Summary: | 碩士 === 淡江大學 === 管理科學研究所碩士班 === 95 === This study uses a sample of underlying stocks of Taiwan 50 ETFs over the period 2003-2005. The main purposes are to explore the relationship between market mechanism Variables and stock return volatility. Some statistical methods are used including multinomial regression, stepwise regression analysis and panel data model. The following conclusions are obtained in this study:
1. To influence of margin buying ratio and short selling ratio, the short selling ratio is larger, the stock return is also increasing. The margin buying ratio is larger, the return volatility of a stock is increasing at the same time.
2. The firm size is smaller, the return volatility of a stock is larger. It shows that the firm which size is small easily affected.
3. The return volatility of electronic stocks is larger than the return volatility of non- electronic stocks. It shows that not only foreign investors but also individual investors prefer electronic stocks.
4. To the influence of GARCH volatility and Market volatility, if QFII net buys-sells dollar volume is decreasing, market is in the fluctuated situation.
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