政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/85308

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/85308

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政大典藏 > College of Commerce > Department of International Business > Theses > Item 140.119/85308

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/85308

Title:	認購權證與標的股票間之線性與非線性因果關係─台灣實證 Linear and nonlinear dynamics between stock and warrant markets in Taiwan Stock Exchange
Authors:	鄭明宗 Jeng, Ming-Tzung
Contributors:	郭維裕 Kuo, Wei-Yu 鄭明宗 Jeng, Ming-Tzung
Keywords:	線性因果關係非線性因果關係因果關係檢定認購權證市場股票市場 linear causality nonlinear Granger causality Granger causality test warrant market stock market
Date:	2001
Issue Date:	2016-04-18 16:24:38 (UTC+8)
Abstract:	In this study, linear and nonlinear Granger causality tests are used to examine the dynamics, including return to return and volume to volume relationships, between warrants and their underlying stocks in Taiwan Stock Exchange (TSEC). Results of previous studies are mixed and they only focus on linear relationship between the two markets. Here we take nonlinear relationship into consideration to assist in investigating what the direction of information flow is. We use intraday five-minute high frequency data and the result tells that, overall, for both return to return and volume to volume relations, there is bidirectional but asymmetry linear causality and weak unidirectional nonlinear causality from stock to warrant market between these two markets. Combining the linear and nonlinear results we conclude that the direction of information flow is mainly from stock market to warrant market.
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Description:	碩士國立政治大學國際經營與貿易學系 88351021
Source URI:	http://thesis.lib.nccu.edu.tw/record/#A2002001521
Data Type:	thesis
Appears in Collections:	[Department of International Business] Theses

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