本研究探討上市公司之庫藏股買回對其股票成交量與機構投資人買賣超對股價日報酬率與日價格變動幅度關係之影響，研究期間為2011年1月至2020年12月。研究樣本為台灣上市電子公司，資料來源為TEJ資料庫及台灣證劵交易所，研究方法為GARCH模型。 實證結果顯示：台灣上市電子類股公司之實施庫藏股買回對於其股票日價格變動幅度的量價關係有結構性改變，而對於日報酬率的量價關係於庫藏股買回期間則有8成的公司有結構性改變。 This study explores the impact of treasury stock repurchase of listed companies on the relationship between stock trading volume, net buy of institutional investors, daily price return and daily price change range. The research period is from January 2011 to December 2020. The research samples are listed electronic companies in Taiwan, the data sources are TEJ database and Taiwan Stock Exchange, and the research method is GARCH model. The empirical results show that the implementation of treasury stock buyback by Taiwan-listed electronic stock companies has a structural change in the volume-price relationship of the daily stock price change range, while 80% of the companies have structural changes in the volume-price relationship of daily returns during the period of treasury stock buybacks.
