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題名 | 影響臺股股價指數期貨交易量之決定因素=Determinants of Trading Volume in Taiwan Stock Index Futures |
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作 者 | 郭玟秀; 康信鴻; 許溪南; | 書刊名 | 朝陽商管評論 |
卷期 | 4:1 2005.01[民94.01] |
頁次 | 頁41-62 |
分類號 | 561.76 |
關鍵詞 | 股價指數期貨; 交易量; 決定因素; Stock index futures; Trading volume; Determinants; |
語文 | 中文(Chinese) |
中文摘要 | 本文旨在於探討的臺股指數期貨成交量的決定因素及其影響程度。過去對期貨市場交易量的相關研究,大多僅探討價格對交易量的影響,少有將其它變數納入考慮。本文應用Martell and Wolf(1987)所發展的期貨交易量行為的理論架構,其主張成交量(trading volume)是多變數(價格及個總體經濟因素)的函數,在此架構下來檢視影響臺股指數期貨市場交易量的因素。實證結果顯示總體經濟變數及放寬部位限制對臺股指數期貨交易量無顯著影響;反之,期貨價格日內波動性、期貨價格每日波動性、未平合倉合約數、調降期交稅的係數符號均與預期符號相同,檢定結果皆有統計上的顯著性影響,除此之外,證據亦顯示成交量存在GARCH效果,即交易量具有波動群聚(volatility clustering)的現象,即大的波動之後常跟隨著大波動,小的波動之後跟隨著小波動。 |
英文摘要 | This paper empirically examines the determinants of trading volume in the Taiwan stock index futures. Most previous studies about futures market concentrated on price variability as the sole determinant of volume. Very little attention is given to variables other than price variability that might affect the trading volume in futures market. Martell and Wolf (1987) first developed a theoretical model to examine the behavior of volume, showing that volume is a function of more than one variable and can be represented as a function of macro-and microeconomic variables. We used the theoretical framework for investigating the determinants of trading volume in the Taiwan stock index futures. The empirical results indicate that macroeconomic variables and the release of positions limit have no significant impact on volume, but the impacts of variables such as intra-and interlay price volatilities, open interest and transaction tax reduction are coincident with expected results and are statistically significant. furthermore, evidence also shows the presence of GARCH behavior in volume. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。