未來股價報酬率波動性影響因子分析ANOVA檢定之應用

The Application of ANOVA to the Impact Factor Analysis of Forward Volatility of Stock Price Returns

本研究探討未來股價報酬率波動性是否會受到股票市值高低、股價高低、與股本大小所影響。以台灣上市公司股票研究結果顯示，股票市值高低的確會影響其未來股價報酬率波動性，惟此影響之主要原因歸源於其股本大小對波動性的顯著影響，而非來自於股價高低變化之影響。再者，本研究亦發現股票未來報酬率波動性和股本大小水準之間呈現相對穩定的反向變化趨勢，因此結論建議：對於風險偏好之投資者而言，其選股應儘可能選擇小型股本之股票投資，而風險規避之投資者則應考量大型股本之股票。至於股價高低水準，從風險的角度而言，因影響並不顯著，實可平常心視之。

This study explores whether the forward volatility of stock price returns would be impacted by characteristic factors such as stock market value, stock capitalization, and stock price. Our ANOVA analysis findings show that stock market value indeed has significant impacts on forward return volatility. However, it is notable that this impact significance is mainly attributed to stock capitalization effect rather than stock price effect. Moreover, we also find that there exists a stable inverse relationship between forward return volatility and stock capitalization. In other words, the lower the level of stock capitalization is, the higher the forward return volatility will be. Our research therefore comes up with suggestions for risk lovers to incline towards to pick up stocks with small capitalization, whereas risk-averse investors may tag those with large capitalization. As to the effect of stock price, we may simply ignore it from the viewpoint of stock volatility.