English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113325/144300 (79%)
Visitors : 51187368      Online Users : 892
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
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/36576


    Title: 集中市場與店頭市場的非線性價量關係-以台灣為例
    Authors: 鍾榮輝
    Contributors: 郭維裕
    George Kuo
    鍾榮輝
    Keywords: 線性因果關係
    非線性因果關係
    高頻資料
    跨市場
    linear causality
    nonlinear causality
    high-frequency
    granger
    Date: 1999
    Issue Date: 2009-09-18 18:53:48 (UTC+8)
    Abstract: 由於近年來店頭市場的發展迅速,規模不斷擴大,資金大量流入,重要性大為增加,加上資訊科技的進步,使資金在各市場間甚至是國際間的流動非常迅速,因此本研究試圖在高頻(high-frequency)的資料型態下,將價量因果關係的概念應用在探討集中市場與店頭市場之間的關係。首先是利用一般的Granger檢定討探其線性因果關係,接著利用Baek and Brock(1992)的非線性檢定模型檢定其是否存在著非線性因果關係。
    研究結果顯示,在高頻的資料型態下,台灣股票市場的集中市場與店頭市場其各別市場的價量之間存在有雙向的線性因果關係,而集中市場與店頭市場之間亦存在有雙向的線性因果關係。當然最重要的在非線性因果關係方面,集中市場與店頭市場其各別市場的價量之間,以及集中市場與店頭市場兩市場之間亦存在有雙向的非線性因果關係。
    Reference: 中文部份
    葉銀華,1990,台灣股票市場成交量與股價關係之實證研究一轉換函數模式,台北市銀行月刊,第二十二卷第十一期,57-70。
    鄭淙仁,1991,台灣股市日內價量關係之探討,政治大學企業管理研究所碩士論文。
    陳東明,1991,台灣股票場量關係之實證研究,台灣大學商學研究所碩士論文。
    陳清和,1992,股票成交量與股票報酬率變異數關係之研究,國立臺灣大學商學研究所碩士論文。
    陳立國,1993,台灣股市價量關係之研究,台灣大學財務金融究所碩士論文。
    徐合成,1994,台灣股市股票報酬與交易量關係之實證研究:GACH模型之應用,台灣大學財務金融究所碩士論文。
    楊踐為、許至榮,1997,台灣股票集中與店頭市場價量因果關係之探討,證券金融季刊第五十四期,19-32。
    劉永欽,1996,台灣地區股票市場之線性及非線性Granger因果關係之研究,交通大學管理科學研究所碩士論文。
    陳昆晞,1996,台灣股市價量關係之再研究,淡江大學金融研究所碩士論文。
    林益靖,1996,股市交易之價量互動,中興大學統計學研究碩士論文。
    英文部份
    Abhyankar, A, 1998, Linear and Nonlinear Granger Causality: Evidence From the U.K. Stock Index Futures Market, The Journal of Futures Markets, 519-540.
    Akaike, 1974, H., A New Look at the Statistical Model Identification,IEEE Transaction on Automatic Control, AC-19, 716-723.
    Baek, E. and W. Brock,1992, A General Test for Nonlinear Granger Causality: Bivariate Modle, Working Paper,Iowa State University and University of Wisconsin-Madison.
    Campbell J.,S. Grossman, and J.Wang,1993, Trading volume and serialcorrelation in stock returns, Quarterly Journal of Economics 108,905-939.
    Clark, P.K,1973, A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices, Econometrica Vol 41, 135-155.
    Copeland, T. E.,1976, A Model of Assets Trading under the Assumption of Sequential Information Arrival, Journal of Finance, Vol 31,1149-1168.
    Delong, J., A. Shieifer, L. Summers, and B. Waidmann, 1990, Positive Feedback Investment Strategies and Destabilizing Speculation, The Journal of Finance Vol 45, 379-395.
    ────,1990 , Noise Trader Risk InFinancial Market, Journal of Political Economy, vol 98, 703-737.
    Dickey, D.A. and W.A.Fuller, 1981, Likelihool Ratio Statistics for Auto-regressive Times Series with a Unit Root, conometrica 49, 1057-1072.
    Epps, T. W. and M.L. Epps, 1976, The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for Mixture-of-Distributions Hypothesis, Econometrica, Vol 44, 305-321.
    Granger, C.W.J., 1969, Investigating Causal Relations By Econometric Model And Cross-Spectral Methods, Econometrica 37, 424-438.
    Gallant,R., P. Rossi ,and G. Tauchen, 1992, Stock Prices and Volume,Rivew of Financial Studies Vol 5, 199-242.
    Godfrey, M. D., C. W. J. Granger, and 0. Morgenstern, 1964, the Random Walk Hypothesis of Stock Market Behavior, Kyklos, Vol 17, 1-30.
    Goodhart C.A.E., O’Hara M., 1997, High Frequency Data in Financial Markets: Issues and Applications, Journal of Empirical Finance 4,73-114.
    Harris, L.,E.Gurel, 1986, Price and Volume Effects Associated with Changes In the S&P 500 List : New Evidence for the Existance of Price Pressures,the Journal of Finance 41, 815-830.
    Hiemstra, C. and J. D. Jones, 1994, Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation, Journal of Finance Vol 49, 1639-1664.
    Jain, P. C. and G.H. Joh, 1988, The Dependence between Hourly Prices and Trading Volume, Journal of Financial and Quantitative Analysis Vol 23, 269-283.
    Jennings, R. H., L.T. Starks, and J.C. Fellingham, 1981, An Equilibrium Model of Asset Trading with Sequential Information Arrival, Journal of Finance Vol 36, 143-161.
    Karpoff, Jonathan K., 1987, The Relationship Between Prices Changes and Trading Volume: A Survey, Journal of Financial and Quantitative Analysis Vol 22, 109-126.
    Lakonishok, J. and S. Smidt, 1989, Past Price Changes and Current Trading Volume, Journal of Portfolio Management 15, 18-24.
    Lamoureus C.and W. Lastrapes,1990, Heteroskedasticity in Stock Return Data : Volume Versus GARCH Effects, Journal of Finance 45, 221-229.
    LeBaron, B., 1992, Persistence of the Dow Jones Index on Rising Volume, Working Paper, University of Wisconsin-Madison.
    Nelson, D. B., 1991, Conditional Heteroskedasticity in Asset Returns: A New Approach, Econometrica, Vol 59, 347-370.
    0sborne, M. F. M., 1959, Brownian Motion in the Stock Market, Operation Research, Vol 7,145-173.
    Rogalski, R. J., 1978, The Dependence of Prices and Volume, The Review Economics and Statistics, Vol 36, 268-274.
    Smirlock, M. and L.Starks,1988, An Empirical Analysis of the Stock Price-Volume Relationship, Journal of Banking and Finance, Vol.12,31-41.
    Silvapulle P. and Jong-Seo Choi, 1999, Testing for Linear and Nonlinear Grnager Causality in the Stock Price-Volume Relation : Korean Evidence, the Quarterly Review of Economics and Finance vol 30, 59-76.
    Stoll, H. and R. Whaley, 1990, Stock Market Structure and Volatility, The Review of Financial Studies, Vol 3, 37-71.
    Ying,C.C., 1966, Stock Market Prices and Volumes of Sales, Econometrica Vol 34, 676-686.
    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    87351016
    88
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2002002042
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

    Files in This Item:

    File SizeFormat
    index.html0KbHTML2354View/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