股市技術分析的四大要素：價、量、時、空，技術分析就是利用過去和現在的成交量、成交價資料，以圖形分析和指標分析工具來分析、預測未來的市場走勢，在某一時點上的價和量反映的是買賣雙方在這一時點上共同的市場行為，是雙方的暫時均勢點，若是能解析成交量變動資料的話，則一定可以提供一般大眾投資者，獲取超額報酬的機會。 本研究時間以2000年1月至2018年8月，台灣全體上市櫃公司，並區分電子類股、非電子類股為研究樣本，利用每月成交量資料及市值規模建構成交量投資策略，採用每月成交量投資策略並探討在景氣循環與多空市場下之成交量變動是否存在超額報酬。 本研究實證結果顯示如下:一.採用每月成交量策略時，台灣全體上市櫃公司、電子股公司與非電子股公司樣本分類，小型低成交量公司投資組合報酬率顯著高於高成交量投資組合報酬率與加權指數。二.在景氣循環下，不論是哪種樣本分類，都存在成交量變動效應。三.在多空時期下，不論是哪種樣本分類，都存在成交量變動效應。 The four major elements of stock market technical analysis: price,volume, time and space, technical analysis is to use the past and present volume, transaction price data, graphical analysis and indicator analysis tools to analyze and predict future market trends. The volume and price at the specific time reflect a shared marketing behavior of both buyer and seller, a point of power balance on both sides. If volume variation data could be analyzed, it could be possible to provide common investors a chance to win excess returns. The study time was from January 2000 to August 2018, Listed Firms in Taiwan and divided electronic stocks, non-electronic stocks as research samples, using monthly trading volume data and market value to build a trading strategy, using Monthly trading volume investment strategy and explore whether there is excess compensation for changes in trading volume under the boom cycle and long-short market.1. When using the monthly volume strategy, the sample Listed Firms in Taiwan, electronic stock companies and non-electronic stock companies in Taiwan, the portfolio return rate of small low-volume companies is significantly higher than the high-volume portfolio return rate2. Under the economic cycle, there is a volume change effect all of the sample Significant.3. During bull/bear market, all of the sample Significant have volume change effect.
