交易量爆增後股價報酬之研究──大數據與R 程式語言之應用

Research on stock price return after trading volume exploded-Application of big data and R programming language

研究主要以證券市場龐大的交易資料，經由R程式語言撰寫程式整理、篩選並分析台灣證券交易所個股交易量爆增後股價報酬之研究。技術分析中常談到「量比價先行」，故本研究主要探討台灣股票市場個股在交易量突然「爆增」後股價的表現。本研究首先篩選當日交易量比前一日交易量爆增10倍以上的股票，先區分成當日股價上漲與下跌兩組，再來分析該股票次日、5日後、10日後的股價表現。最後以股票市場模型計算個股報酬率，並觀察是否存在次日、5日後、10日後之累計異常報酬，實證結果得以驗證本研究假說，證實當個股成交量爆大量且當日股價上漲，則該股次日、5日後與10日後之累計異常報酬率為正數。

This study is mainly based on the huge trading volume of the securities market.Organize filtering and analysis by writing programs in the R programming language.Research on Stock Price remunerationafter individualstock trading volum suddenly increase.
Technical analysis often talks about the stock volume will react earlier before price, so this research mainly discusses the stock price performance of Taiwan stock market after a sudden 'explosion' in trading volume.
This research first selects stocks whose trading volume has increased by more than 10 times the previous day's trading volume, and first divides them into two groups: the stock price rises and falls on the day, and then analyzes the stock's stock price performance the next day, 5 days, and 10 days later.Finally, the stock market model is used to calculate the return rate of individual stocks, and then observe whether there is an accumulated abnormal return after the next day, 5 days, and 10 days. The empirical results of this study show that,when trading volume soared and the stock price rises on the day, the cumulative abnormal return rate of the stock the next day, 5 days, and 10 days later is positive.