English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 114105/145137 (79%)
Visitors : 52212847      Online Users : 886
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/35136


    Title: 股市價量關係的分量迴歸分析
    A Quantile Regression Analysis of Return-Volume Relations in the Stock Markets
    Authors: 莊家彰
    Chuang, Chia-Chang
    Contributors: 管中閔
    謝淑貞
    Kuan, Chung-Ming
    Shieh, Shwu-Jane
    莊家彰
    Chuang, Chia-Chang
    Keywords: V字關係
    分量迴歸
    成交值
    成交量
    價量關係
    亞洲金融風暴
    均數上的 Granger 因果關係
    分量上的 Granger 因果關係
    V-shaped pattern
    quantile regression
    dollar volume
    share volume
    return-volume relation
    Asia Financial Crisis
    Granger causality in mean
    Granger causality in quantiles
    Date: 2005
    Issue Date: 2009-09-18 14:14:59 (UTC+8)
    Abstract: 第一章 台灣與美國股市價量關係的分量迴歸分析
    摘要
    本文利用分量迴歸來觀察台灣和美國股市報酬率和成交量的價量關係。實證結果發現兩地股市的價量關係截然不同。台灣股市的報酬率與成交量之間具有正向關係，呈現「價量齊揚」和「價跌量縮」的現象，而前者效果通常較顯著；但報酬率接近最大漲幅限制時，報酬率與成交量之間並無顯著關係，報酬率接近最大跌幅限制時，「價跌量縮」的現象甚至更強。相對於台灣，美國股市的報酬率與成交量則出現「價量齊揚」與「價量背離」互相對稱的 “V” 字關係。就實證方法而言，傳統以 OLS 方法估計的迴歸模型並無法得到上述的實證結果。進一步的分析顯示，融券成數的高低以及平盤以下不得放空等規定都是造成台灣股市出現「價跌量縮」的可能原因。


    第二章 股市價量關係的分量迴歸分析 (二)
    摘要
    本章利用分量迴歸觀察包括台灣在內的亞洲新興工業國家與成熟股市的價量關係。實證結果顯示，亞洲新興工業國家和日本股市「價量齊揚」的效果較強，其中香港、南韓和新加坡呈現較弱的「價量背離」現象，因此價量之間有不對稱的 “V” 字關係；而日本股市則呈現「價跌量縮」，與第一章分析的台灣股市價量關係相似。在成熟股市的價量關係中，英國金融時報指數、美國道瓊工業指數和德國股價指數皆呈現對稱的 “V” 字關係，與美國US指數的價量關係相似。亞洲地區的國家在1997下半年到1998上半年普遍經歷了一場金融風暴，本文進一步的分析發現在這場風暴期間，亞洲地區除了台灣以外，日本、香港、南韓與新加坡都出現較強的「價量齊揚」與「價量背離」，這種現象可能肇因於投資人認為風暴期間的股價報酬率風險較高，遂使得股價報酬率對成交量的反應較為敏銳。相對而言，歐美地區的國家，受到亞洲金融風暴的影響較小，所以整體的價量關係在亞洲金融風暴期間並無重大改變。本章的結果都是透過分量迴歸所獲得。


    第三章 股市價量因果關係的分量迴歸分析
    摘要
    本文依據分量迴歸設計 Granger 因果關係的新檢驗方法，並依此方法來檢驗幾個股市價量之間的因果關係。本文分析的股市包括日本、英國與美國等世界前三大股市，以及合稱亞洲四小龍的台灣、香港、南韓與新加坡等新興工業國家或地區的股市。實證結果顯示：除了台灣股市以外，其他的股市皆呈現 “V” 字的跨期價量關係。其中英國、美國、香港和新加坡股市的跨期價量關係大體呈現正向「價量齊揚」與負向「價量背離」互相對稱的 “V” 字關係，而日本和南韓股市則是「價量齊揚」較強的不對稱 “V” 字關係。此一結果表示這些股市的價量之間都存在分配上的 Granger (1969) 因果關係。但若以均數迴歸來衡量跨期價量關係，則所有股市都呈現不顯著的跨期價量關係，也就是傳統文獻上所謂價量之間沒有 Granger 因果關係。本文所提出的 Granger 因果關係之分量迴歸分析，可以觀察到整個條件分配中各分量的因果關係，為分配上的 Granger 因果關係提供一個較完整的檢驗方法。
    We examine the relationship between the stock return and trading volume in the Taiwan and U.S. Stock Exchanges using quantile regression. The empirical results show that the return-volume relations in these two exchanges are quite different. For Taiwan data, there are significant positive return-volume relations across quantiles, showing that a large positive return is usually accompanied with a large trading volume and a large negative return with a small trading volume, yet the effect of former is stronger. However, such relations change when returns approach the price limits. We also find that for U.S. data, return-volume relations exhibit symmetric V-shapes across quantiles, showing that a large return (in either sign) is usually accompanied with a large trading volume. On the other hand, linear regressions estimated by the ordinary least square method are unable to reveal such patterns. Further investigation shows that various restrictions on short sales in the Taiwan Stock Exchange may explain the difference between the return-volume relations in Taiwan and U.S. data.
    Reference: 第一章 台灣與美國股市價量關係的分量迴歸分析
    參考文獻
    郭迺峰、陳美琇 (2003)：“貨幣供給成長率、黃金交叉期間與股市報酬率之關係－分量迴歸法 (Quantile Regression) 之應用”貨幣觀測與信用評等，92.09。
    References
    Ackert L.F., and G. Athanassakos (2005). “The Relationship between Short Interest and Stock Returns in the Canadian Market,” Journal of Banking & Finance, 29, 1729-1749.
    Ahmed, Anwer S., R. A. Schneible JR, and D. E. Stevens (2003) “An Empirical Analysis of the Effects of Online Trading on Stock Price and Trading Volume Reaction to Earnings Announcements,” Contemporary Accounting Research 20, 413-439.
    Assogbavi, T., N. Khoury and P. Yourougou (1995). “Short Interest and the Asymmetry of the Price-Volume Relationship in the Canadian Stock-Market,” Journal of Banking & Finance, 19, 1341-1358.
    Baek, E.G.. and W. A. Brock (1992).“A General Test for Nonlinear Granger Causality: Bivariate Model,”Working paper, Iowa State University and University of Wisconsin, Madison.
    Blume, L., D. Easley, and M. O’Hara (1994).“Market Statistics and Technical Analysis: The Role of Volume,” Journal of Finance, 49, 153-182.
    Campbell, J. Y., and S. J. Grossman, and J. Wang (1993). “Trading Volume And Serial-Correlation in Stock Returns,” Quarterly Journal of Economics, 108, 905-939.
    Chamberlain, Gary.(1994). “Quantile Regression, Censoring and the Structure of Wages,” in Advance in Econometrics. Christopher Sims, ed. New York: Elsevier, pp. 171-209.
    Chordia, T. and B. Swaminathan (2000). “Trading Volume and Cross-Autocorrelations in Stock Returns,” Journal of Finance, 55, 913-935.
    Copeland, T. E. (1976). “A Model of Asset Trading under the Assumption of Sequential Information Arrival,” Journal of Finance, 31, 1149-1168.
    Delong, J.B., A. Shleifer, L.H. Summers, and R.J. Waldmann (1990). “Noise Trader Risk in Financial-Markets,” Journal of Political Economy, 98, 703-738.
    Dielman, T. E. (2005). “Least Absolute Value Regression: Recent Contributions,” Journal of Statistical Computation and Simulation, 75, 263-286.
    Epps, T.W. (1975). “Security Price Changes and Transaction Volumes: Theory and Evidence,” The American Economic Review, 65, 586-597.
    Epps, T. W., and M. L. Epps (1976).“The Stochastic Dependence of Security Price Changes and Transaction Volume: Implications for the Mixture-of-Distributions Hypothesis,”Econometrica, 44, 305-321.
    Efron, B. (1982).“The Jacknife, the Bootstrap and Other Resampling Plans,”Philadephia: Society for Industrial and Applied Mathematics.
    Gallant, A. R., P. E. Rossi, and G. Tauchen (1992).“Stock Prices and Volume,” Review of Financial Studies, 5, 199-242.
    Godfrey, M. D., C. W. J. Granger, and O. Morgenstern (1964). “The Random Walk Hypothesis of Stock Market Behavior,”Kyklos, 17, 1-30.
    Granger, C. W. J., and O. Morgenstern (1963). “Spectral Analysis of New York Stock Market Prices,”Kyklos, 16, 1-27.
    Hartog, Joop, Pereira, Pedro T. and Vieira, Jose A. (2001). “Changing Returns to Education in Portugal during the 1980s and Early 1990s: OLS and Quantile Regression Estimators,” Applied Economics, 33,1021-1037.
    Heckman, J. (1979). “Sample Selection Bias as a Specification Error,” Econometrica, 47, 153-61.
    Hiemstra, C., and J. D. Jones (1994).“Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation,” Journal of Finance, 49, 1639-1664.
    Jennings, R. H., L. T. Starks, and J. C. Fellingham (1981). “An Equilibrium Model of Asset Trading with Sequential Information Arrival,” Journal of Finance, 36, 143-161.
    Kandel, Eugene, and Pearson, Neil D. (1995):“Differential Interpretation of Public Signals and trade in Speculative Markets.”Journal of Political Economy, 103, 831-872.
    Karpoff, J. M. (1987). “The Relation between Price Changes and Trading Volume: A Survey,” Journal of Financial and Quantitative Analysis, 22, 109-126.
    Karpoff, J. M. (1988).“Costly Short Sales and the Correlation of Returns with Volume,” Journal of Financial Research, 11, 173-188.
    Kocagil, A. E. and Y. Shachmurove (1998). “Return-Volume Dynamics in Futures Markets,” Journal of Futures Markets, 18, 399-426.
    Koenker, R. (2000). “Galton, Edgeworth, Frisch, and Prospects for Quantile Regression in Econometrics,” Journal of Econometrics, 95, 347-374.
    Koenker, R. and G.. Bassett (1978).“Regression Quantile,”Econometrica, 46, 33-50.
    Koenker, R. and K. F. Hallock (2001). “Quantile Regression,”Journal of Economic Perspectives, 15, 143-156.
    Koenker, R. and J. A. Machado (1999). “Goodness of Fit and Related Inference Processes for Quantile Regression,”Journal of American Statistical Association, 94, 1296-1310.
    Kuan, C.-M. (2004). “Introduction to Quantile Regression,” Lecture Notes, Institute of Economics, Academia Sinica (www.sinica.edu.tw/~ckuan).
    Lakonishok, J, and S. Smidt, (1989).“Past Price Changes and Current Trading Volume,” Journal of Portfolio Management, 15, 18-24.
    Lo, A.W. and J. Wang (2000). “Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory,” Review of Financial Studies, 13, 257-300.
    Moosa, Imad A., and Al-Loughani, Nabeel E. (1995). “Testing the Price-Volume Relation in Emerging Asian Stock Markets,” Journal of Asian Economics, 6, 407-422.
    Richardson, G., S. E. Sefcik, and R. Thompson. (1986). “A Test of Dividend Irrelevance Using Volume Reaction to a Change in Dividend Policy,” Journal of Financial Economics, 17 313-333.
    Suominen, M. (2001). “Trading Volume and Information Revelation in Stock Markets,” Journal of Financial and Quantitative Analysis, 36, 545-565.
    Wang, J. (1994). “A Model of Competitive Stock Trading Volume,” Journal of Political Economy, 102, 127-168.
    Ying, C. C. (1966).“Stock Market Prices and Volumes of Sale,”Econometrica, 34, 676-686.
    第二章 股市價量關係的分量迴歸分析 (二)
    參考文獻
    莊家彰與管中閔 (2005),“台灣與美國股市價量關係的分量迴歸分析,”經濟論文，33，379-404.
    Reference
    Blume, L., D. Easley, and M. O’Hara (1994).“Market Statistics and Technical Analysis: The Role of Volume,” Journal of Finance, 49, 153-182.
    Campbell, J. Y., and S. J. Grossman, and J. Wang (1993). “Trading Volume And Serial-Correlation in Stock Returns,” Quarterly Journal of Economics, 108 (4), 905-939.
    Chordia, T. and B. Swaminathan (2000). “Trading Volume and Cross-Autocorrelations in Stock Returns,” Journal of Finance, 55, 913-935.
    Corsetti, G., P. Pesenti, and N. Roubini (1999). “What Caused the Asian Currency and Financial Crises? A Macroeconomic Overview,” Japan and the World Economy, 11, 305-373.
    Epps, T.W. (1975). “Security Price Changes and Transaction Volumes: Theory and Evidence,” The American Economic Review, 65, 586-597.
    Gallant, A. R., P. E. Rossi, and G. Tauchen (1992).“Stock Prices and Volume,” Review of Financial Studies, 5, 199-242.
    Furman, J. and J. Stiglitz (1998). “Economic Crises: Evidence and Insights From East Asia,” Brookings Papers on Economic Activity 2, 1-135.
    Harris, M. and A. Raviv (1993). “Difference of Opinion Make a Horse Race,” Review of Financial Studies, 6, 473-506.
    Karpoff, J. M. (1987). “The Relation between Price Changes and Trading Volume: A Survey,” Journal of Financial and Quantitative Analysis, 22, 109-126.
    Kaminsky, G. and C. Reinhart (1999). “The Twin Crises: The Causes of Banking and Balance-of-Payments,” American Economic Review, 89, 473-500.
    Kocagil, A. E. and Y. Shachmurove (1998). “Return-Volume Dynamics in Futures Markets,” Journal of Futures Markets, 18(4), 399-426.
    Radelet, S. and J. Sachs (1998). “The East Asian Financial Crisis: Diagnosis, Remedies, Prospects,” Brookings Papers on Economic Activity 1, 1-90.
    Suominen, M. (2001). “Trading Volume and Information Revelation in Stock Markets,” Journal of Financial and Quantitative Analysis, 36(4), 545-565.
    Wang, J. (1994). “A Model of Competitive Stock Trading Volume,” Journal of Political Economy, 102, 127-168.
    第三章 股市價量因果關係的分量迴歸分析
    參考文獻
    莊家彰與管中閔 (2005), “台灣與美國股市價量關係的分量迴歸分析,”經濟論文，33，379-404.
    Reference
    Ackert L.F., and G. Athanassakos (2005). “The Relationship between Short Interest and Stock Returns in the Canadian Market,” Journal of Banking & Finance, 29, 1729-1749.
    Assogbavi, T., N. Khoury and P. Yourougou (1995). “Short Interest and the Asymmetry of the Price-Volume Relationship in the Canadian Stock-Market,” Journal of Banking & Finance, 19, 1341-1358.
    Bhar, R., and S. Hamori (2005). “Causality in Variance and the Type of Traders in Crude Oil Futures,” Energy Economics, 27, 527-539.
    Blume, L., D. Easley, and M. O’Hara (1994). “Market Statistics and Technical Analysis: The Role of Volume,” Journal of Finance, 49, 153-182.
    Caporale, G. M., N. Pittis and N. Spagnolo (2002). “Testing for Causality-in-Variance: an Application to the East Asian Markets,” International Journal of Finance and Economics, 7, 235-245.
    Chen, G., M. Firth, and O. M. Rui (2001). “The Dynamic Relation Between Stock Returns, Trading Volume, and Volatility,” Financial Review, 38, 153-174.
    Cheung, Y. W., and L. K. Ng (1996). “A Causality-in-Variance Test and Its Application to Financial Market Price,” Journal of Econometrics, 72, 33-48.
    Chordia, T. and B. Swaminathan (2000). “Trading Volume and Cross– Autocorrelations in Stock Returns,” Journal of Finance, 55, 913-935.
    Chordia, T., R. Roll, and A. Subrahmanyam (2001). “Market Liquidity and Trading Activity,” Journal of Finance, 56, 501-530.
    Clark, P. K. (1973). “A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices,” Econometrica, 41, 135-155.
    Copeland, T. E. (1976). “A Model of Asset Trading under the Assumption of Sequential Information Arrival,” Journal of Finance, 31, 1149-1168.
    Crouch, R. L. (1970). “The Volume of Transactions and Price Changes on the New York Stock Exchange,” Financial Analysts Journal, 26, 104-109.
    Dielman, T. E. (2005). “Least Absolute Value Regression: Recent Contributions,” Journal of Statistical Computation and Simulation, 75, 263-286.
    Epps, T. W., and M. L. Epps (1976). “The Stochastic Dependence of Security Price Changes and Transaction Volume: Implications for the Mixture-of-Distributions Hypothesis,” Econometrica, 44, 305-321.
    Good, I.J. (1961/62) . “A Causal Calculus, Ⅰ/Ⅱ,” British Journal of Philosophical Society, 11, 305-312.
    Granger, C.W.J. (1969) . “Investigating Causal Relations by Econometric Model and Cross-Spectral Methods,” Econometrica, 37, 424-438.
    Granger, C.W.J. (1980) . “Testing for Causality – a Personal Viewpoint,”Journal of Economic Dynamics and Control, 2, 329-352.
    Harris, M. and A. Raviv (1993). “Difference of Opinion Make a Horse Race,” Review of Financial Studies, 6, 473-506.
    He, H. and J. Wang (1995). “Differential Information and Dynamic Behavior of Stock Trading Volume,” Review of Financial Studies, 8, 919-972.
    Hiemstra, C., and J. D. Jones (1994). “Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation,” Journal of Finance, 49, 1639-1664.
    Jennings, R. H., L. T. Starks, and J. C. Fellingham (1981). “An Equilibrium Model of Asset Trading with Sequential Information Arrival,” Journal of Finance, 36, 143-161.
    Kandel, E., and N. Pearson (1995). “Differential Interpretation of Public Signals and Trade in Speculative Markets,” Journal of Political Economy, 103, 831-872.
    Karpoff, J. M. (1986). “A Theory of Trading Volume,” Journal of Finance, 41, 1069-1088.
    Karpoff, J. M. (1987). “The Relation between Price Changes and Trading Volume: A Survey,” Journal of Financial and Quantitative Analysis, 22, 109-126.
    Karpoff, J. M. (1988). “Costly Short Sales and the Correlation of Returns with Volume,” Journal of Financial Research, 11, 173-188.
    King , M. A. and S. Wadhwani (1990). “Transmission of Volatility between Stock Markets,” Review of Financial Studies, 3, 5-33.
    Koenker, R. (2000). “Galton, Edgeworth, Frisch, and Prospects for Quantile Regression in Econometrics,” Journal of Econometrics, 95, 347-374.
    Koenker, R. and G.. Bassett (1978). “Regression Quantile,” Econometrica, 46, 33-50.
    Koenker, R. and K. F. Hallock (2001). “Quantile Regression,” Journal of Economic Perspectives, 15(4), 143-156.
    Kuan, C.-M. (2004). “Introduction to Quantile Regression,” Lecture Notes, Institute of Economics, Academia Sinica (www.sinica.edu.tw/~ckuan).
    Lamoureux, C. G. and W. D. Lastrapes (1990). “Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects,” Journal of Finance, 45, 221-229.
    Lee, B. S. and O. M. Rui (2002). “The Dynamic Relationship Between Stock Return and Trading Volume: Domestic and Cross-Country Evidence,” Journal of Banking & Finance, 26, 51-78.
    Lee, C. F. and O. M. Rui (2000). “Does Trading Volume Contain Information to Predict Stock Returns? Evidence from China’s Stock Markets,” Review of Quantitative Finance and Accounting, 14, 341-360.
    Moosa, Imad A. and N. E. Al-Loughani (1995). “Testing the Price-Volume Relation in Emerging Asian Stock Markets,” Journal of Asian Economics, 6, 407-422.
    Morgan, I. G. (1976). “Stock Prices and Heteroskedasticity,” Journal of Business, 49, 496-508.
    Pantelidis, T. and N. Pittis (2004). “Testing for Granger Causality in Variance in the Presence of Causality in Mean,” Economics Letters, 85, 201-207.
    Rogalski, R. J. (1978). “The Dependence of Prices and Volume,” The review of Economics and Statistics, 36, 268-274.
    Silvapulle, P. and Choi, J. S. (1999).“Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation: Korean Evidence.”The Quarterly Review of Economics and Finance, 39, 59-76.
    Suppes, P. (1979). A Probabilistic Theory of Causality (North-Holland Amsterdam)
    Wang, J. (1994). “A Model of Competitive Stock Trading Volume,” Journal of Political Economy, 102, 127-168.
    Ying, C. C. (1966). “Stock Market Prices and Volumes of Sale,” Econometrica, 34, 676-686.
    Description: 博士
    國立政治大學
    國際經營與貿易研究所
    87351503
    94
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0873515031
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

    Files in This Item:

    File Description SizeFormat
    51503101.pdf65KbAdobe PDF2981View/Open
    51503102.pdf62KbAdobe PDF2745View/Open
    51503103.pdf71KbAdobe PDF21110View/Open
    51503104.pdf87KbAdobe PDF2929View/Open
    51503105.pdf100KbAdobe PDF2867View/Open
    51503106.pdf95KbAdobe PDF21588View/Open
    51503107.pdf302KbAdobe PDF21523View/Open
    51503108.pdf60KbAdobe PDF2968View/Open
    51503109.pdf159KbAdobe PDF2940View/Open
    51503110.pdf267KbAdobe PDF21003View/Open
    51503111.pdf65KbAdobe PDF21315View/Open
    51503112.pdf177KbAdobe PDF21229View/Open
    51503113.pdf50KbAdobe PDF2836View/Open
    51503114.pdf285KbAdobe PDF21025View/Open
    51503115.pdf1495KbAdobe PDF21161View/Open
    51503116.pdf61KbAdobe PDF21083View/Open
    51503117.pdf319KbAdobe PDF21241View/Open
    51503118.pdf56KbAdobe PDF2833View/Open
    51503119.pdf260KbAdobe PDF21025View/Open
    51503120.pdf274KbAdobe PDF21008View/Open
    51503121.pdf516KbAdobe PDF2757View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback