政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/36862
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113656/144643 (79%)
Visitors : 51760421      Online Users : 533
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/140.119/36862


    Title: 台北外匯市場交易量與波動性關係之實證分析
    An Empirical study of the relation between trading volume and volatility in the Taipei foreign exchange market
    Authors: 楊立吉
    Yang, Li ji
    Contributors: 山本竜市
    Yamamoto, Ryuichi
    楊立吉
    Yang, Li ji
    Keywords: 交易量
    波動性
    台北外匯市場
    Volume
    Volatility
    Taipei foreign exchange market
    Date: 2007
    Issue Date: 2009-09-18 19:58:29 (UTC+8)
    Abstract: 本篇研究利用2004年1月至2007年12月的日資料探討台北外匯市場的波動性與交易量關係，實證結果與過去的研究相符，本文發現交易量與波動性呈現正的關係。本文亦將交易量拆成「預期到」與「未預期到」的部分，實證結果發現未預期到的交易量與波動性呈現正的關係，此結果與混合分配假說的預期相符，表示當新的資訊流入市場時，交易量與波動性會同時受到衝擊；此外，預期到的交易量與波動性的關係不顯著，因此沒有證據可推測台北外匯市場是否有效率。
    In this study, I examine the interaction of volume and volatility in the Taipei foreign exchange market over January 2004 to December 2007. Consistent with empirical results of previous research, I find a positive relation between total trading volume and volatility. I also decompose total volume into expected and unexpected components. I find a positive relation between unexpected volume and volatility. This result is consistent with MDH, which supposes that volume and volatility are both driven by a common and unobservable factor that reflects the arrival of new public information. Regarding the expected volume, a weakly positive correlation with the volatility was observed. There is weak evidence that the Taipei foreign exchange market is efficient.
    Reference: Arago, V. and L. Nieto, (2005). “Heteroskedasticity in the returns of the main world stock exchange indexes: Volume versus GARCH effects.” Journal of International Financial Markets, Institutions and Money 15, 271–284.
    Baillie, R. T. and T. Bollerslev (1989). “The Message in Daily Exchange Rates: A Conditional-Variance Tale”, Journal of Bussiness & Statistics, p. 297-305.
    Bessembinder, H. and P. J. Seguin (1992). “Futures-trading activity and stock price volatility.” Journal of Finance, 47(5), 2015–2034.
    Bessembinder, H. and P.J. Seguin, (1993). “Price volatility, trading volume, and market depth: Evidence from the futures markets.” Journal of Financial and Quantitative Analysis 28, 21–39.
    Bessembinder, H., (1994). “Bid-ask spreads in the interbank foreign exchange markets.” Journal of Financial Economics 35 (3), 317-348.
    Bhanumurthy, N. R. (2000). “Microstructures in the Indian Foreign Exchange Market.” Institute of Economic Growth, University of Delhi Enclave, http://iegindia.org/workbhanu250.pdf.
    BIS, Bank for International Settlements. (2005). “Foreign exchange market intervention in emerging markets: motives, techniques and implications.” N. 24, 1-10.
    Bjønnes, G. H., D. Rime and H. Solheim (2003). “Volume and Volatility in the FX Market: Does it matter who you are?” Working Paper 2003/7, Norges Bank.
    Bolerslev, T. (1986). “Generalised Autoregressive Conditional Heteroskedasticity.” Journal of Econometrics, 31, 307-27.
    Brandi, VR., BV de Melo Mendes, FP Gomes, MBC dos Santos. “Foreign Exchange Volatility and Trading Volume of Derivatives Instruments: Evidence from the Brazilian Market.” Latin American Business Review, Volume 8, Issue 1, pp. 65-82(18).
    Chen, G., M. Firth and O. Rui (2001). “The dynamic relation between stock returns, trading volume, and volatility.” The Financial Review, 36 (3), 153–174.
    Clark, P. K. (1973). “A subordinated stochastic process model with finite variance for speculative prices.” Econometrica, 41, 135–55.
    Epps, T. W. and M. L. Epps (1976). “The stochastic dependence of security price changes and transaction volumes: Implication for the mixture-of-distributions hypothesis.” Econometrica, 44, 305–322.
    Evans, M. D. and R. K. Lyons (2002). “Order flow and exchange rate dynamics.” Journal of Political Economy, 110, 170–180.
    Gau, Yin-Feng, (2005) “Intraday Volatility in the Taipei FX Market,” Pacific-Basin Finance Journal, 13, 471-487.
    Galac, T., Burić, A., Huljak, I. (2006). “Microstructure of Foreign Exchange Market in Croatia.” Working paper, Croatian National Bank.
    Galati, G. (2000). “Trading volumes, volatility and spreads in foreign exchange markets: Evidence from emerging market countries.” Working paper 93, Bank for International Settlements.
    Girard, E. and Biswas, R., (2007). “Trading Volume and Market Volatility: Developed versus Emerging Stock Markets.” The Financial Review 42, 429–459.
    Hartmann, P. (1999). “Trading volumes and transaction costs in the foreign exchange market. evidence from daily dollar–yen spot data.” Journal of Banking and Finance, 23, 801–24.
    Jorion, P. (1996). ” Risk and turnover in the foreign exchange market”, in: Frankel, Galli and Giovannini (eds., 1996), The microstructure of foreign exchange markets, University of Chicago Press, 19-36.
    Karpoff, J. M. (1987). “The relation between price changes and trading volume: A survey.” Journal of Financial and Quantitative Analysis, 22(1), 109–26.
    Kouki, I. (2003). “Trading Volume, Volatility, Order Flow and Spread: Evidence of Tunisian Daler”, Universite Jean-Moulin Lyon III, Working Paper.
    Lamoureux, C. G. and Lastrapes, W. D. (1990). “Heteroskedasticity in Stock Return Data: Volume Versus GARCH Effects.” Journal of Finance, Vol. 45, pp. 221–230.
    Luu, JC. and M. Martens (2003). “Testing the mixture-of-distributions hypothesis using ““realized”” volatility.” Journal of Futures markets, Volume 23, Issue 7 , Pages 661 – 679.
    Park, B. J. (2007). “Trading Volume, Volatility, and GARCH Effects in the South Korean Won/US Dollar Exchange Market: Evidence from Conditional Quantile Estimation.” Japanese Economic Review, Vol. 58, No. 3, pp. 382-399, September 2007”
    Tauchen, G. E. and M. Pitts (1983). “The Price Variability-volume Relationship on Speculative Markets.” Econometrica, 51, 485–505.
    Walker, A. (2002). “The Microstructure of the Jamaican Foreign Exchange Market: Volumes, Volatility and Spreads”, Bank of Jamaica Working Paper, February.
    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    95351011
    96
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0095351011
    Data Type: thesis
    Appears in Collections:[Department of International Business] Theses

    Files in This Item:

    File Description SizeFormat
    101101.pdf46KbAdobe PDF2716View/Open
    101102.pdf60KbAdobe PDF2794View/Open
    101103.pdf12KbAdobe PDF2725View/Open
    101104.pdf14KbAdobe PDF2743View/Open
    101105.pdf28KbAdobe PDF21141View/Open
    101106.pdf20KbAdobe PDF21530View/Open
    101107.pdf76KbAdobe PDF21040View/Open
    101108.pdf58KbAdobe PDF2914View/Open
    101109.pdf13KbAdobe PDF2753View/Open
    101110.pdf79KbAdobe PDF2897View/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