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題 名 | 空頭走勢期間臺股股價指數及相關因素之因果關係研究=Causality Study of Taiwan Stock Exchange Index and Other Related Factors in the Bear Market |
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作 者 | 姚蕙芸; 梁志民; | 書刊名 | 商管科技季刊 |
卷 期 | 5:2 2004.06[民93.06] |
頁 次 | 頁109-127 |
分類號 | 563.54 |
關鍵詞 | 區塊因果關係檢定; 空頭股市; 期貨指數; 成交量; 完全修正向量自迴歸; FM-VAR block causality test; Bear market; Stock price index futures; Trading volume; Fully modified VAR or FM-VAR; |
語 文 | 中文(Chinese) |
中文摘要 | 2000年臺灣股市集中市場從年初至年終下跌了43.9%,是歷年來第二大跌幅;其間曾於上半年兩次攀上萬點,下半年卻呈現數波段連續性下跌走勢,最後竟跌至4千多點收場。本文運用完全修正向量自迴歸區塊因果關係檢定法,來分析大盤加權股價指數、期貨指數、成交量、臺積電股價、及融資餘額五種變數之間的互動關係,以決定期因果先後順序,期望藉此研究對空頭市場有更進一步的了解。 |
英文摘要 | This paper, focusing on the bear market in the year 2000, Taiwan Stock Exchange Index dropped 43.9% in this year. This was the second highest drop rate since the stock market opened. In this year. Stock market experienced dramatic fluctuations. The stock index reached 10,000 level two times in the first half of the yar; however, it stared to drop periodically from july to December, and even fell below 4,000 level. This paper utilizes FM-VAR block causality test to analyze the interrelationships among 5 variables: the stock exchange index, stock price index futures, trading volume, buying on margin balance, and the stock price of the Taiwan Semiconductor so as to determine the causality among them. It is believed that the result of this study will e helpful to the better understanding of the bear market in Taiwan. |
本系統中英文摘要資訊取自各篇刊載內容。