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題 名 | 臺股認購權證的價量關係=Volume and Price Relationships for Taiwan Warrants |
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作 者 | 王毓敏; | 書刊名 | 交大管理學報 |
卷 期 | 21:3 2001.12[民90.12] |
頁 次 | 頁43-63 |
分類號 | 563.54 |
關鍵詞 | 認購權證; 價量關係; Ito過程; 價格波動性; 成交量波動性; Warrants; Price-volume relationships; Ito processes; Price volatility; Volume volatility; |
語 文 | 中文(Chinese) |
中文摘要 | 本文實證假說立基於成立量和價格互有相關,強調價量間的動態關係,採用隨機微積分和ItÔ過程導出實證假說;並以臺股認購權證市場資料進行驗證,綜合本文的實證結果,可以歸納成下列幾點結論:(1)權證價格與成交量不具穩定性;(2)權證價格與成交量間呈現不同程度的長期或短期關係;(3)價格波動性對於成交量的影響最大,報酬效果次之;(4)價格波動性不影響成交量波動性。 |
英文摘要 | This paper uses ItÔ processes and stochastic calculus to derive the empirical hypotheses based on the assumption of volume and price affect each other. We use Taiwanese call warrants to examine the dynamic relation between prices and trading volumes. The main results include (1) the price and volume of warrants are not stationary; (2) different degrees of magnitudes in long-run and short-run relationships between volume and price; (3) trading volumes are affected by price volatility and return effect; (4)price volatility is not a important factor to determine volume volatility. |
本系統中英文摘要資訊取自各篇刊載內容。