫ ډ‬2007ԃ12Д31ВǴԶҬܰิ ิ౗ϩձࣁ࿤ϩϐϖǵ࿤ϩϐΒᗺϖϷ࿤ϩϐ΋Ƕ

җ‫ڙܭ‬ज़‫ܭ‬࿶຤ᆶၗ਑ёள‫܄‬ǴӢԜҁࣴ‫ز‬ၗ਑ጄൎ 1999/3/24 ໒‫ۈ‬Ƕ 19

ಃΒ࿯ ѱ൑ࠔ፦ᡂኧ‫ۓ‬က (΋)ሽৡ(Bid-Ask Spread, BAS) ϩ ࣁ ൔ ሽ ሽ ৡ (Quoted Bid-Ask Spread, Qspread) ‫ ک‬Ԗ ਏ ሽ ৡ (Effective Spread, Espread)Ǵࣣ٬ҔВϣၗ਑‫ޑ‬ວ፤ൔሽ՗ीǶ ‫ځ‬՗ीԄӵΠǺ Qspread=At-Bt

(3-1)

Espread=2Qu!Ø(Pt-Mt)

(3-2)

΢ԄύǴLee and Ready (1991) ஒQtࣁࡰ኱ᡂኧǴऩಃtය‫ޑ‬ሽ਱ ε‫ܭ‬ಃt-1ය‫ޑ‬ሽ਱Ǵ߾‫ࣁځ‬1Ǵ߄Ңࣁ៝࠼ວൂǴϸϐǴऩಃtය‫ޑ‬ሽ ਱λ‫ܭ‬ಃt-1ය‫ޑ‬ሽ਱Ǵ߾ࣁ-1Ǵ߄Ңࣁ៝࠼፤ൂǴऩtයᆶt-1ය࣬฻Ǵ ߾ճҔಃtයᆶಃt-2ය࣬КǶPtࣁಃtය‫ޑ‬Ҭܰሽ਱ǴMtࣁAt(ಃtයҬܰ ‫ޑ‬ന٫፤ሽ)ᆶBt(ಃtයҬܰ‫ޑ‬ന٫ວሽ)ϐѳ֡ሽ਱Ǵ‫ځ‬Ҕٰඹжወӧ ၗౢ‫֡ޑ‬ᑽሽ਱Ƕ २ӃаҬܰໆуᕴനεࣁղᘐ‫߾ݤ‬ஒ‫؂‬В߈Дӝऊ‫؃‬рǴӆஒ၀ В߈Дӝऊа‫؂‬ϖϩដࣁਔ໔ืαǴ‫ڗ‬р‫؂‬ϖϩដനࡕ΋฽Ҭܰ٠у аीᆉൔሽሽৡϷԖਏሽৡǴӆஒ‫؂‬ϖϩដၗ਑ѳ֡Ǵջёள‫߈ډ‬Д ӝऊൔሽሽৡϷԖਏሽৡϐВၗ਑ǴനࡕǴ௨ନᒪѨॶǶ ฅԶǴӧᑽໆҬܰԋҁਔԖਏሽৡКൔሽሽৡӳǴ‫ځ‬চӢࣁԖਏ ሽৡ่ӝჴሞҬܰሽ਱‫ޑ‬ၗૻǴ྽Ҭܰሽ਱ᇻᚆൔሽਔǴൔሽሽৡό

ࢂ΋ঁྗዴᑽໆҬܰԋҁ‫ޑ‬Б‫ݤ‬Ǵҁࣴ‫ز‬ວ፤ሽৡᡂኧࣣࡰԖਏሽৡ ᡂኧǶ‫؂‬В‫ޑ‬ൔሽሽৡᆶԖਏሽৡࣣࣁВϣၗ਑‫؂‬ϖϩដ‫ޑ‬ѳ֡Ƕ ҁࣴ‫ز‬٬ҔHuang and Stoll (1997) ‫܌‬ගр‫ࡰޑ‬኱଑ᘜ(Indicator regression)ѐᔠຎ෧ิჹԖਏሽৡύुൂೀ౛ԋҁ(Order processing) ‫ޑ‬ቹៜǴHuang and Stoll (1997) ҭஒԖਏሽৡϩԋ(A)ुൂೀ౛ԋҁ ‫ޑ‬೽ҽǴаϷ(B)่ӝӸ೤࡭Ԗԋҁ‫ک‬଍ᒧ᏷‫ޑ‬೽ҽǴ‫ځ‬ϦԄӵΠǺ 'Pt & " 1 (Qt % Qt %1 ) # " 2 $ " 1Qt %1 # ! t

(3-3)

΢ԄύǴ 'Pt ࣁಃtයᆶಃt-1යϐৡǴQtӵϐ߻‫ۓ܌‬ကࣁ΋ວ፤ࡰ ኱Ǵ "1 ࣁҬܰሽৡ‫ޑ‬΋ъǴ " 2 ࣁӸ೤࡭ԖԋҁϷόჹᆀၗૻԋҁϐᕴ ӝǴ1 % " 2 ߾ࣁुൂೀ౛ԋҁǴԜ՗ीԄ٬Ҕߚጕ‫܄‬നλѳБ‫ٰݤ‬՗ीǶ (Β)ҬܰໆϷ҂ѳঊໆ(Trading Volume and Open Interest, TV and OI) ҁࣴ‫ز‬٩ᏵCampbell et al. (1993)ǵFleming (1996) ࣣԖගϷ‫ޑ‬Б ‫ݤ‬ǴճҔ‫؂‬В߈ДҬܰໆᆶ҂ѳঊໆǴаပࡕ΋ԭϺ‫ޑ‬౽୏ѳ֡ኧٰ ᑽໆǴ‫ځ‬ϦԄӵΠǺ Vt &

VTt 1 100 (VTt %i 100 i &1

(3-4)

΢ԄύǴVTtࣁಃtයҬܰໆ(҂ѳঊໆ)‫ޑ‬ჹኧǴԜ՗ीԄග‫ٮ‬΋ ঁᛙ‫ۓ‬Ъ௓‫ߏڋ‬යҬܰໆ‫ׯ‬ᡂ‫ޑ‬ਔ໔‫ׇ‬ӈǶҁࣴ‫ز‬аҬܰໆᆶ҂ѳঊ ໆඹж‫׫‬ᐒ‫ޣ‬ᆶᗉᓀ‫ޣ‬Ƕ

(Ο)‫(܄୏ݢ‬Volatility) ! ! Andersen et al. (2001) ගрჴ፦‫(୏ݢ‬Realvol)‫ޑ‬՗ीǴ‫ځ‬ϦԄӵ ΠǺ ^

( (r ) t

$ 100

(3-5)

t &1

΢ԄύǴnࣁВϣϖϩដ‫ޑ‬ኧໆǴrt=(Ln(Mt)-Ln(Mt-1))ࣁВϣ‫؂‬ϖ ϩដ‫ޑ‬ൔၿǴMtࣁ‫؂‬ϖϩដ୔໔നࡕ΋฽Ҭܰന٫ວሽᆶന٫፤ሽϐ ύᗺǶ Parkinson (1980) ‫܌‬ගр‫ޑ‬ଯ-ե‫(୏ݢ‬Hlvol)Ǵࣁќ΋՗ी‫ޑ୏ݢ‬ Б‫ݤ‬Ǵ‫ځ‬ϦԄӵΠǺ ^

( Ln( H t ) % Ln( Lt )) 2 $ 100 4 Ln(2)

΢ԄύǴHtᆶLtϩձж߄΋В‫ޑ‬നଯሽᆶനեሽǶ

(3-6)

ಃΟ࿯ ჴຓኳࠠ ҁࣴ‫ز‬२Ӄ٬Ҕ೴‫؁‬଑ᘜѐᗉխӅጕ‫܄‬ᜢ߯Ǵӆ‫ۯ‬՜Chou and Wang (2006) ‫܌‬ගр‫่ޑ‬ᄬ‫܄‬БำԄѐᢀჸӚᡂኧ۶Ԝ‫ޑ‬ᜢ߯Ǵ٠٬ Ҕ΋૓ϯ୏ৡ‫ݤ‬՗ीҬܰิፓफ़ჹѠ᡼ࡰኧය೤ѱ൑ࠔ፦‫ޑ‬ቹៜǴ‫ځ‬ БำԄӵΠǺ TVt=b1+b2IVt+b3OIt+b4D1×BASt+b5D2×BASt+b6D2×IVt+b7D1×OIt +b8D2×OIt+b9BASt-1+b10TVt-1+b11IVt-1+b12OIt-1+b13SPt+e1t

(3-7)

BASt=b21+b22D1+b23D2+b24TVt+b25IVt+b26OIt+D27D1×IVt+D28D2×IVt +b29BASt-1+b30TVt-1+b31IVt-1+b32OIt-1+b33SPt+e2t

(3-8)

IVt=b41+b42D1+b43D2+b44TVt+b45BASt+b46OIt+b47D1×TVt +b48D2×BASt+b49D1×OIt+b50BASt-1+b51TVt-1+b52IVt-1 +b53OIt-1+b54SPt+b55RFt+e3t

(3-9)

OIt=b61+b62TVt+b63BASt+b64IVt+b65D2×TVt+b66D1×BASt +b67D2×BASt-1+b68D1×IVt+b69D2×IVt+b70TVt-1+b71OIt-1 +b72SPt+e4t

(3-10)

(΋)ҬܰໆБำԄ(TV) ಃ(3-7)ԄࣁҬܰໆБำԄǴTVtࣁѠ᡼ࡰኧය೤ӧಃtВ‫ޑ‬Ҭܰ ໆǴԜБำԄࣁሽ਱‫(୏ݢ‬IVt)ǵ҂ѳঊໆ(OIt)ǵಃ΋ԛፓफ़ࡕ‫ޑ‬ວ፤ ሽৡ(D1×BASt)ǵಃΒԛፓफ़ࡕ‫ޑ‬ວ፤ሽৡ(D2×BASt)ǵಃΒԛፓफ़ࡕ ‫ޑ‬ሽ਱‫(୏ݢ‬D2×IVt)ǵಃ΋ԛፓफ़ࡕ‫ޑ‬҂ѳঊໆ(D1×OIt)ǵಃΒԛፓफ़ ࡕ‫ޑ‬҂ѳঊໆ(D2×OIt)ǵሀ‫ۯ‬΋ය‫ޑ‬ວ፤ሽৡ(BASt-1)ǵሀ‫ۯ‬΋ය‫ޑ‬Ҭ ܰໆ(TVt-1)ǵሀ‫ۯ‬΋ය‫ޑ‬ሽ਱‫(୏ݢ‬IVt-1)ǵሀ‫ۯ‬΋ය‫ޑ‬҂ѳঊ೽Տ(OIt-1) 23

ᆶය೤่ᆉሽ਱(SPt)ϐ‫ڄ‬ኧǶ IVtࣁಃtВѠ᡼ࡰኧය೤‫ޑ‬ሽ਱‫୏ݢ‬ǴD2×IVtࣁಃΒԛፓफ़ࡕಃt ВѠ᡼ࡰኧය೤‫ޑ‬ሽ਱‫୏ݢ‬Ǵҁࣴ‫ز‬٬Ҕჴ፦‫୏ݢ‬ᑽໆВϣ‫ޑ‬ሽ਱‫ݢ‬ ୏ǶਥᏵషӝϩଛଷᇥҁࣴ‫ز‬ႣයВϣሽ਱‫୏ݢ‬ᆶҬܰໆև҅ӛᜢ ߯Ƕ OItࣁಃtВѠ᡼ࡰኧය೤‫ޑ‬҂ѳঊໆǴ҂ѳঊ೽ՏࣁѠ᡼ࡰኧය ೤҂ቬऊ‫ޑ‬ᕴໆǴӢࣁ҂ѳঊໆཇӭ߾ҬܰໆཇӭǴӢԜǴҁࣴ‫ز‬Ⴃ ය҂ѳঊໆᆶҬܰໆև҅ӛᜢ߯Ƕ OIt-1ࣁಃt-1ВѠ᡼ࡰኧය೤‫ޑ‬҂ѳঊໆǴӢࣁt-1‫ޑ‬҂ѳঊໆཇӭ ߾ಃtය‫ޑ‬ҬܰໆཇӭǴӢԜǴҁࣴ‫ز‬Ⴃයሀ‫ۯ‬΋ය‫ޑ‬҂ѳঊໆᆶҬ ܰໆև҅ӛᜢ߯Ƕ BAStࣁಃtВВϣѠ᡼ࡰኧය೤Ԗਏሽৡ‫ޑ‬ѳ֡Ǵວ፤ሽৡև౜ ΑҬܰԋҁ‫ޑ‬Ьा೽ҽǴ‫ځ‬ҭ೏ᇡࣁ཮όճ‫ޑ‬ቹៜҬܰໆǶ྽Ҭܰԋ ҁཇଯǴѱ൑ୖᆶ‫ޣ‬൩ཇόܰᕇளճዎǴѱ൑ୖᆶ‫ޣ‬வԶѐ൨‫פ‬Ҭܰ ԋҁၨե‫ߎޑ‬ᑼπ‫ڀ‬ǶD1×BAStᆶD2×BAStϩձж߄ಃ΋ԛᆶಃΒԛ ፓफ़ࡕಃtВ‫ޑ‬ວ፤ሽৡǴӕኬև౜ΑҬܰԋҁ‫ޑ‬Ьा೽ҽǴӢԜǴ ҁࣴ‫ز‬ҭႣයಃ΋ԛᆶಃΒԛፓफ़ࡕ‫ޑ‬ວ፤ሽৡᆶҬܰໆևॄӛᜢ ߯Ƕ

SPtࣁ߈ДӝऊಃtВ‫ޑ‬ය೤่ᆉሽ਱Ǵ‫ځ‬೏٬Ҕբࣁᑽໆ࣬ӕӝ ऊՠόӕሽ਱Нྗ‫ޑ‬ਏ݀Ƕ ӧӚԄύǴሀ‫ۯ‬ᡂኧ(ӵǺTVt-1ǵBASt-1ǵIVt-1ϷOIt-1)‫ޑ‬٬ҔΨࢂ ԖਥᏵ‫ޑ‬Ǵ೽ҽፓ᏾ኳࠠࢂࡰӧ‫؂‬చБำԄԵቾ‫ډ‬ϣғᡂኧ‫ޑ‬ϩଛ ሀ‫ۯ‬ਏ݀Ǵ຾Զ٬‫ځ‬բࣁኳࠠ‫ޑ‬ှញᡂኧǶ D1ϷD2ࣁ຀ᔕᡂኧǴ‫ځ‬ҔٰϩձжඹҬܰิவ࿤ϩϐϖफ़‫ډ‬࿤ϩ ϐΒᗺϖаϷவ࿤ϩϐΒᗺϖफ़‫ډ‬࿤ϩϐ΋‫ޑ‬ਏ݀Ǵ྽ၗ਑ਔ໔ӧ 2000ԃ5Д1В߻Ǵ߾D1=D2=0Ǵऩၗ਑ਔ໔ӧ 2000ԃ5Д1ВԿ 2006 ԃ1Д1В߾D1=1ǵD2=0Ǵऩၗ਑ਔ໔ӧ 2005ԃ12Д31ВࡕǴ߾ D1=0ǵD2=1ǶനࡕǴe1tǵe2tǵe3tϷe4tࣁӚԄϐූৡ໨Ƕ

(Β)ວ፤ሽৡБำԄ(BAS) ಃ(3-8)Ԅࣁວ፤ሽৡБำԄǴԜБำԄࣁҬܰໆ(TVt)ǵሽ਱‫ݢ‬ ୏(IVt)ǵ҂ѳঊໆ(OIt)ǵಃ΋ԛፓफ़ࡕ‫ޑ‬ሽ਱‫(୏ݢ‬D1×IVt)ǵಃΒԛ ፓफ़ࡕ‫ޑ‬ሽ਱‫(୏ݢ‬D2×IVt)ǵሀ‫ۯ‬΋ය‫ޑ‬ວ፤ሽৡ(BASt-1)ǵሀ‫ۯ‬΋ය ‫ޑ‬Ҭܰໆ(TVt-1)ǵሀ‫ۯ‬΋ය‫ޑ‬ሽ਱‫(୏ݢ‬IVt-1)ǵሀ‫ۯ‬΋ය‫ޑ‬҂ѳঊໆ (OIt-1)ᆶය೤่ᆉሽ਱(SPt)ϐ‫ڄ‬ኧǶ ऩ‫ॺך‬ԵቾаҬܰໆ(TVt)ᑽໆѱ൑ࢬ୏‫܄‬ǴёႣ‫ـ‬྽Ҭܰໆቚ у߾Ծᔼ୘ࡐԖёૈѐؑᎍ‫ځ‬Ӹ೤೽Տа෧Ͽሽ਱॥ᓀǴԶЪ཮Їଆ ວ፤ሽৡ෧ϿǶӢԜǴҁࣴ‫ز‬ႣයҬܰໆᆶວ፤ሽৡևॄӛᜢ߯Ƕ ሽ਱‫(୏ݢ‬IVt)ჹԾᔼ୘ᗦ֖Βᅿ॥ᓀǶಃ΋ǵԾᔼ୘ёૈሡ‫ڙ܍‬ ‫ځ‬Ӣၗౢ҂ϩණ‫سߚޑ‬಍‫܄‬॥ᓀǶಃΒǵၨε‫ޑ‬ሽ਱‫୏ݢ‬ёૈᆶၗૻ Ҭܰ‫ޣ‬Ԗ‫܌‬ᜢᖄǴ‫܌‬аԾᔼ୘ሡቚуວ፤ሽৡаံᓭϣጕҬܰ‫ޑޣ‬Ⴃ යཞѨǶӢԜǴҁࣴ‫ز‬ႣයВϣሽ਱‫୏ݢ‬ᆶວ፤ሽৡև҅ӛᜢ߯Ƕ ҂ѳঊໆ(OIt)ཇӭ߾߄ҢҬܰໆཇӭǴԶҬܰໆཇӭ߾཮Їଆວ ፤ሽৡ෧ϿǶӢԜǴҁࣴ‫ز‬Ⴃය҂ѳঊໆᆶວ፤ሽৡևॄӛᜢ߯Ƕ D1×IVtᆶD2×IVtϩձж߄ಃ΋ԛᆶಃΒԛፓफ़ࡕಃtВ‫ޑ‬ሽ਱‫ݢ‬ ୏Ǵҁࣴ‫ز‬Ⴃයಃ΋ԛᆶಃΒԛፓफ़ࡕ‫ޑ‬Ҭܰໆᆶວ፤ሽৡև҅ӛᜢ ߯Ƕ

RFtࣁಃtВ‫ޑ‬ค॥ᓀճ౗Ǵӧҁࣴ‫ز‬ύࢂҔٰඹжᗉᓀ‫ޑޣ‬Ⴃය ჴ፦೽ՏǴԶᗉᓀ‫ޑޣ‬Ⴃයჴ፦೽Տҭࣁ،‫ۓ‬Ҭܰໆ‫ޑ‬ќ΋ЬӢǶҗ ‫ܭ‬Ѡ᡼ࡹ۬ؒԖวՉ୯৤‫چ‬ǴЪԵቾ‫ډ‬ၗ਑‫ڗޑ‬ள‫܄‬ǴӢԜ٬Ҕಃ΋ ሌՉ‫ޑ‬ΟঁДӸීճ౗բࣁค॥ᓀճ౗Ǵ‫ځ‬ቹៜ࡭ԖӸ೤‫ޑ‬ᐒ཮ԋ ҁǴӢԜǴҁࣴ‫ز‬Ⴃයค॥ᓀճ౗ᆶວ፤ሽৡևॄӛᜢ߯Ƕ (Ο)ሽ਱‫୏ݢ‬БำԄ(IV) ಃ(3-9)Ԅࣁሽ਱‫୏ݢ‬БำԄǴԜБำԄࣁҬܰໆ(TVt)ǵວ፤ሽ ৡ(BASt)ǵ҂ѳঊໆ(OIt)ǵಃ΋ԛፓफ़ࡕ‫ޑ‬Ҭܰໆ(D1×TVt)ǵಃΒԛ ፓफ़ࡕ‫ޑ‬ວ፤ሽৡ(D2×BASt)ǵಃ΋ԛፓफ़ࡕ‫ޑ‬҂ѳঊໆ(D1×OIt)ǵሀ ‫ۯ‬΋ය‫ޑ‬ວ፤ሽৡ(BASt-1)ǵሀ‫ۯ‬΋ය‫ޑ‬Ҭܰໆ(TVt-1)ǵሀ‫ۯ‬΋ය‫ޑ‬ሽ ਱‫(୏ݢ‬IVt-1)ǵሀ‫ۯ‬΋ය‫ޑ‬҂ѳঊໆ(OIt-1)ǵය೤่ᆉሽ਱(SPt)ᆶคᓀ ճ౗(RFt)ϐ‫ڄ‬ኧǶ Ҭܰໆ(TVt)ཇӭ߾ሽ਱‫ׯ‬ᡂ‫ޑ‬ёૈ‫܄‬ཇεǴӢԶౢғሽ਱‫ݢ‬ ୏ǶԜѦǴਥᏵషӝϩଛଷᇥǴҬܰໆҭ཮Ӣၗૻ‫ޑ‬໺ሀԶቚуᡂ୏Ƕ ӕኬ‫ޑ‬ǴϣጕҬܰ‫ޣ‬ҭ཮٬ວ፤ሽৡᘉεǴ຾Զቚуሽ਱‫୏ݢ‬ǶӢԜǴ ҁࣴ‫ز‬ႣයҬܰໆᆶሽ਱‫୏ݢ‬և҅ӛᜢ߯Ƕ ҂ѳঊໆ(OIt)ཇӭ߾߄ҢҬܰໆཇӭǴҬܰໆཇӭ߾ሽ਱‫ׯ‬ᡂ‫ޑ‬ ёૈ‫܄‬ཇεǶӢԜǴҁࣴ‫ز‬Ⴃය҂ѳঊໆᆶሽ਱‫୏ݢ‬և҅ӛᜢ߯Ƕ

ค॥ᓀճ౗(RFt)཮ቹៜ࡭ԖӸ೤‫ޑ‬ᐒ཮ԋҁǴऩค॥ᓀճ౗ཇଯ ߾ҬܰໆཇϿǴ຾Զ٬ሽ਱‫୏ݢ‬ཇϿǴӢԜǴҁࣴ‫ز‬Ⴃයค॥ᓀճ౗ ᆶሽ਱‫୏ݢ‬ևॄӛᜢ߯Ƕ (Ѥ)҂ѳঊໆБำԄ(OI) ಃ(3-10)Ԅࣁ҂ѳঊໆБำԄǴԜБำԄࣁҬܰໆ(TVt)ǵວ፤ሽ ৡ(BASt)ǵሽ਱‫(୏ݢ‬IVt)ǵಃΒԛፓफ़ࡕ‫ޑ‬Ҭܰໆ(D2×TVt)ǵಃ΋ԛ ፓफ़ࡕ‫ޑ‬ວ፤ሽৡ(D1×BASt)ǵಃΒԛፓफ़ࡕ‫ޑ‬ວ፤ሽৡ(D2×BASt)ǵ ಃ ΋ ԛ ፓ फ़ ࡕ ‫ ޑ‬ሽ ਱ ‫( ୏ ݢ‬D1×IVt) ǵ ಃ Β ԛ ፓ फ़ ࡕ ‫ ޑ‬ሽ ਱ ‫୏ ݢ‬ (D2×IVt)ǵሀ‫ۯ‬΋ය‫ޑ‬Ҭܰໆ(TVt-1)ǵሀ‫ۯ‬΋ය‫ޑ‬҂ѳঊໆ(OIt-1)ᆶය ೤่ᆉሽ਱(SPt)ϐ‫ڄ‬ኧǶ

ಃѤ࿯ ࣴ‫ز‬ଷ೛ Ԝ࿯٩Ᏽࣴ‫ز‬Ҟ‫ޑ‬Զ଺раΠΐ໨ଷ೛Ǻ (΋)H0Ǻफ़ิࡕሽৡό཮ቹៜҬܰໆǶ H1Ǻफ़ิࡕሽৡ཮ቹៜҬܰໆǶ ऩ‫๊ܔ‬຀คଷ೛߾߄Ңफ़ิࡕ‫ޑ‬ሽৡ೽ҽ཮ᡉ๱ቹៜҬܰໆǶ (Β)H0Ǻफ़ิࡕሽৡό཮ቹៜ҂ѳঊໆǶ H1Ǻफ़ิࡕሽৡ཮ቹៜ҂ѳঊໆǶ ऩ‫๊ܔ‬຀คଷ೛߾߄Ңफ़ิࡕ‫ޑ‬ሽৡ೽ҽ཮ᡉ๱ቹៜ҂ѳঊໆǶ (Ο)H0Ǻफ़ิࡕुൂೀ౛ԋҁό཮ᡂ୏Ƕ H1Ǻफ़ิࡕुൂೀ౛ԋҁ཮ᡂ୏Ƕ ऩ‫๊ܔ‬຀คଷ೛߾߄Ңफ़ิࡕुൂೀ౛ԋҁ཮ᡂ୏Ƕ (Ѥ)H0Ǻफ़ิࡕҬܰሽৡό཮ᡂ୏Ƕ H1Ǻफ़ิࡕҬܰሽৡ཮ᡂ୏Ƕ ऩ‫๊ܔ‬຀คଷ೛߾߄Ңफ़ิࡕҬܰሽৡ཮ᡂ୏Ƕ (ϖ)H0Ǻफ़ิࡕҬܰໆό཮ቚуǶ H1Ǻफ़ิࡕҬܰໆ཮ቚуǶ ऩ‫๊ܔ‬຀คଷ೛߾߄Ңफ़ิफ़ิࡕҬܰໆ཮ቚуǶ

(Ϥ)H0Ǻ‫׫‬ᐒ‫ޣ‬ᆶᗉᓀ‫ޑޣ‬Ҭܰ฼ౣӧόӕҬܰิ‫ڋ‬Π࣬ӕǶ H1Ǻ‫׫‬ᐒ‫ޣ‬ᆶᗉᓀ‫ޑޣ‬Ҭܰ฼ౣӧόӕҬܰิ‫ڋ‬ΠόӕǶ ऩ‫๊ܔ‬຀คଷ೛߾߄Ң‫׫‬ᐒ‫ޣ‬ᆶᗉᓀ‫ޑޣ‬Ҭܰ฼ౣӧόӕҬܰิ ‫ڋ‬Πᡉ๱όӕǶ (Ύ)H0Ǻ‫׫‬ᐒ‫ޣ‬ᆶᗉᓀ‫ޑޣ‬Ҭܰ฼ౣӧόӕҬܰิ‫ڋ‬Πό཮ቹៜ౜೤ ѱ൑Ƕ H1Ǻ‫׫‬ᐒ‫ޣ‬ᆶᗉᓀ‫ޑޣ‬Ҭܰ฼ౣӧόӕҬܰิ‫ڋ‬Π཮ቹៜ౜೤ѱ ൑Ƕ ऩ‫๊ܔ‬຀คଷ೛߾߄Ң‫׫‬ᐒ‫ޣ‬ᆶᗉᓀ‫ޑޣ‬Ҭܰ฼ౣӧόӕҬܰิ ‫ڋ‬Π཮ᡉ๱ቹៜ౜೤ѱ൑Ƕ (Ζ)H0Ǻफ़ิࡕࡹ۬ิԏό཮ቚуǶ H1Ǻफ़ิࡕࡹ۬ิԏ཮ቚуǶ ऩ‫๊ܔ‬຀คଷ೛߾߄Ңफ़ิफ़ࡹ۬ิԏ཮ᡉ๱ቚуǶ (ΐ)H0ǺҞ߻‫ޑ‬Ҭܰิิ౗ࣁ΋ന፾ิ౗Ƕ H1ǺҞ߻‫ޑ‬Ҭܰิิ౗ߚ΋ന፾ิ౗Ƕ ऩ‫๊ܔ‬຀คଷ೛߾߄ҢҞ߻‫ޑ‬Ҭܰิิ౗ᡉ๱ߚ΋ന፾ิ౗Ƕ

ಃϖ࿯ ൂਥᔠ‫(ۓ‬Unit Root Test) ӧၮҔਔ໔ኧӈኳࠠ଺಍ीϩ‫݋‬ਔǴ२ӃѸ໪ዴ‫ۓ‬ᡂኧࣁࡡ‫ۓ‬ (Stationary)‫ރ‬ᄊǴωૈ຾Չ࣬ᜢࣴ‫ز‬ǴаխౢғGranger and Newbold (1974) ‫܌‬ගрଷ‫܄‬଑ᘜ(Spurious regression)Ƕऩ଑ᘜԄύ‫ޑ‬Ծᡂኧࣁ ߚ‫ۓ‬ᄊǴԶа໺಍നλѳБ‫(ݤ‬OLS)Б‫ݤ‬຾Չ଑ᘜϩ‫݋‬ǴջӧԾᡂኧ চҁᆶᔈᡂኧคҺՖӢ݀ᜢ߯ΠǴϩ‫ؒޣ݋‬Ԗჸ᝺Ծᡂኧࣁߚ‫ۓ‬ᄊǴ ՠϝၮҔ໺಍OLSᔠ‫ۓ‬Б‫ݤ‬ਔǴஒౢғࡐ৒ܰௗ‫ڙ‬Ծᡂኧᡉ๱ቹៜᔈ ᡂኧ‫่ޑ‬ፕǶ Զ‫܌‬ᒏ‫ۓ‬ᄊ‫ޑ‬ਔ໔ኧӈǴ߯ࡰᡂኧ‫ޑ‬ѳ֡ኧ‫ک‬ᡂ౦ኧࢂόᒿਔ໔ Զᡂ‫ޑ‬Ƕࡡ‫ۓ‬ኧӈᔠ‫ۓ‬ӧԜΞᆀࣁൂਥᔠ‫(ۓ‬Unit root test)ǴЬाࢂҔ ٰᔠ‫ۓ‬ኬҁኧӈࢂց‫ڀ‬Ԗࡡ‫ۓ‬ኧӈ‫܄ޑ‬፦Ƕऩ΋ߚ‫ۓ‬ᄊਔ໔‫ׇ‬ӈၗ ਑ǴѸ໪࿶ၸn໘ৡϩωૈၲ‫ۓډ‬ᄊǴ߾߄Ң‫ׇ‬ӈԖnঁൂਥǴаI(n) ߄Ңǹ྽‫ׇ‬ӈҁ‫ي‬҂࿶ၸৡϩςࢂ‫ۓ‬ᄊ‫ޣ‬Ǵ߾߄ҢࣁI(0)Ƕ চ‫ۈ‬Dickey and Fuller (1979) ᔠ‫ݤۓ‬Ǵ໻፾ӝAR(1)ኳࠠǶࣁΑ ှ،ԜୢᚒǴDickey and Fuller (1981) ӧচ‫ޑۈ‬DFᔠ‫ۓ‬ύуΕሀ‫ۯ‬ပ ࡕ໨Ǵ‫ॺך‬ᆀࣁADFᔠ‫ۓ‬Ƕ΋૓Զ‫ق‬ǴADFᔠ‫ۓ‬ёϩԋаΠΟᅿኳԄǺ (΋)คᅆੌ໨(Drift term)Ъคᖿ༈໨ϐᒿᐒᅐ‫؁‬ኳࠠǺ k %1

' y t & ( + % 1) y t %1 # ( * i' y t % i # ! i&1

(3-11)

(Β)คᅆੌ໨(Drift term)ՠԖᖿ༈໨ϐᒿᐒᅐ‫؁‬ኳࠠǺ k %1

'y t & " $ t # ( + % 1) yt %1 # ( * i 'y t %i # ! t i &1

(3-12)

(Ο)Ԗᅆੌ໨(Drift term)ЪԖᖿ༈໨ϐᒿᐒᅐ‫؁‬ኳࠠǺ k %1

'y t & , # " $ t # ( + % 1) y t %1 # ( * i 'y t %i # ! t i &1

(3-13)

Ԝೀ‫߄"ޑ‬Ң΋໘ৡϩၮᆉηǴ#ࣁᅆੌ໨Ǵtࣁਔ໔ᖿ༈Ǵ$tࣁ‫ځ‬ ಄ӝқᏓॣၸำ‫ූޑ‬ৡ໨Ƕ຀คଷ೛H0Ǻ%=1Ǵऩค‫๊ܔݤ‬຀คଷ೛Ǵ ߄Ңyt‫ڀ‬ԖൂਥǴࣁߚࡡ‫ׇۓ‬ӈǴѸ໪ஒԜ΋‫ׇ‬ӈ຾ՉৡϩǴฅࡕӆ ࡭ុ଺ൂਥᔠ‫ۓ‬Ǵ‫๊ܔډޔ‬຀คଷ೛ࣁЗǶ

ಃϤ࿯ ΋૓ϯ୏ৡ‫(ݤ‬General method of moment) ΋૓ӧ՗ीђ‫ڂ‬ጕ‫܄‬ኳࠠਔǴ೯தჹූৡ໨଺Αᝄ਱‫ޑ‬ଷ೛ǽ۶ Ԝ໔ό࣬ᜢǵᡂ౦ኧࡡ‫ۓ‬Ϸှញᡂኧ໔࣬ϕᐱҥǴҭջஒ౦፦ᡂ౦ (Heteroscedasticity) Ϸ Ծ ‫ ࣬ ך‬ᜢ (Autocorrelation) ‫ ޑ‬౜ ຝ у а ۹ ౣ ό ᆅǶ೯த౦፦ᡂ౦ኧ৒ܰวғ‫ܭ‬ᐉᘐय़ၗ਑Ǵਔ໔‫ׇ‬ӈၗ਑߾දၹӸ ӧԾ‫࣬ך‬ᜢ‫ޑ‬ୢᚒǴԶ೭٤౜ຝ֡ၴङђ‫ڂ‬ኳࠠ‫ޑ‬ଷ೛ǶऩаOLSБ ‫ݤ‬՗ी‫܌‬ள‫ୖޑ‬ኧѸ‫ۓ‬ԖୃᇤౢғǴӕਔ՗ी่݀‫ޑ‬Ԗਏ‫܄‬ (Efficiency)Ϸ΋ठ‫܄‬ΨѸ‫ډڙ‬፦ᅪǹЀ‫ܭځ‬ӕਔᏱԖᐉᘐय़ᆶਔ໔‫ׇ‬ ӈ‫ޑ‬Panel DataύǴ೭٤ୢᚒஒ཮‫׳‬уँᡉрٰǴᝄख़Ӧቹៜ‫ډ‬ჴ᛾ ϩ‫҅ޑ݋‬ዴ‫܄‬Ƕ Զှ،౦፦ᡂ౦ኧᆶԾ‫࣬ך‬ᜢ‫ޑ‬ୢᚒǴ೯த௦Ҕ΋૓നλѳБ‫ݤ‬ ٰ੃ନූৡ໨ᡂ౦‫ޑ‬ӢηǴёᕇள‫ڀ‬Ԗਏ‫ޑ܄‬՗ी่݀ǶฅԶ೽ҽჴ ຓࣴ‫ز‬ᇡࣁᕇள‫ڀ‬΋ठ‫ୖޑ܄‬ኧ՗ीॶК‫ڀ‬Ԗਏ‫ୖޑ܄‬ኧ՗ीॶ‫׳‬ ࣁख़ाǶӢԜࣁᅈ‫ى‬΋ठ‫่݀ޑ܄‬Ǵ೯த௦Ҕ୏ৡ‫ٰݤ‬՗ीୖኧǶ ΋૓ϯ୏ৡ‫ݤ‬җHansen (1982) ගрǴ‫ځ‬ᇡࣁ྽ኬҁኧᖿ߈‫ܭ‬ค ज़ε‫ޑ‬ਔংǴኬҁ୏ৡ཮ԏᔙԿ҆ᡏ୏ৡǴ‫܌‬аӧεኬҁ‫ޑ‬௃‫׎‬ΠǴ ёаճҔ೭ঁ‫܄‬፦ٰ‫؃‬р಄ӝ΋ठ‫܄‬Ϸதᄊϩଛ੝‫ޑ܄‬՗ीԄǶ

GMM՗ी‫ڀݤ‬ԖΠӈѤ໨੝‫܄‬Ǻ (΋)GMMѝा‫؃‬ၗ਑Ѹ໪ࣁ‫ۓ‬ᄊ(Stationary)Ǵ٠όा‫؃‬ኳࠠᡂኧ಄ӝ தᄊϩଛ‫ޑ‬ଷ೛Ǵ‫ܫ‬ቨჹූৡϩଛଷ೛‫ޑ‬ज़‫ڋ‬Ǵҭջ՗ीਔόሡ ଷ೛ූৡ໨ӧόӕය໔‫ޑ‬Ӆᡂ౦ኧࣁ႟ǴҭόሡाࣁΑ՗ी‫ޑ‬ਏ ౗‫܄‬Զଷ೛Ӛި౻໔‫ڀ‬Ԗӕ፦ᡂ౦Ƕ (Β)GMMૈᅈ‫ى‬Ԗज़ኬҁ੝ቻǵ‫ז‬ೲԏ⻃ǵԶЪ‫܌‬ሡ‫ૻޑ‬৲Ψၨ‫ځ‬ д՗ी‫ݤ‬ϿǶ (Ο)ջ٬ᡂኧӸӧԾ‫࣬ך‬ᜢǴ‫ූࢂ܈‬ৡ໨‫ڀ‬Ԗచҹ౦፦ᡂ౦‫ޑ܄‬௃ ‫ݩ‬ǴGMM՗ीϝฅёа಄ӝ΋ठ‫܄‬Ƕ (Ѥ)ӢࣁGMM՗ीԄ‫܌‬٬Ҕ‫ޑ‬ኬҁၗ਑Ǵ΋૓ٰᇥࢂό୼ε‫ޑ‬Ǵ৒ ܰ೷ԋ՗ी‫ޑ‬኱ྗৡၨεǴନߚኬҁኧ୼εǴց߾ஒ٬ள՗ी߯ ኧ‫ޑ‬ᡉ๱‫܄‬फ़եǴӢԜаGMM‫܌‬ᕇள‫ޑ‬ीໆ౛ፕ΢‫ޑ‬௢ፕࢂᅌ ຾‫(ޑ‬Asymptotic)Ƕ

ಃѤക ჴຓ่݀ ಃ΋࿯ ൂਥᔠ‫่݀ۓ‬ ࣁΑᗉխӚᡂኧ໔Ӹӧଷ‫܄‬଑ᘜǴҁࣴ‫ز‬٬ҔคᄒຯϷᖿ༈໨ ‫ ޑ‬ADF ൂਥᔠ‫ۓ‬ѐᔠຎӚᡂኧࢂցࣁ‫ۓ‬ᄊǴҗ߄ 4-1 ё‫ޕ‬ǴѝԖ RF ӧ 1%‫ޑ‬ᡉ๱НྗΠ‫ൂ๊ܔ‬ਥǴHlvol ᆶ Realvol ࣣӧ 5%‫ޑ‬ᡉ๱ НྗΠ‫ൂ๊ܔ‬ਥǶќѦǴRF ᆶ SP ӧ΋໘ৡϩࡕࣣӧ 1%‫ޑ‬ᡉ๱Н ྗΠ‫ൂ๊ܔ‬ਥǴ‫ځ‬Ѭᡂኧ߾ਥᏵ Gallant et al. (1992)ǵChen et al. (2001) Ϸ Lee and Rui (2002) ࣣԖගϷ‫ޑ‬Б‫ݤ‬Ǵஒጕ‫܄‬ᆶߚጕ‫ޑ܄‬ਔ໔ᖿ༈ ѐନࡕǴаᇤৡ໨բࣁඹжᡂኧǶ2ӧѐନਔ໔ᖿ༈ࡕ‫ޑ‬ඹжᡂኧǴ ҭࣣӧ 1%‫ޑ‬ᡉ๱НྗΠ‫ൂ๊ܔ‬ਥǶ ߄ 4-1 ᕴኬҁය໔ϐ ADF ൂਥᔠ‫ۓ‬

Variable Qspread Espread

&ᔠ‫ۓ‬

-1.587

-1.589

Variable nQspread nEspread

&ᔠ‫ۓ‬

TV -0.098

Hlvol

Realvol

-2.012* -2.345* -0.030

nTV

nHlvol nRealvol

nOI

-3.042** -0.066 ' RF

' SP

-5.111** -4.385** -9.664** -5.951** -9.303** -19.113** -46.508** -48.163**

ຏ:1.Qspread=ൔሽሽৡǹEspread=ԖਏሽৡǹTV=ҬܰໆǹHlvol=ଯ-ե‫୏ݢ‬ǹRealvol=ჴ፦‫୏ݢ‬ǹ OI=҂ѳঊໆǹRF=ค॥ᓀճ౗ǹSP=ය೤่ᆉሽ਱Ƕ 2.ᖏࣚॶࢂаMackinnon(1996)‫ޑ‬ᖏࣚॶ߄،‫ۓ‬Ǵ1%ᆶ5%‫ޑ‬ᖏࣚॶϩձࣁ-2.566ᆶ-1.941Ƕ 3.**ǵ*ϩձ߄Ңӧ1%ǵ5%‫ޑ‬ᡉ๱НྗΠࣁᡉ๱Ƕ

Chou and Wang (2006)҂Եቾ‫ډ‬ਔ໔ᖿ༈Ƕ

yi & , 0 # " 1t # " 2 t 2 # ! i Ǵt ࣁਔ໔Ƕ 35

ಃΒ࿯ ѱ൑ࠔ፦௶ॊ಍ीᆶҬܰิჹ‫ځ‬ቹៜ่݀ ߄ 4-2 ࣁӚᡂኧ‫௶ޑ‬ॊ‫܄‬಍ीǴӅϩࣁΟঁਔᗺǴPanel B ࣁӚ ᡂኧӧѐନጕ‫܄‬ᆶߚጕ‫ޑ܄‬ਔ໔ᖿ༈߻௶ॊ‫܄‬಍ीǴё࣮рಃ΋ԛफ़ ิࡕ TV ᆶ OI ‫ޑ‬ύՏኧϩձவ 0.995 ᆶ 0.991 ቚу‫ ډ‬1.010 ᆶ 1.012Ǵ ಃΒԛፓफ़ࡕ߾ϩձΠफ़‫ ډ‬1.008 ᆶ 1.001Ǵ่݀ᡉҢόᆅࢂ‫׫‬ᐒ‫ޣ‬ ‫܈‬ᗉᓀ‫ޣ‬Ǵӧಃ΋ԛफ़ิࡕ‫׫‬ᐒ‫ޣ‬ᆶᗉᓀ‫ޑޣ‬Ҭܰࢲ୏೿Ԗ‫܌‬ቚуǴ ฅԶӧಃΒԛफ़ิࡕࠅ೿Ԗ‫܌‬Πफ़Ƕ Qspread ᆶ Espread ‫ޑ‬ύՏኧӧಃ΋ԛफ़ิࡕϩձவ 4.840 ᆶ 2.230 Πफ़ 1.740 ᆶ 1.050ǴಃΒԛफ़ิࡕ߾ϩձΠफ़‫ ډ‬1.367 ᆶ 0.533Ǵ Ԝ่݀ᆶ෧ϿҬܰิ཮ቚуѱ൑ࢬ୏‫ޑ܄‬ፕᗺ΋ठǶ ӧሽ਱‫୏ݢ‬Бय़Ǵಃ΋ԛफ़ิࡕ Hlvol ᆶ Realvol ‫ޑ‬ύՏኧϩձ வ 0.956%ᆶ 1.130%ቚу‫ ډ‬0.978%ᆶ 1.194%ǴಃΒԛफ़ิࡕ߾ϩձ Πफ़‫ ډ‬0.728%ᆶ 0.899%Ǵಃ΋ԛफ़ิ่݀Ѝ࡭Ҭܰิፓफ़ࡕǴᚇૻ Ҭܰ‫཮ޣ‬ቚуǴ຾ԶЇଆሽ਱‫୏ݢ‬ቚу‫ޑ‬ፕᗺǴಃΒԛफ़ิ่݀߾ցǶ Panel B ࣁӚᡂኧӧѐନጕ‫܄‬ᆶߚጕ‫ޑ܄‬ਔ໔ᖿ༈ࡕ‫௶ޑ‬ॊ‫܄‬಍ ीǴё࣮рಃ΋ԛफ़ิࡕ TV ᆶ OI ‫ޑ‬ύՏኧϩձவ-0.011 ᆶ-0.007 ቚ у‫ ډ‬0.001 ᆶ 0.003ǴಃΒԛፓफ़ࡕ߾ϩձቚу‫ ډ‬0.006 ᆶ 0.004Ǵ่ ݀ᡉҢόᆅࢂ‫׫‬ᐒ‫܈ޣ‬ᗉᓀ‫ޣ‬ǴӧΒԛफ़ิࡕҬܰࢲ୏೿Ԗ‫܌‬ቚуǶ

Qspread ᆶ Espread ‫ޑ‬ύՏኧӧಃ΋ԛफ़ิࡕϩձவ-0.222 ᆶ -0.150 ቚ‫ډ‬-0.059 ᆶ-0.080ǴಃΒԛፓफ़ࡕ߾ϩձቚу‫ډ‬-0.039 ᆶ -0.047ǴԜ่݀ᆶ෧ϿҬܰิ཮ቚуѱ൑ࢬ୏‫ޑ܄‬ፕᗺፂँǶ ӧሽ਱‫୏ݢ‬Бय़Ǵಃ΋ԛफ़ิࡕ Hlvol ᆶ Realvol ‫ޑ‬ύՏኧϩձ வ-1.065%ᆶ-0.497%ቚу‫ډ‬-0.287%Ϸ-0.191%ǴಃΒԛफ़ิࡕ߾ϩձ ቚу‫ډ‬-0.066%ᆶ-0.098%炻Ԝ่݀Ѝ࡭Ҭܰิፓफ़ࡕǴᚇૻҬܰ‫཮ޣ‬ ቚуǴ຾ԶЇଆሽ਱‫୏ݢ‬ቚу‫ޑ‬ፕᗺǶ ҁࣴ‫ز‬Ψӕኬᢀჸ‫ ډ‬RF ᆶ SP ‫ޑ‬ύՏኧӧಃ΋ԛफ़ิࣣ෧ϿǴ ӧಃΒԛफ़ิࣣቚу‫ޑ‬౜ຝǶ

߄ 4-2 ѱ൑ࠔ፦୷ҁ಍ी่݀

Panel A:ѐନਔ໔ᖿ༈߻ġ 1999/3/24-2000/4/30! Qspread Espread TV ѳ֡ኧ! ύՏኧ! ኱ྗৡ!

5.215 4.84 2.001

኱ྗৡ!

2.129 1.74 1.079 1.454 1.367 0.282

Hlvol Realvol

1.157 1.01 1.169 1.403 1.01 0.022 5707.978 1.05 1.01 0.978 1.194 1.012 0.015 5760.000 0.637 0.037 0.733 0.945 0.029 0.013 1039.086

2006/1/1-2007/12/31! Qspread Espread TV ѳ֡ኧ! ύՏኧ! ኱ྗৡ!

2.394 0.993 1.137 1.356 0.986 0.045 8264.551 2.23 0.995 0.956 1.13 0.991 0.045 7960.000 1.414 0.042 0.627 0.957 0.04 0 894.593

2000/5/1-2005/12/31! Qspread Espread TV ѳ֡ኧ! ύՏኧ!

Hlvol Realvol

0.563 1.007 0.864 1.084 1.001 0.018 7655.199 0.533 1.008 0.728 0.899 1.001 0.018 7642.000 0.296 0.029 0.499 0.607 0.02 0.002 988.671

Panel B:ѐନਔ໔ᖿ༈ࡕ 1999/3/24-2000/4/30! Qspread Espread TV ѳ֡ኧ! ύՏኧ! ኱ྗৡ!

0.232 -0.222 2.283

኱ྗৡ!

Hlvol Realvol

-0.046 -0.023 0.001 -0.116 0.026 0.002 0.022 5709.826 -0.059 -0.08 0.001 -0.287 -0.191 0.003 0.015 5760.000 3.639 3.737 0.118 0.671 9.567 0.298 0.046 9235.000

2006/1/1-2007/12/31! Qspread Espread TV ѳ֡ኧ! ύՏኧ!

0.137 -0.013 -0.905 -0.275 -0.011 0.045 8257.042 -0.15 -0.011 -1.065 -0.497 -0.007 0.045 7955.000 1.486 0.042 0.657 0.956 0.04 0 896.435

2000/5/1-2005/12/31! Qspread Espread TV ѳ֡ኧ! ύՏኧ! ኱ྗৡ!

Hlvol Realvol

-0.004 -0.014 0.004 0.082 0.087 0.002 0.018 7655.199 -0.039 -0.047 0.006 -0.066 -0.098 0.004 0.018 7642.000 0.234 0.299 0.029 0.505 0.629 0.021 0.002 988.671

ຏ:Qspread=ൔሽሽৡǹEspread=ԖਏሽৡǹTV=ҬܰໆǹHlvol=ଯ-ե‫୏ݢ‬ǹRealvol=ჴ፦‫୏ݢ‬ǹ OI=҂ѳঊໆǹRF=ค॥ᓀճ౗ǹSP=ය೤่ᆉሽ਱Ƕ

߄ 4-3 Ӛᡂኧѳ֡ኧᔠ‫ۓ‬ϐ଑ᘜ่݀ǴD1 ᆶ D2 ϩձࣁಃ΋ԛᆶ ಃΒԛफ़ิϐ຀ᔕᡂኧǴ่݀ᡉҢନΑ Qspread ᆶ Espread ѦǴಃ΋ ԛफ़ิᆶಃΒԛफ़ิࣣᡉ๱ቹៜ‫܌‬ԖᡂኧǶሽৡ่݀ᆶ Chou and Wang (2006) όӕǴ௢ፕࣁҁࣴ‫ز‬ஒਔ໔܎ߏΑǴӢԜ Qspread ᆶ Espread ό཮ᡉ๱෧ϿǴҁࣴ‫ز‬ҭӧัࡕ଺຾΋‫ޑ؁‬௖૸Ƕ ߄ 4-3 Ҭܰิჹѱ൑ࠔ፦ᡂኧᔠ‫่݀ۓ‬

Variable Qspread Espread ᄒຯ

D1 D2

Hlvol

Realvol

0.232ġ 0.137 -0.013** -0.905 -0.275**-0.011** 0.045** 8257.042** (0.701) (0.799) (-2.760) (-12.367) (-3.019) (-2.884) (74.784) (56.690) -0.278 -0.161 0.014** 0.789** 0.301** 0.013** -0.023** -2547.216** (-0.839)(-0.927) (2.773) (9.864) (2.949) (2.990)(-35.449) (-15.427) -0.236 -0.151 0.017** 0.987** 0.362** 0.014** -0.027** -601.843** (-0.711) (-0.872)ġ (3.222) (11.759) (3.318) (3.059) (-35.718) (-3.139)

R-Squared 0.009

0.006

0.021

0.178

0.016 0.078

0.404

0.521

ຏ:1.Qspread=ൔሽሽৡǹEspread=ԖਏሽৡǹTV=ҬܰໆǹHlvol=ଯ-ե‫୏ݢ‬ǹRealvol=ჴ፦‫୏ݢ‬ǹ OI=҂ѳঊໆǹRF=ค॥ᓀճ౗ǹSP=ය೤่ᆉሽ਱Ƕ 2.ࡴဦϣࣁ t ᔠ‫ۓ‬಍ीໆǴЪ٬Ҕ Newey-West ፓ᏾Ծ‫࣬ך‬ᜢϷ౦፦‫ୃޑ܄‬ᇤǶ 3.**ǵ*ϩձ߄Ңӧ1%ǵ5%‫ޑ‬ᡉ๱НྗΠࣁᡉ๱Ƕ 4.D1ᆶD2‫ޑ‬ਔ໔ᗺϩձࣁ 2000ԃ5Д1Вᆶ 2006ԃ1Д1ВǶ

ಃΟ࿯ ሽৡჴຓ่݀ ߄ 4-4 ਥᏵ Huang and Stoll (1997) ‫ܨ‬ှԖਏሽৡ‫௶ޑ‬ॊ‫܄‬಍ीǴ ӅϩࣁΟঁਔᗺǴҗ߄ё‫ޕ‬ಃ΋ԛफ़ิࡕुൂೀ౛ԋҁ‫ޑ‬ύՏኧவ 6.4%Πफ़‫ ډ‬6.2%ԶӸ೤Ϸ଍ᒧ᏷ԋҁ‫ޑ‬ύՏኧவ 93.6%ቚу‫ډ‬ 93.8%ǴӧಃΒԛफ़ิࡕुൂೀ౛ԋҁ‫ޑ‬ύՏኧӆफ़‫ ډ‬0.8%Ǵ࣬ϸ‫ޑ‬ Ӹ೤Ϸ଍ᒧ᏷ԋҁ‫ޑ‬ύՏኧ߾ࢂቚу‫ ډ‬99.2%Ƕ่݀ᡉҢΒԛफ़ิ೿ ٬ुൂೀ౛ԋҁ෧ϿǴӸ೤Ϸ଍ᒧ᏷ԋҁቚуǶ ߄ 4-4 Ԗਏሽৡ୷ҁ಍ी่݀

Panel A:ಃ΋ԛፓफ़߻(1999/3/24-2000/4/30)ġ Вኧ=286!

ुൂೀ౛ԋҁ!

Ӹ೤Ϸ଍ᒧ᏷!

Ҭܰሽৡ!

ѳ֡ኧ! ύՏኧ!

0.067 0.064 0.162

0.933 0.936 0.162

13.000 11.088 6.711

኱ྗৡ

Panel B:ಃ΋ԛፓफ़ࡕ‫ډ‬ಃΒԛፓफ़߻(2000/5/1-2005/12/31) Вኧ=1387!

ुൂೀ౛ԋҁ!

Ӹ೤Ϸ଍ᒧ᏷!

ѳ֡ኧ! ύՏኧ! ኱ྗৡ!

0.062 0.062 0.157

0.938 0.938 0.157

Ҭܰሽৡ!

7.242 6.057 4.275

Panel C:ಃΒԛፓफ़ࡕ(2006/1/1-2007/12/31) Вኧ=493!

ुൂೀ౛ԋҁ!

Ӹ೤Ϸ଍ᒧ᏷!

ѳ֡ኧ! ύՏኧ! ኱ྗৡ!

0.020 0.008 0.162

0.980 0.992 0.162

Ҭܰሽৡ!

6.952 5.94 3.568

߄ 4-5 ुൂೀ౛ԋҁǵӸ೤Ϸ଍ᒧ᏷ԋҁᆶҬܰሽৡѳ֡ኧᔠ‫ۓ‬ ϐ଑ᘜ่݀ǴD1 ᆶ D2 ϩձࣁಃ΋ԛᆶಃΒԛफ़ิϐ຀ᔕᡂኧǴ่݀ ᡉҢǴಃ΋ԛफ़ิԖᡉ๱फ़եҬܰሽৡ‫ޑ‬೽ҽǴԶಃΒԛफ़ิࡕुൂ ೀ౛ԋҁᆶҬܰሽৡࣣԖᡉ๱फ़ե‫ޑ‬౜ຝǶ Ԝ೽ҽ‫๊ܔ‬ଷᇥ(Ο)ᆶଷᇥ(Ѥ)ǴҬܰิፓफ़཮ᡉ๱फ़եुൂೀ ౛ԋҁϷҬܰሽৡǶ ߄ 4-5 ҬܰิჹӚሽৡ೽ҽᔠ‫่݀ۓ‬ Ӹ೤Ϸ଍ᒧ᏷

Ҭܰሽৡ

D2 !

0.067** (7.363) -0.005 (-0.483) -0.047** (-3.951)

0.933** (102.385) 0.005 (0.483) 0.047** (3.951)

13.000** (15.682) -5.759** (-6.598) -6.049** (-6.634)

R-squared

0.013

0.160

Variable ᄒຯ

ुൂೀ౛ԋҁ

ຏ:1.ࡴဦϣࣁ t ᔠ‫ۓ‬಍ीໆǴЪ٬Ҕ Newey-West ፓ᏾Ծ‫࣬ך‬ᜢϷ౦፦‫ୃޑ܄‬ᇤǶ 2.**ǵ*ϩձ߄Ңӧ1%ǵ5%‫ޑ‬ᡉ๱НྗΠࣁᡉ๱Ƕ 3.D1ᆶD2ਔ໔ᗺϩձࣁ 2000ԃ5Д1Вᆶ 2006ԃ1Д1ВǶ

ಃѤ࿯ ่ᄬ‫܄‬БำԄჴຓ่݀ ճҔ೴‫؁‬଑ᘜᑔᒧᡂኧࡕǴ‫ࣁॺך‬ΑᗉխӕයБำԄୃᇤӢԜӆ ٬Ҕ GMM ኳࠠѐ՗ीୖኧǴ߄ 4-6 ߾ࣁಃ΋ԛᆶಃΒԛफ़ิჹ‫ܭ‬Ҭ ܰໆǵວ፤ሽৡǵሽ਱‫୏ݢ‬ᆶ҂ѳঊໆӧ่ᄬ‫܄‬БำԄ‫ޑ‬ჴຓ่݀Ƕ (΋)फ़ิჹҬܰໆ‫ޑ‬ቹៜ IVt ߯ኧӧ 1%ᡉ๱НྗΠࣁ҅Ǵ߄Ңሽ਱‫୏ݢ‬ቚу཮ᡉ๱ቚуҬ ܰໆǴԜ่݀಄ӝሽ਱‫୏ݢ‬ቚу཮‫ׯ‬ᡂ‫׫‬ᐒ‫ޑޣ‬Ⴃुሽ਱ᆶቚуᗉᓀ ‫ޑޣ‬॥ᓀᙯඤሡ‫؃‬ϐ౛ፕ΋ठǴ಄ӝႣයǶD2×IV ߯ኧӧ 1%‫ޑ‬ᡉ๱ НྗΠࣁॄǴ߄ҢӧಃΒԛफ़ิࡕሽ਱‫୏ݢ‬෧Ͽ཮٬Ҭܰໆᡉ๱෧ ϿǴό಄ӝႣයǶ OIt ߯ኧӧ 1%ᡉ๱НྗΠࣁ҅Ǵ߄Ң҂ѳঊໆቚу཮ᡉ๱ቚуҬ ܰໆǴ಄ӝႣයǶD1×OIt ᆶ D2×OIt ߯ኧᗨࣁॄՠࣣόᡉ๱Ǵ߄Ңӧ Βԛफ़ิࡕ҂ѳঊໆቚу཮٬Ҭܰໆ෧Ͽՠόᡉ๱Ǵό಄ӝႣයǶ D1×BASt ᆶ D2×BASt ߯ኧӧ 1%ᡉ๱НྗΠࣁ҅Ǵ߄ҢӧΒԛफ़ ิࡕວ፤ሽৡ෧Ͽࣣ཮٬Ҭܰໆ෧ϿǴό಄ӝႣයǶ BASt-1 ߯ኧӧ 1%‫ޑ‬ᡉ๱НྗΠࣁ҅Ǵ߄Ң΢΋ය‫ޑ‬ວ፤ሽৡ෧ Ͽ཮٬೭ය‫ޑ‬Ҭܰໆ෧ϿǴ಄ӝႣයǶTVt-1 ߯ኧӧ 1%‫ޑ‬ᡉ๱НྗΠ ࣁ҅Ǵ߄ҢҬܰໆԖ࡭ុӸӧ‫ޑ‬౜ຝǴᆶ Wang et al. (1997) ‫่݀ޑ‬ ΋ठǴ಄ӝႣයǶIVt-1 ߯ኧӧ 1%‫ޑ‬ᡉ๱НྗΠࣁॄǴ߄Ң΢΋ය‫ޑ‬

ሽ਱‫୏ݢ‬෧Ͽ཮٬೭ය‫ޑ‬ҬܰໆቚуǴό಄ӝႣයǶOIt-1 ߯ኧӧ 1% ‫ޑ‬ᡉ๱НྗΠࣁॄǴ߄Ң΢΋ය‫ޑ‬҂ѳঊໆ෧Ͽ཮٬೭ය‫ޑ‬Ҭܰໆቚ уǴό಄ӝႣයǶ ය೤่ᆉሽ਱(SPt)ࢂҔٰ௓‫ڋ‬όӕሽ਱Нྗ‫ޑ‬ਏ݀Ǵ‫߯ځ‬ኧӧ 1%‫ޑ‬ᡉ๱НྗΠࣁ҅Ƕ D1 ᆶ D2 ࢂҔٰᑽໆफ़ิჹວ፤ሽৡ‫ޑ‬ቹៜǴ‫߯ځ‬ኧόӸӧǴ߄ Ңӧ௓‫ځڋ‬ѬᡂኧࡕǴफ़ิό཮ቹៜҬܰໆǴฅԶӧߕ߄΋ύǴ‫ॺך‬ ёа࣮‫ډ‬ಃΒԛफ़ิԖᡉ๱ቚу‫ޑ‬౜ຝǶ Ԝ೽ҽ‫๊ܔ‬ଷ೛(΋)Ǵफ़ิࡕሽৡቚу཮٬Ҭܰໆᡉ๱ቚуǶࠅ ค‫๊ܔݤ‬ଷ೛(ϖ)Ǵफ़ิࡕҬܰໆό཮ቚуǶ (Β)फ़ิჹວ፤ሽৡ‫ޑ‬ቹៜ TVt ߯ኧӧ 5%‫ޑ‬ᡉ๱НྗΠࣁ҅Ǵ߄ҢҬܰໆ཮٬ວ፤ሽৡᡉ ๱ቚуǴό಄ӝႣයǶ IVt ߯ኧӧ 1%‫ޑ‬ᡉ๱НྗΠࣁ҅Ǵ߄Ңሽ਱‫୏ݢ‬ቚу཮٬ວ፤ሽ ৡᡉ๱ቚуǴ಄ӝႣයǶԶ D1×IVt ᆶ D2×IVt ߯ኧӧ 1%‫ޑ‬ᡉ๱НྗΠ ࣁॄǴ߄ҢΒԛफ़ิࡕሽ਱‫୏ݢ‬෧Ͽࣣ཮٬ວ፤ሽৡᡉ๱ቚуǴό಄ ӝႣයǶ OIt ߯ኧӧ 1%‫ޑ‬ᡉ๱НྗΠࣁॄǴ߄Ң҂ѳঊໆ෧Ͽ཮ᡉ๱٬ວ ፤ৡሽᡉ๱ቚуǴ಄ӝႣයǶ

BASt-1 ߯ኧӧ 1%‫ޑ‬ᡉ๱НྗΠࣁ҅Ǵ߄Ңວ፤ሽৡԖ࡭ុӸӧ ‫ޑ‬౜ຝǴ಄ӝႣයǶTVt-1 ߯ኧӧ 1%‫ޑ‬ᡉ๱НྗΠࣁ҅Ǵ߄Ң΢΋ය ‫ޑ‬Ҭܰໆቚу཮٬೭ය‫ޑ‬ວ፤ሽৡቚуǴό಄ӝႣයǶIVt-1 ߯ኧӧ 1%‫ޑ‬ᡉ๱НྗΠࣁॄǴ߄Ң΢΋ය‫ޑ‬ሽ਱‫୏ݢ‬෧Ͽ཮٬೭ය‫ޑ‬ວ፤ ሽৡቚуǴό಄ӝႣයǶOIt-1 ߯ኧӧ 1%‫ޑ‬ᡉ๱НྗΠࣁ҅Ǵ߄Ң΢ ΋ය‫ޑ‬҂ѳঊໆ෧Ͽ཮٬೭ය‫ޑ‬ວ፤ሽৡቚуǴό಄ӝႣයǶ SPt ߯ኧӧ 1%‫ޑ‬ᡉ๱НྗΠࣁॄǶ D1 ᆶ D2 ࢂҔٰᑽໆफ़ิჹວ፤ሽৡ‫ޑ‬ቹៜǴ‫߯ځ‬ኧӧ 1%ᡉ๱ НྗΠࣁॄǴ߄Ңӧ௓‫ځڋ‬ѬᡂኧࡕǴफ़ิ཮٬ວ፤ሽৡᡉ๱෧ϿǶ D1×TVtǵD2×TVt ᆶ D1×OItǵD2×OIt ߯ኧࣣόӸӧǴ߄Ңӧᖄҥ БำಔΠ‫ځ‬ቹៜਏ݀όமǴԶӧߕ߄΋ύҭؒԖᡉ๱ቹៜ౜೤ѱ൑ວ ፤ሽৡ‫ޑ‬౜ຝǶ Ԝ೽ҽค‫๊ܔݤ‬ଷ೛(Ύ)Ǵ‫׫‬ᐒ‫ޣ‬ᆶᗉᓀ‫ޑޣ‬Ҭܰ฼ౣӧόӕҬ ܰิ‫ڋ‬Πό཮ቹៜ౜೤ѱ൑‫ޑ‬ວ፤ሽৡǶ (Ο)फ़ิჹሽ਱‫ޑ୏ݢ‬ቹៜ TVt ߯ኧӧ 1%‫ޑ‬ᡉ๱НྗΠࣁ҅Ǵ߄ҢҬܰໆቚу཮٬ሽ਱‫ݢ‬ ୏ᡉ๱ቚуǴ಄ӝႣයǶD1×TVt ߯ኧӧ 1%‫ޑ‬ᡉ๱НྗΠࣁ҅Ǵ߄Ң ӧಃ΋ԛफ़ิࡕҬܰໆቚу཮٬ሽ਱‫୏ݢ‬ᡉ๱ቚуǴ಄ӝႣයǶ BASt ߯ኧӧ 1%‫ޑ‬ᡉ๱НྗΠࣁ҅Ǵ߄Ңວ፤ሽৡቚу཮٬ሽ਱

‫୏ݢ‬ᡉ๱ቚуǴ಄ӝႣයǶD2×BASt ߯ኧӧ 1%‫ޑ‬ᡉ๱НྗΠࣁ҅Ǵ ߄Ңӧಃ΋ԛफ़ิࡕວ፤ሽৡቚу཮٬ሽ਱‫୏ݢ‬ᡉ๱ቚуǴ಄ӝႣ යǶ OIt ߯ኧӧ 1%‫ޑ‬ᡉ๱НྗΠࣁॄǴ߄Ң҂ѳঊໆ෧Ͽ཮٬ሽ਱‫ݢ‬ ୏ᡉ๱ቚуǴό಄ӝႣයǶD1×OIt ߯ኧᗨࣁॄՠόᡉ๱Ǵ߄Ңӧಃ΋ ԛफ़ิࡕ҂ѳঊໆ෧Ͽ཮٬ሽ਱‫୏ݢ‬ቚуǴό಄ӝႣයǶ BASt-1 ߯ኧӧ 1%‫ޑ‬ᡉ๱НྗΠࣁॄǴ߄Ң΢΋ය‫ޑ‬ວ፤ሽৡ෧ Ͽ཮٬೭ය‫ޑ‬ሽ਱‫୏ݢ‬ቚуǴό಄ӝႣයǶTVt-1 ߯ኧӧ 1%‫ޑ‬ᡉ๱Н ྗΠࣁॄǴ߄Ң΢΋ය‫ޑ‬Ҭܰໆቚу཮٬೭ය‫ޑ‬ວ፤ሽৡቚуǴ಄ӝ ႣයǶIVt-1 ߯ኧӧ 1%‫ޑ‬ᡉ๱НྗΠࣁ҅Ǵ߄Ңሽ਱‫୏ݢ‬Ԗ࡭ុӸӧ ‫ޑ‬౜ຝǴ಄ӝႣයǶOIt-1 ߯ኧӧ 1%‫ޑ‬ᡉ๱НྗΠࣁ҅Ǵ߄Ң΢΋ය ‫ޑ‬҂ѳঊໆቚу཮٬೭ය‫ޑ‬ሽ਱‫୏ݢ‬ቚуǴό಄ӝႣයǶ SPt ߯ኧᗨࣁॄՠόᡉ๱Ƕค॥ᓀճ౗(RF)Ⴃයᆶሽ਱‫୏ݢ‬ևϸ ӛᜢ߯ǴӢࣁค॥ᓀճ౗ཇଯ߾ය೤ᐒ཮ԋҁཇଯǴ຾Զ٬ሽ਱‫୏ݢ‬ ෧ϿǴԶҁࣴ‫ز‬ϐค॥ᓀճ౗߯ኧࣁॄՠόᡉ๱Ǵ಄ӝႣයǶ D1 ᆶ D2 ࢂҔٰᑽໆफ़ิჹሽ਱‫ޑ୏ݢ‬ቹៜǴ‫߯ځ‬ኧӧ 1%ᡉ๱ НྗΠࣁ҅Ǵ߄Ңӧ௓‫ځڋ‬ѬᡂኧࡕǴफ़ิ཮٬ሽ਱‫୏ݢ‬ᡉ๱ቚуǶ Ԝ೽ҽ‫๊ܔ‬ଷ೛(Ύ)Ǵफ़ิࡕ‫׫‬ᐒ‫ޣ‬ᆶᗉᓀ‫ޑޣ‬Ҭܰ฼ౣӧόӕ Ҭܰิ‫ڋ‬Π཮ቹៜ౜೤ѱ൑‫ޑ‬ሽ਱‫୏ݢ‬Ƕ

(Ѥ)फ़ิჹ҂ѳঊໆ‫ޑ‬ቹៜ TVt ߯ኧӧ 1%‫ޑ‬ᡉ๱НྗΠࣁ҅Ǵ߄ҢҬܰໆቚу཮٬҂ѳঊ ໆᡉ๱ቚуǴ಄ӝႣයǶD2×TVt ߯ኧӧ 1%‫ޑ‬ᡉ๱НྗΠࣁॄǴ߄Ң ӧಃΒԛफ़ิࡕҬܰໆ෧Ͽ཮٬ሽ਱‫୏ݢ‬ᡉ๱ቚуǴό಄ӝႣයǶ BASt ߯ኧӧ 5%‫ޑ‬ᡉ๱НྗΠࣁॄǴ߄Ңວ፤ሽৡ෧Ͽ཮٬҂ѳ ঊໆᡉ๱ቚуǴ಄ӝႣයǶԶ D1×BAS ᆶ D2×BAS ߯ኧΨӧ 1%‫ޑ‬ᡉ ๱НྗΠࣁॄǴ߄ҢΒԛफ़ิࡕວ፤ሽৡ෧Ͽࣣ཮٬҂ѳঊໆቚуǴ ಄ӝႣයǶ IVt ߯ኧӧ 1%‫ޑ‬ᡉ๱НྗΠࣁॄǴ߄Ңሽৡ‫୏ݢ‬෧Ͽ཮٬҂ѳঊ ໆᡉ๱ቚуǴό಄ӝႣයǶD1×IVt ᆶ D2×IVt ߯ኧࣣӧ 1%‫ޑ‬ᡉ๱Нྗ Πࣁ҅Ǵ߄ҢӧΒԛफ़ิࡕሽ਱‫୏ݢ‬ቚу཮٬҂ѳঊໆᡉ๱ቚуǴ಄ ӝႣයǶ TVt-1 ߯ኧࣁ҅ՠόᡉ๱Ǵ߄Ң΢΋ය‫ޑ‬Ҭܰໆቚу཮٬೭ය‫ޑ‬ ҂ѳঊໆቚуՠόᡉ๱Ǵ಄ӝႣයǶOIt-1 ߯ኧӧ 1%‫ޑ‬ᡉ๱НྗΠࣁ ҅Ǵ߄Ң΢΋ය‫ޑ‬҂ѳঊໆቚу཮٬೭ය‫ޑ‬҂ѳঊໆቚуǴ಄ӝႣයǶ SPt ߯ኧӧ 1%‫ޑ‬ᡉ๱НྗΠࣁॄǶ D1 ᆶ D2 ࢂҔٰᑽໆफ़ิჹວ፤ሽৡ‫ޑ‬ቹៜǴ‫߯ځ‬ኧόӸӧǴ߄ Ңӧ௓‫ځڋ‬ѬᡂኧࡕǴΒԛफ़ิࣣό཮ቹៜ҂ѳঊໆǴฅԶӧߕ߄΋ ύǴ‫ॺך‬ёа࣮‫ډ‬Βԛफ़ิࣣԖᡉ๱ቚу‫ޑ‬౜ຝǶ

Ԝ೽ҽ‫๊ܔ‬ଷ೛(Β)Ǵफ़ิࡕሽৡ෧Ͽ཮٬҂ѳঊໆᡉ๱ቚуǶ (ϖ)ᆕӝλ่ வ߄ 4-6 ‫ॺך‬ёа࣮‫ߏډ‬යਔǴ‫׫‬ᐒ‫ޣ‬ቚу཮٬ሽ਱‫୏ݢ‬ᡉ๱ቚ уǴԶᗉᓀ‫ޣ‬ቚу཮٬ሽ਱‫୏ݢ‬ᡉ๱෧ϿǴԶӧΒԛፓफ़ϐࡕǴሽ਱ ‫୏ݢ‬೿Ԗᡉ๱ቚу‫ޑ‬౜ຝǴ೭߄Ңፓफ़ࡕ‫׫‬ᐒ‫ޑޣ‬ϸᔈำࡋε‫ܭ‬ᗉᓀ ‫ޣ‬຾Զ٬ሽ਱‫୏ݢ‬ቚуǴԜ่݀ᆶ Holmes and Tomsett (2004) ᇡࣁၗ ૻҬܰ‫܌ޣ‬೷ԋ‫ޑ‬ሽ਱‫୏ݢ‬ε‫ܭ‬ᚇૻҬܰ‫่ޑޣ‬ፕፂँǶ ‫׫‬ᐒ‫ޣ‬ቚу཮٬ວ፤ሽৡᡉ๱ቚуǴԶᗉᓀ‫ޣ‬ቚу཮٬ວ፤ሽৡ ᡉ๱෧ϿǴԶӧΒԛፓफ़ϐࡕǴວ፤ሽৡ೿Ԗᡉ๱෧Ͽ‫ޑ‬౜ຝǴ೭߄ Ңፓफ़ࡕᗉᓀ‫ޑޣ‬ϸᔈำࡋε‫׫ܭ‬ᐒ‫ޣ‬຾Զ٬ວ፤ሽৡ෧ϿǴΨёှ ញԋǴ‫׫‬ᐒ‫ޣ‬Ԗଓሽ‫ޑ‬౜ຝǴԶᗉᓀ‫཮ޣ‬অ҅Ԝ౜ຝǶӢԜ‫ॺך‬ว౜ Ӄ߻‫زࣴޑ‬Ǵӵ Wang and Yau (2000) Ϸ Chou and Wang (2006) ᇡࣁ फ़ิࡕѱ൑‫׫‬ၗ‫ޣ‬ཇӭ߾ວ፤ሽৡཇϿ‫ޑ‬౜ຝǴё຾΋‫؁‬ஒԜ౜ຝှ ញࣁᗉᓀ‫ޣ‬ቚу຾Զ٬ວ፤ሽৡ෧ϿǶ Ҭܰໆᆶሽ਱‫ࣁ୏ݢ‬ᚈӛ҅࣬ᜢǴԜ่݀ᆶ Garcia et al. (1986) ᇡࣁҬܰໆቚуਔǴሽ਱‫୏ݢ‬Ψӕਔቚу‫ݤ࣮ޑ‬΋ठǴΨӕኬᆶ Wang and Yau (2000) ᇡࣁሽ਱‫୏ݢ‬ᆶҬܰໆ໔Ӹӧ҅ӛᜢ߯‫ݤ࣮ޑ‬΋ ठǶ҂ѳঊໆ߾ᆶሽ਱‫୏ݢ‬ևᚈӛॄ࣬ᜢǴԜ่݀ᆶ Bessembinder and Seguin (1992) ว౜ႣයҬܰ‫ޑޣ‬Ҭܰໆᆶሽ਱‫୏ݢ‬ևॄ࣬ᜢǴЪሽ

਱‫୏ݢ‬෧Ͽ཮٬Ҕ҂ѳঊቚу‫่݀ޑ‬΋ठǶ ວ፤ሽৡᆶሽ਱‫୏ݢ‬ևᚈӛ҅࣬ᜢ‫߾่݀ޑ‬ᆶ Huang and Stoll (1997) ԃว౜ວ፤ሽৡᆶሽ਱‫୏ݢ‬և҅࣬ᜢ‫่݀ޑ‬΋ठǴҭЍ࡭ Wang and Yau (2000) ᛾ჴሽ਱‫୏ݢ‬ᆶວ፤ሽৡև҅࣬ᜢ‫ݤ࣮ޑ‬Ǵ ՠǴࠅϸჹ Wang and Yau (2000) ᇡࣁҬܰໆᆶວ፤ሽৡӸӧϸӛᜢ ߯‫ݤ࣮ޑ‬Ƕ ‫ॺך‬ӕኬёа࣮‫ډ‬Ǵᗉᓀ‫ޣ‬ᆶ‫׫‬ᐒ‫ޣ‬ӧߏයԖᚈӛ҅࣬ᜢ‫ޑ‬ቹ ៜǴฅԶ‫׫‬ᐒ‫ޣ‬ӧอයό཮‫ډڙ‬ᗉᓀ‫ޑޣ‬ቹៜǴՠᗉᓀ‫ޣ‬ӧಃΒԛफ़ ࡕิࠅ཮‫׫ډڙ‬ᐒ‫ޣ‬ᡉ๱ॄ࣬ᜢ‫ޑ‬ቹៜǶӢԜӧߏය‫ॺך‬ค‫๊ܔݤ‬ଷ ೛(Ϥ)Ǵ‫׫‬ᐒ‫ޣ‬ᆶᗉᓀ‫ޑޣ‬Ҭܰ฼ౣӧόӕҬܰิ‫ڋ‬Πคᡉ๱όӕǴ ฅԶӧอයϣࠅёа‫๊ܔ‬ଷ೛(Ϥ)Ǵ‫׫‬ᐒ‫ޣ‬ᆶᗉᓀ‫ޑޣ‬Ҭܰ฼ౣӧό ӕҬܰิ‫ڋ‬Πᡉ๱όӕǶ

߄ 4-6 ѱ൑ࠔ፦ᡂኧ่ᄬ‫܄‬БำԄ่݀

Variable

BAS

Intercept 0.001 (1.860) 0.160* (2.360) -0.160** (-5.500) 0.000 (-1.040) D1 -0.185** (-2.710) 0.126** (3.820) D2 -0.165* (-2.430) 0.183** (5.390) TVt 0.617* (2.430) 7.760** (13.020) 0.201** (15.950) BASt 0.185** (5.140) -0.002* (-2.230) IVt 0.022** (12.030) 0.419** (4.460) -0.009** (-8.930) OIt 0.678** (3.590) -3.190** (-7.670) -3.750** (-2.960) 2.579** (2.620) D1×TVt -0.111** (-4.750) D2×TVt -0.005** (-5.280) D1×BASt 0.006** (4.460) 0.385** (3.100) -0.019** (-6.890) D2×BASt 0.032** (6.840) -0.349** (-3.720) 0.004** (3.160) D1×IVt 0.008** (5.880) D2×IVt -0.007** (-2.900) -0.372** (-4.050) -1.500 (-1.320) D1×OIt -0.198 (-1.230) D2×OIt -0.165 (-1.000) BASt-1 0.003** (3.300) 0.751** (31.920) -0.130** (-4.750) TVt-1 0.385** (17.600) 1.590** (3.550) -3.305** (-7.070) 0.019 (1.580) IVt-1 -0.007** (-5.950) -0.062** (-3.380) 0.384** (9.560) OIt-1 -0.186** (-4.580) 1.709** (3.800) 0.855 (1.170) 0.691** (22.050) ' SPt 0.000** (5.240) -0.001** (-5.200) -0.001 (-1.620) -0.000** (-5.030) ' RFt -32809.900 (-1.120) R-square

0.392

0.663

0.384

0.555

ຏ:1.TV=ҬܰໆǹBAS=ԖਏሽৡǹIV=ჴ፦‫୏ݢ‬ǹOI=҂ѳঊໆǹRF=ค॥ᓀճ౗ǹ SP=ය೤่ᆉሽ਱ǹ ' RFt=΋໘ৡϩࡕ‫ޑ‬ค॥ᓀճ౗ǹ ' SPt=΋໘ৡϩࡕ‫ޑ‬ය೤่ᆉሽ਱Ƕ D1ϷD2ࣁ຀ᔕᡂኧǴ྽ၗ਑ਔ໔ӧ 2000ԃ5Д1В߻Ǵ߾D1=D2=0Ǵऩၗ਑ਔ໔ӧ 2000ԃ5 Д1ВԿ 2005ԃ12Д31В߾D1=1ǵD2=0Ǵऩၗ਑ਔ໔ӧ 2006ԃ1Д1ВࡕǴ߾ǴD1=0ǵD2=1Ƕ t-1߄ҢӚᡂኧϐሀ‫ۯ‬໨ǶҬ४໨ж߄Ӛᡂኧᆶफ़ิ໔‫ޑ‬ᜢ߯ǴӵǺD1*BAStࣁಃ΋ԛफ़ิࡕ ԖਏሽৡჹӚᡂኧ‫ޑ‬ቹៜǶ 2.ࡴဦϣࣁtᔠ‫ۓ‬಍ीໆǶ 3.**ǵ*ϩձ߄Ңӧ1%ǵ5%‫ޑ‬ᡉ๱НྗΠࣁᡉ๱Ƕ

ಃϖ࿯ ิԏჴຓ่݀ ӵ΢‫܌‬ॊǴफ़ิ཮෧Ͽය೤ҬܰԋҁǴቚу‫׫‬ᐒ‫ޣ‬ᆶᗉᓀ‫ޑޣ‬Ҭ ܰ୏ᐒ຾ԶቚуҬܰໆǴฅԶǴჹࡹ۬೽ߐٰᇥΨԖёૈ཮෧Ͽิ ԏǶӧԜ೽ҽǴҁࣴ‫ز‬ϩ‫݋‬फ़ิ߻ᆶफ़ิࡕ‫؂‬ԃิԏ‫ޑ‬ቹៜǴԶѠ᡼ ࡹ۬٠ؒԖϦ໒‫؂‬ВิԏǴӢԜ‫ॺך‬٬Ҕ(ࠨऊሽ਱*Ҭܰໆ*ิ౗)ѐ ՗ी‫؂‬ВิԏǶ ߄ 4-7 ࣁӚԃิᡂϯ߄Ǵҗ߄ё‫ޕ‬Ǵӧಃ΋ԛፓफ़߻ิԏѳ֡ኧ ࣁ NT$2,179,615Ǵӧፓफ़ࡕಃ΋ԃΠफ़‫ ډ‬NT$1,961,132ǴΠྖΑ 10.02%ǴฅԶิ౗ࠅவ࿤ϩϐϖፓफ़‫ډ‬࿤ϩϐΒᗺϖǴፓफ़Α 50%Ǵ ԶಃΒԛፓफ़߻ิԏѳ֡ኧࣁ NT$7,610,193Ǵӧፓफ़ࡕ΋ԃΠफ़‫ډ‬ NT$4,979,801ǴΠྖΑ 34.56%ǴฅԶิ౗ࠅவ࿤ϩϐΒᗺϖፓफ़‫ډ‬ ࿤ϩϐ΋Ǵፓफ़Α 60%ǶӢԜǴ‫ॺך‬ё࣮рิԏΠྖ‫ޑ‬൯ࡋλ‫ิܭ‬౗ ፓफ़‫ޑ‬൯ࡋǶ ӧ‫؂‬ԃิԏ‫ޑ‬೽ҽ‫ॺך‬Ψё࣮‫ډ‬Ǵಃ΋ԛፓफ़ࡕಃ΋ԃǴԃิԏ ‫ޑ‬ዴࢂ෧ϿΑǴฅԶӧፓफ़ࡕಃΒԃǵಃΟԃϷಃѤԃǴԃิԏό෧ ϸቚǴಃΒԛፓफ़ࡕಃ΋ԃǴԃิԏΨӕኬ෧ϿΑǴฅԶӧፓफ़ࡕಃ ΒԃջԖӣൺ‫ډ‬ፓफ़߻‫ޑ‬НྗǶӢԜǴ‫ॺך‬ёаႣයӧፓफ़ࡕಃΟԃ ԃิԏջёຬຫፓफ़߻ǴӕኬԖό෧ϸቚ‫ޑ‬౜ຝǴӢԜ‫ॺך‬ёள‫ޕ‬Ǵ ፓफ़Ҭܰิჹิԏ‫ޑ‬ቹៜӧอය‫ޑ‬ዴԖ෧Ͽ‫ޑ‬౜ຝ(໵སය)Ǵՠӧߏ

යࠅ‫ڀ‬Ԗቚу‫ޑ‬౜ຝǶԜ೽ҽ‫๊ܔ‬ଷ೛(Ζ)Ǵफ़ิࡕࡹ۬ิԏ཮ᡉ๱ ቚуǹᆕӝ΢ॊϩ‫݋‬Ǵᆶಃ΋ԛፓफ़࣬КǴ‫ॺך‬ว౜ҬܰิӧಃΒԛ ፓफ़ࡕ཮٬ѱ൑ࠔ፦Бय़‫ޑ‬ວ፤ሽৡቚу(-0.185 Կ-0.165)ҭӕኬ཮ ٬ሽ਱‫୏ݢ‬ቚу(0.126 Կ 0.183)ǴฅԶሽৡਏ౗෧Ͽำࡋ(-0.165)ςౣ λ‫ܭ‬ѱ൑ᛙ‫܄ۓ‬Πྖำࡋ(0.183)ǴԶิԏϝԖቚуᖿ༈ǴӢԜǴ‫ॺך‬ Ψ‫๊ܔ‬ଷ೛(ΐ)Ǵҁࣴ‫ز‬ᇡࣁҞ߻‫ޑ‬Ҭܰิิ౗ᗋԖፓफ़‫ޜޑ‬໔Ǵฅ ԶԜ‫ޜ‬໔ࠅόεǶ ߄ 4-7 Ӛԃิԏᡂϯ߄ ၗ਑ጄൎ!

Вኧ! ิԏѳ֡ኧ ѳ֡ኧᡂ୏

ᡂ୏൯ࡋ

z-value

‫؂‬ԃิԏ!

1999/05/01-2000/04/30

266

2,179,615

579,777,712

2000/05/01-2001/04/30

264

1,961,132

-218,483**

-10.02%

(-3.494)

517,738,825

2001/05/01-2002/04/30

243

3,176,674

997,059**

61.98%

-10.221

771,931,876

2002/05/01-2003/04/30

250

3,928,031

1,748,416**

23.65%

-20.871

982,007,758

2003/05/01-2004/04/30

251

8,765,897

6,586,282**

123.16%

-27.887 2,200,240,232

2005/01/01-2005/12/31

247

7,610,193

2006/01/01-2006/12/31

248

4,979,801 -2,630,392**

-34.56%

(-26.854) 1,234,990,603

2007/01/01-2007/12/31

247

7,451,809

49.64%

-12.917 1,840,596,735

-158,384**

ຏ:1.Βԛፓफ़ਔ໔ᗺϩձࣁ 2000/05/01ᆶ 2006/01/01Ƕ 2.**ǵ*ϩձ߄Ңӧ1%ǵ5%‫ޑ‬ᡉ๱НྗΠࣁᡉ๱Ƕ 3.1%ǵ5%ϐzॶᖏࣚॶࣁ1.96ǵ1.645Ƕ!

1,879,717,673

ಃϖക ࣴ‫่ز‬ፕᆶࡌ᝼ ಃ΋࿯ ่ፕ ҁࣴ‫ز‬௦Ҕ΋૓ϯ୏ৡ‫ݤ‬ѐϩ‫݋‬Ҭܰิፓफ़ჹ‫ܭ‬Ҭܰໆǵວ፤ሽ ৡǵሽ਱‫୏ݢ‬Ϸ҂ѳঊໆӧѠ᡼у៾ࡰኧය೤ѱ൑‫ޑ‬ቹៜǴӧԜஒҁ ࣴ‫ز‬ኧঁԖ፪‫่݀ޑ‬և౜ӵΠǺ (΋)Ҭܰิፓफ़ࡕǴሽৡቚу཮٬‫׫‬ᐒ‫ޣ‬ቚуԶᗉᓀ‫཮ޣ‬෧ϿǴԶЪ ‫׫‬ᐒ‫ޣ‬ቚу‫ޑ‬ำࡋ཮ε‫ܭ‬ᗉᓀ‫ޣ‬෧Ͽ‫ޑ‬ำࡋǴԜ่݀ᆶ Wang and Yau (2000) Ϸ Chou and Wang (2006) ࣣᇡࣁҬܰໆᆶວ፤ሽৡ ևϸӛᜢ߯‫ޑ‬ፕᗺፂँǶ (Β)Ҭܰิፓफ़ࡕǴሽৡ‫ܨ‬ှϐࡕ‫ޑ‬Ҭܰሽৡᆶुൂೀ౛ԋҁࣣ཮Π फ़ԶӸ೤Ϸ଍ᒧ᏷ԋҁ཮΢ϲǴԜ่݀ᆶ Chou and Wang (2006) ΋ठǶ (Ο)ߏයٰᇥǴҬܰิፓफ़ࡕ‫׫‬ᐒ‫ޣ‬ቚу཮٬ሽ਱‫୏ݢ‬ᡉ๱ቚуԶᗉ ᓀ‫ޣ‬ቚу཮٬ሽ਱‫୏ݢ‬ᡉ๱෧ϿǴԶЪ‫׫‬ᐒ‫ޑޣ‬ϸᔈ཮ε‫ܭ‬ᗉᓀ ‫ޑޣ‬ϸᔈǴ຾Զ೷ԋሽ਱‫୏ݢ‬ቚуǴԜ่݀ᆶ Bessembinder and Seguin (1992) ΋ठࠅᆶ Holmes and Tomsett (2004) ᇡࣁၗૻҬ ܰ‫܌ޣ‬೷ԋ‫୏ݢޑ‬ε‫ܭ‬ᚇૻҬܰ‫่ޑޣ‬ፕፂँǶ‫׫‬ᐒ‫ޣ‬ቚуҭ཮ ٬ວ፤ሽৡᡉ๱ቚуǴԶᗉᓀ‫ޣ‬ቚу཮٬ວ፤ሽৡᡉ๱෧ϿǴԶ ᗉᓀ‫ޑޣ‬ϸᔈำࡋε‫׫ܭ‬ᐒ‫ޣ‬຾Զ٬ວ፤ሽৡ෧ϿǴԜ่݀ᆶ

Wang and Yau (2000) Ϸ Chou and Wang (2006) ΋ठǶ (Ѥ)Ҭܰิፓफ़ࡕǴჹ‫ܭ‬Ҭܰໆᆶ҂ѳঊໆؒԖܴᡉ‫ޑ‬ਏ݀ǴԜ่݀ ᆶ Chou and Lee (2002) ᇡࣁफ़ิࡕၗૻҬܰ‫ޣ‬ᆶᚇૻҬܰ‫ޑޣ‬ Ҭܰ೿Ԗቚу‫ޑ‬౜ຝፂँǴԶࡹ۬ิԏӧอයϣ཮Πफ़Ǵՠӧߏ යԖቚу‫ޑ‬ᖿ༈ǴԜิԏ่݀ᆶ Chou and Wang (2006) ΋ठǶ ᆕӝ΢ॊϩ‫݋‬Ǵ‫ॺך‬ว౜Ҭܰิፓफ़ӧѱ൑ࠔ፦Бय़཮٬ວ፤ሽ ৡᆶሽ਱‫ࣣ୏ݢ‬ቚуǴฅԶሽৡਏ౗෧Ͽำࡋςౣλ‫ܭ‬ѱ൑ᛙ‫܄ۓ‬Π ྖำࡋǴԶิԏϝԖቚуᖿ༈ǴӢԜǴҁࣴ‫ز‬ᇡࣁҞ߻‫ޑ‬Ҭܰิิ౗ ᗋԖፓफ़‫ޜޑ‬໔ǴՠԜ‫ޜ‬໔ࠅόεǴฅԶǴന߈ѱ൑ӭΑ΋ިஒ‫ۓݤ‬ ิ౗Πज़வ࿤ϩϐ΋ፓफ़Կί࿤ϩϐ΋ᗺΒϖǴҁࣴ‫߾ز‬ᇡࣁԜග᝼ ۘࡑᡍຓǶ

ಃΒ࿯ ࣴ‫ز‬ज़‫ڋ‬ ҁࣴ‫ز‬ӧࡹ۬ิԏ‫زࣴޑ‬໻ૈԵቾ‫ډ‬Ҭܰิิ౗‫ޑ‬ᡂϯǴค‫ݤ‬຾ ΋‫؁‬Եໆ‫ځ‬ѬӢન‫ޑ‬ቹៜǴӵǺߥຓߎǶ ಃΟ࿯ ࡌ᝼ ҁࣴ‫ࡌز‬᝼ࡕុࣴ‫ز‬ёଞჹаΠ൳ᗺ଺຾΋‫ޑ؁‬ϩ‫݋‬Ǻ (΋)٬ҔҬܰໆ‫ޑ‬Вϣၗ਑଺຾΋‫؁‬ϩ‫݋‬ǴӵԜ΋ٰ‫܌‬ԖᡂኧࣣࣁВ ϣၗ਑Ǵёள‫׳ډ‬၁ಒ‫ޑ‬ϩ‫݋‬Ƕ (Β)ஒሽৡ೽ҽ຾΋‫ܨ؁‬ှԋΟ೽ҽǴӵԜ΋ٰёа‫׳‬మཱ‫ޑ‬ᕕှफ़ ิჹ‫ܭ‬ሽৡ‫ޑ‬ቹៜǶ (Ο)຾΋‫؁‬ϩ‫݋‬ਏ౗‫܄‬ำࡋǴӵሽ਱໺ሀೲࡋǵᡂ౦ኧК౗฻Ƕ (Ѥ)ஒҬܰิิ౗‫ޑ‬ႣයયΕԵໆύǴӵԜ΋ٰёа‫׳‬మཱள‫ޕ‬ന፾ ิ౗Ǵஒёբࣁࡹ۬೽ߐ‫ڀ׳‬ᡏ‫ୖޑ‬ԵǶ

ୖԵЎ᝘ 1. Anderson, T. G.., Bollerslev, T. B., Deibold, F., and Ebens, H. (2001), “The distribution of realized stock return volatility,” Journal of Financial Economics, Vol. 61, pp. 43-67. 2. Bessembinder, H., and Seguin, P. J. (1992), “Futures trading activity and stock price volatility,” The Journal of Finance, Vol. 47, pp. 2015-2034. 3. Black, F. (1986), “Noise,” The Journal of Finance, Vol. 41, pp.529-543. 4. Campbell, J.Y., Grossman, S.J., and Wang, J. (1993), “Trading volume and serial correlation in stock returns,” Quarterly Journal of Economics, Vol. 108, pp. 905–939. 5. Chen, G.., Firth, M., and Rui, O. (2001), “The dynamic relation between stock returns, trading volume, and volatility,” The Financial Review, Vol. 38, pp. 153-174. 6. Chou, R. K., and Lee, J. H. (2002), “The relative efficiencies of price execution between the Singapore exchange and the Taiwan futures exchange,” The Journal of Futures Markets, Vol. 22 , pp. 173-196. 7. Chou, R. K., and Wang, G.. H. K., (2006), “Transaction tax and market quality of the Taiwan stock index futures,” The Journal of Futures Markets, Vol. 26, pp. 1195-1216. 8. Copeland, T. E. (1976), “A model of asset trading under the assumption of sequential information arrival,” Journal of Finance, Vol. 31, pp.1149-1168. 9. Clark, P. K. (1973), “A subordinated stochastic process model with finite variance for speculative prices,” Econometrica, Vol. 41, pp. 135-155. 10. Dickey, D. A. and Fuller, W. A. (1979), “Distribution of the estimators for autoregressive time series with a unit root,” Journal of the American Statistical association, vol. 74, pp. 427-431. 11.Dickey, D. A. and Fuller W. A. (1981), “Likelihood ratio statistics for autoregressive time series with a unit root,” Econometrica, vol. 49, pp. 1057-1072. 12. Fama, E. F. (1970), “Efficient capital markets: A review of theory and empirical work,” Journal of Finance, Vol. 25, pp. 383-417.

13. Fleming, J., Ostdiek, B., and Whaley, R. E. (1996), “Transaction Costs and the Relative Rates of price Discovery in Stock, Futures, and Option Markets,” The Journal of Future Markets, Vol. 16, pp. 353-387. 14. Gallant, A., Rossi, P., and Tauchen, G.. (1992), “Stock prices and volumes,” Review of Financial Studies, Vol. 5, pp. 199-242. 15. Garcia, P., Leuthold, R. M., and Zapata, H. (1986), “Lead-lag relationships between trading volume and price variability: New evidence,” The Journal of Future Markets, Vol.6, pp. 1-10. 16. Granger, C. W. J. and Newbold, P. (1974), “Spurious regressions in econometrics,” Journal of Econometrics, Vol. 2, pp. 111-120. 17. Grossman, Sanford J., and Miller, H. Merton, (1988), “Liquidity and market structure,” The Journal of Finance, Vol. 43, pp. 617-633. 18. Hansen, L. P. (1982), “Large sample properties of generalized method of moments estimators,” Econometrica, vol. 50, pp. 1029-1054. 19. Holmes, P., and Tomsett, M. (2004), “Informatin and noise in U.K. Futures Markets,” The Journal of Future Markets, Vol. 24, pp. 711-731. 20. Hsieh, W-L. G. (2004), “Regulatory changes and information competition: The case of Taiwan index futures,” The Journal of Futures Markets, Vol. 24, pp. 399-412. 21. Huang, R. D., and Stoll, H. R. (1997), “The components of the bid-ask spread: A general approach,” The Review of Financial Studies, Vol. 10, pp. 995-1034. 22. Huang, Y. C. (2004), “The components of bid-ask spread and their determinants: TAIFEX versus SGX_DT,” The Journal of Future Markets, Vol. 24, pp. 835-860. 23. Jones, C. M., and Seguin, P. L. (1997), “Transaction costs and price volatility: Evidence from commission deregulation,” American Economic Review, Vol. 87, pp. 728-737. 24. Kawaller, I. G., Koch, P. D., and Peterson, J. E.(2001), “Volume and volatility surrounding quarterly redesignation of the lead S&P 500 futures contract,” Journal of Futures Markets, Vol. 12, pp. 1119-1149. 25. Lee, B., and Rui, O. (2002), “The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence,” Journal of Banking and Finance, Vol. 26, pp. 51-78. 26. Lee, C. M. C., and Ready, M. J. (1991), “Inferring trade direction from intraday data,” The Journal of Finance, Vol. 46, pp. 733-746. 56

27. Newey, W. K., and West K. D. (1987), “A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix,” Econometrica, vol. 55, pp. 703–708. 28. Parkinson, M. (1980), “The extreme value method for estimating the variance of the rate of return,” Journal of Business, Vol. 53, pp. 61-68. 29. Summers, L. H., and Summers, V. P. (1989), “When financial markets work too well: A caution case for a security transaction tax,” Journal of Financial Service Research, Vol. 3, pp. 261-286. 30. Tauchen, G. E., and Pitts, M. (1983), “The price variability-volume relationship on speculative markets,” Econometrica, Vol. 51, pp.485-505. 31. Wang, C. (2002), “The effect of net positions by type of trader on volatility in foreign currency future markets,” The Journal of Future Markets, vol. 22, pp. 427-450. 32. Wang, C. (2003), “The behavior and performance of major types of future traders,” The Journal of Future Markets, vol. 23, pp. 1-31. 33. Wang, G. H. K., and Yau, J. (2000), “Trading volume, bid-ask spread, and price volatility in futures markets,” The Journal of Future Markets, Vol. 20, pp. 943-970. 34. Wang, G. H. K., Yau, J., and Baptiste, T. (1997), “Trading volume and transaction costs in futures markets,” The Journal of Futures Markets, vol. 17, pp. 757-780. 35. Watanabe, T. (2001), “Price volatility, trading volume, and market depth: Evidence from the Japanese stock index futures market,” Applied Financial Economics, Vol. 11, pp. 651-658. 36. Westerholm, J. (2003), “The impact of transaction costs on turnover, asset prices and volatility: The case of Sweden’s and Finland’s Security transaction tax reduction,” Finnish Journal of Business Economics, Vol. 52, pp. 213-241. 37. Ying, C. C. (1966), “Stock market prices and volume of sales,” Econometrica, vol. 34, pp.676-685.

ߕᒵ! ߕ߄΋!ѱ൑ࠔ፦ᡂኧፄ଑ᘜ่݀!

Panel A:ፄ଑ᘜ่݀ Variable Intercept D1 D2 TVt BASt IVt OIt D1×TVt D2×TVt D1×BASt D2×BASt D1×IVt D2×IVt D1×OIt D2×OIt BASt-1 TVt-1 IVt-1 OIt-1 ' SPt ' RFt R-square

BAS

-0.004 (-1.910) 0.271** (7.250) -0.163** (-3.700) -0.004** (-3.260) 0.004 (1.950) -0.287** (-7.120) 0.175** (3.650) 0.004** (3.100) 0.005* (2.120) -0.278** (-6.140) 0.218** (4.040) 0.005** (3.020) 1.112 (1.200) 0.194** (7.100) -0.002 (-1.960) -0.000 (-0.230) 7.547** (7.130) 0.153** (4.800) 0.017** (8.280) 0.562** (13.770) -0.009** (-6.330) 0.208** (4.690) -1.880* (-2.040) -4.883** (-4.490) -0.481 (-0.470) -0.037 (-0.950) -0.005** (-4.490) -0.295 (-0.220) 0.635** (4.060) -0.016** (-3.310) 0.006** (3.600) 3.556** (3.050) 0.029 (0.830) 0.032** (4.770) -2.442 (-1.540) -0.092* (-2.000) -0.001 (-0.250) -0.511** (-11.330) 0.005** (3.110) -0.004 (-1.410) -0.521** (-8.680) 0.009** (4.100) 0.155** (2.990) -1.387 (-1.290) -1.614 (-1.250) 0.175* (2.280) -0.767 (-0.490) 2.342 (1.200) 0.002 (1.920) 0.699** (49.760) -0.122** (-4.910) 0.000 (0.320) 0.372** (18.500) 1.600** (3.680) -1.800** (-3.390) 0.049** (3.180) -0.004** (-4.410) -0.037* (-2.100) 0.322** (15.960) -0.001 (-1.620) -0.087** (-2.870) 1.442* (2.360) 1.656* (2.230) 0.619** (38.570) 0.000** (4.670) -0.000** (-6.180) -0.001** (-7.300) -0.000** (-3.750) 156.650 (0.160) 15217 (0.770) -51692* (-2.150) -142.414 (-0.200) 0.434

0.668

0.395

0.562

Panel B:Ward ߯ኧᔠ‫ۓ‬ D1=D2 D1TVt = D2TVt D1BASt = D2BASt D1IVt = D2IVt D1OIt = D2OIt

0.35 14.96** 2.32 0.09

0.09 0.03 0.04 0.2

1.49 20.55** 18.02** 5.07*

0.17 10.42** 4.9* 5.35* -

ຏ:1.TV=ҬܰໆǹBAS=ԖਏሽৡǹIV=ჴ፦‫୏ݢ‬ǹOI=҂ѳঊໆǹRF=ค॥ᓀճ౗ǹ SP=ය೤่ᆉሽ਱ǹ ' RFt=΋໘ৡϩࡕ‫ޑ‬ค॥ᓀճ౗ǹ ' SPt=΋໘ৡϩࡕ‫ޑ‬ය೤่ᆉሽ਱Ƕ D1ϷD2ࣁ຀ᔕᡂኧǴ྽ၗ਑ਔ໔ӧ 2000ԃ5Д1В߻Ǵ߾D1=D2=0Ǵऩၗ਑ਔ໔ӧ 2000ԃ5 Д1ВԿ 2005ԃ12Д31В߾D1=1ǵD2=0Ǵऩၗ਑ਔ໔ӧ 2006ԃ1Д1ВࡕǴ߾ǴD1=0ǵD2=1Ƕ t-1߄ҢӚᡂኧϐሀ‫ۯ‬໨ǶҬ४໨ж߄Ӛᡂኧᆶफ़ิ໔‫ޑ‬ᜢ߯ǴӵǺD1*BAStࣁಃ΋ԛफ़ิࡕ ԖਏሽৡჹӚᡂኧ‫ޑ‬ቹៜǶ 2.Panel A‫ࡴޑ‬ဦϣࣁtᔠ‫ۓ‬಍ीໆǴPanel B‫ࣁॶޑ‬Fᔠ‫ۓ‬಍ीໆǶ 3.**ǵ*ϩձ߄Ңӧ1%ǵ5%‫ޑ‬ᡉ๱НྗΠࣁᡉ๱Ƕ 58

ߕ߄Β!ѱ൑ࠔ፦ᡂኧ೴‫؁‬଑ᘜ่݀!

Panel A:೴‫؁‬଑ᘜ่݀ Variable Intercept D1 D2 TVt BASt IVt OIt D1×TVt D2×TVt D1×BASt D2×BASt D1×IVt D2×IVt D1×OIt D2×OIt BASt-1 TVt-1 IVt-1 OIt-1 ' SPt ' RFt R-square

BAS

0.000 (0.010) 0.252** (51.030) -0.167** (15.280) 0.000 (0.380) -0.270** (49.110) 0.180** (14.920) -0.258** (34.950) 0.219** (16.700) 0.720 (2.790) 6.700** (70.960) 0.180** (126.170) 0.190** (57.320) -0.002** (12.470) 0.016** (386.980) 0.559** (228.890) -0.009** (41.080) 0.229** (29.150) -2.743** (20.690) -4.385** (21.320) 4.248** (21.270) -0.113** (9.540) 0.005** (14.500) -0.005** (17.580) 0.031** (21.920) 0.515** (13.660) -0.016** (11.820) -0.508** (166.270) 0.004** (7.430) -0.004 (2.320) -0.516** (94.380) 0.008** (14.740) 0.128** (6.690) -1.969 (3.210) 0.154* (4.180) 0.002* (6.150) 0.699** (2538.420) -0.119** (22.970) 0.375** (349.330) 1.599** (13.540) -1.819** (11.800) 0.043** (9.230) -0.004** (18.200) -0.039* (4.880) 0.323** (257.410) -0.080** (7.020) 1.248* (4.470) 1.748* (5.710) 0.628** (1633.060) 0.000** (22.030) -0.001** (38.520) -0.001* (52.060) -0.000** (15.140) -52903 (4.880) 0.432

0.667

0.394

0.560

Panel B:Ward ߯ኧᔠ‫ۓ‬ D1=D2 D1TVt = D2TVt D1BASt = D2BASt D1IVt = D2IVt D1OIt = D2OIt

14.42** 0.15

0.17 0.03 -

1.21 -

5.85* 5.86* -

ຏ:1.TV=ҬܰໆǹBAS=ԖਏሽৡǹIV=ჴ፦‫୏ݢ‬ǹOI=҂ѳঊໆǹRF=ค॥ᓀճ౗ǹ SP=ය೤่ᆉሽ਱ǹ ' RFt=΋໘ৡϩࡕ‫ޑ‬ค॥ᓀճ౗ǹ ' SPt=΋໘ৡϩࡕ‫ޑ‬ය೤่ᆉሽ਱Ƕ D1ϷD2ࣁ຀ᔕᡂኧǴ྽ၗ਑ਔ໔ӧ 2000ԃ5Д1В߻Ǵ߾D1=D2=0Ǵऩၗ਑ਔ໔ӧ 2000ԃ5 Д1ВԿ 2005ԃ12Д31В߾D1=1ǵD2=0Ǵऩၗ਑ਔ໔ӧ 2006ԃ1Д1ВࡕǴ߾ǴD1=0ǵD2=1Ƕ t-1߄ҢӚᡂኧϐሀ‫ۯ‬໨ǶҬ४໨ж߄Ӛᡂኧᆶफ़ิ໔‫ޑ‬ᜢ߯ǴӵǺD1*BAStࣁಃ΋ԛफ़ิࡕ ԖਏሽৡჹӚᡂኧ‫ޑ‬ቹៜǶ 2.Panel A‫ࡴޑ‬ဦϣࣁtᔠ‫ۓ‬಍ीໆǴPanel B‫ࣁॶޑ‬Fᔠ‫ۓ‬಍ीໆǶ 3.**ǵ*ϩձ߄Ңӧ1%ǵ5%‫ޑ‬ᡉ๱НྗΠࣁᡉ๱Ƕ