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    题名: 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
    作者: 楊立吉
    Yang, Li ji
    贡献者: 山本竜市
    Yamamoto, Ryuichi
    楊立吉
    Yang, Li ji
    关键词: 交易量
    波動性
    台北外匯市場
    Volume
    Volatility
    Taipei foreign exchange market
    日期: 2007
    上传时间: 2009-09-18 19:58:29 (UTC+8)
    摘要: 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.
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    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    95351011
    96
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0095351011
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

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