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| 題名: | 台灣期貨市場價量之因果關係
Causality between returns and traded volumes in Taiwan futures market |
| 作者: | 官欣
Kuan, Hsin |
| 貢獻者: | 郭維裕
Kuo, Wei yu
官欣
Kuan, Hsin |
| 關鍵詞: | 價量因果關係
日內交易資料
馬可夫鍊
Granger因果關係測試
causality
high frequency intraday data
Markov Chain
Granger causality test |
| 日期: | 2007 |
| 上傳時間: | 2009-09-18 14:14:36 (UTC+8) |
| 摘要: | This paper follows Ghysels, Gourieroux, and Jasiak (1998), examines the causal relation between price and volume in Taiwan Futures Market. I use high frequency intraday data of Taiwan Stock Exchange Capitalization Weighted Stock Index in Taiwan Futures Exchange; and analyze the causality between returns and volume series, which are transformed into Markov chain, with Granger’s causal tests. I analyze the data with two different time category, trading time and calendar time. In our research we find out that Taiwan futures market has a bi-directional causality between price and volume in trading time analysis, as to the calendar time analysis, only price to volume unidirectional causality exists. Unlike the unidirectional causal relation that Ghysels, Gourieroux, and Jasiak (1998) observed in French security market. |
| 參考文獻: | [1] Addmati, A. and Pfleiderer, P. (1988): “A Theory of Intraday Patterns: Volume and Price Variability”, Review of Financial Studies, 1, 3-40
[2] Bouissou, M., Laffont J.J. and Q. Vuong (1986): “Test of Non Causality under Markov Assumptions for Qualitative Panel Data”, Econometrica, 54, 395-414
[3] Campbell, J., Grossman, S. and J. Wang (1993): “Trading Volume and Serial Correlation in Stock Returns”, Quarterly Journal of Economics, 108, 905-939
[4] Engle, R. and Russel, J. (1998): “Autoregressive Conditional Multinomial: A New Model for Irregularly Spaced Discrete-Valued Time Series Data with Applications to High Frequency Financial Data”, Discussion Paper, UCSD
[5] Gallant, R., Rossi, P. and Tauchen, G. (1992): “Stock Prices and Volume”, Review of Financial Studies, 5, 199-242.
[6] Ghysels, E., Gourieroux, C. and Jasiak, J. (1998): Causality between Returns and Traded Volumes
[7] Gourieroux, C., Jasiak, J. and G. Lefol (1999): “Intra-day Market Activity”, Journal of Financial Markets, 2, 193-226
[8] Granger, C. (1969): “Investigating Causal Relations by Econometric Models and Cross-spectral Methods”, Econometrica, 37, 424-438
[9] Gunduz, L. and Hatemi-J, A. (2005): “Stock Price and Colume Relation in Emerging Markets”, Journal of Emerging Markets Finance and Trade, 41, 29-44
[10] Jones,C., Kaul, G. and Lipson, M. (1994): “Transactions, Volume and Volatility”, Review of Financial Studies, 7, 631-651
[11] Kamath, R. (2007): “Investigating Causal Relations between Price Changes and Trading Volume Changes, in the Turkish Market”, American Society of Business and Behavioral Sciences, 3,
[12] Kamath, R. and Wang, Y. (2006): “The Causality between Stock Index Returns and Volumes in the Asian Equity Markets”, Journal of International Business Research, 5, 63-74
[13] Karpoff, J. (1987): “The Relation between Price Change and Trading Volume: A Survey”, Journal of Financial and Quantitative Analysis, 22, 109-126.
[14] Lamoureux, C. and Lastrapes, W. (1991): “Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects”, Journal of Finance, 45, 221-229
[15] Tauchen, G. and Pitts, M. (1983): “The Price Variability – Volume Relationship on Speculative Markets”, Econometrica, 51, 485-505. |
| 描述: | 碩士
國立政治大學
國際經營與貿易研究所
95351029
96 |
| 資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0095351029 |
| 資料類型: | thesis |
| 顯示於類別: | [國際經營與貿易學系 ] 學位論文
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| 102901.pdf | | 85Kb | Adobe PDF2 | 769 | 檢視/開啟 | | 102902.pdf | | 79Kb | Adobe PDF2 | 658 | 檢視/開啟 | | 102903.pdf | | 74Kb | Adobe PDF2 | 782 | 檢視/開啟 | | 102904.pdf | | 57Kb | Adobe PDF2 | 758 | 檢視/開啟 | | 102905.pdf | | 99Kb | Adobe PDF2 | 831 | 檢視/開啟 | | 102906.pdf | | 119Kb | Adobe PDF2 | 811 | 檢視/開啟 | | 102907.pdf | | 91Kb | Adobe PDF2 | 954 | 檢視/開啟 | | 102908.pdf | | 142Kb | Adobe PDF2 | 879 | 檢視/開啟 | | 102909.pdf | | 57Kb | Adobe PDF2 | 830 | 檢視/開啟 | | 102910.pdf | | 112Kb | Adobe PDF2 | 816 | 檢視/開啟 | | 102911.pdf | | 2871Kb | Adobe PDF2 | 822 | 檢視/開啟 |
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