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    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
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    英文部份
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    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:[Department of International Business] Theses

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