The Impact of Price Risk and Liquidity on the Persistence of Return

[[abstract]]報酬持續期間長短為股票市場投資人過度反應或反應不足的結果，當投資人交易越頻繁，報酬持續的期間可能愈長，所以我們觀察週轉率對價格持續性影響的效果。其次，投資人的行為常常隨著價格波動而調整，所以報酬持續期間長短可能隨著價格波動大小而有不同。本研究以台灣五十的月資料為樣本，用報酬率高低來區隔樣本，做為形成期的考量，然後用價格波動與週轉率為指標排序，建構形成期價格波動(週轉率)高低組合，觀察價格波動與週轉率對報酬持續性的影響，以提供投資人決策參考資訊。本研究檢視自2011年到2020年期間的台灣股票市場，發現價格波動大以及週轉率高的股票報酬確實較高，股票報酬的確會受到價格波動以及週轉率的影響，並呈現正相關。另外，台灣股票市場也確實存在著報酬持續性，但是價格波動的大小以及週轉率高低，跟報酬持續性就並非是正相關了。投資人對於價格波動大的股票，其交易意願、週轉率可能會提高，因此報酬期間到後來容易出現反轉現象，其報酬持續性將中斷，報酬持續期間可能不如投資人預期的長，投資人實際操作時可以多加留意。[[abstract]]The persistence of return is the result of overreaction or underreaction by investors in the stock market. When investors trade more frequently, the persistence of return may be longer. Therefore, we observe the effect of turnover rate on the persistence of prices. Secondly, the behavior of investors is often adjusted with price fluctuations, so the duration of the reward may vary with the size of price fluctuations. This study uses monthly data from Taiwan 50 as a sample, and divides the samples with the rate of return as the consideration of the formation period, and then ranks the indicators of price fluctuation and turnover rate to construct a portfolio of price fluctuations (turnover rate) during the formation period. , Observe the impact of price fluctuations and turnover rate on the persistence of return to provide investors with reference information for decision-making. This research examines the Taiwan stock market from 2010 to 2020 and finds that stocks with high price volatility and high turnover rate do have higher returns. Stock returns are indeed affected by price fluctuations and turnover rates and show a positive correlation. In addition, the Taiwan stock market does have persistence of return, but the level of price volatility and the level of turnover are not positively correlated with the persistence of return. Investors’ willingness to trade and the turnover rate for stocks with large price fluctuations may increase. Therefore, the persistence of the return period is prone to reversal and the continuity of the remuneration will be interrupted. The remuneration period may not be as long as the investor expects. Pay more attention to the actual operation