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題名 | 五個亞洲地區國家股票市場價量因果關係之再檢定=A Revisit on the Stock Price-Volume Relation in Five Asian Stock Markets |
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作 者 | 陳仕偉; | 書刊名 | 金融風險管理季刊 |
卷期 | 3:3 2007.09[民96.09] |
頁次 | 頁81-110 |
分類號 | 563.54 |
關鍵詞 | 邊界檢定法; 無母數因果關係; 非線性; 股票價格; 交易量; Bound test; Nonparametric granger causality; Nonlinear; Stock price; Volume; |
語文 | 中文(Chinese) |
中文摘要 | 本文旨在重新檢定亞洲地區五個國家的股票市場價格及交易量的因果關係,在共整合檢定過程中我們採用Pesaran et al.(2001)的邊界檢定法,而在因果關係檢定方法上,我們除了採用傳統線性因果關係檢定和Hiemstra and Jones(1994)的非線性因果關係檢定方法,也應用了Diks and Panchenko(2006)修正後無母數的方法檢定非線性的Granger因果關係,以避免錯誤的推論。邊界檢定結果顯示,五個亞洲國家的股票價格及交易量都在在一個長期均衡關係。因果關係檢定結果顯示,臺灣股票價格及交易量在短期呈現雙向的因果關係,長期則得到臺灣股票交易量對股票價格存在線性因果關係;價格對交易量則存在非線性因果關係。新加坡、泰國、馬來西亞與印尼的檢定結果則顯示股市價格對交易量存單向線性因果關係,交易量對於價格不存在線性因果關係,非線性因果關係效果則都不存在。因此Copeland(1976)及Jennings et al.(1981)的連續訊息到達模型市用於解釋臺灣股票市場的價量因果關係。而DeLong et al.(1990)提出的「雜訊交易模型」中之「正向反饋交易策略」較適合用來解釋新加坡、泰國、馬來西亞與印尼的股市價量關係。 |
英文摘要 | This paper examines the stock price-volume relation in a set of Asian markets. Using weekly index data, we first document a long-run relation between price and volume with the autoregressive distributed lag (ARDL) bounds test. Using the error vector error correction model to test for Granger causality, we find strong evidence that there is bi-directional effect between price and volume in Taiwan. Moreover, stock price Granger causes volume for Singapore, Thailand, Malaysia and Indonesia. Using the nonlinear Granger causality, we find that there is unidirectional effect from volume to price in Taiwan. However, we fail to find strong evidence on stock price changes leading volume and vice versa for Singapore, Thailand, Malaysia and Indonesia. The implication of these results is that the sequential information arrival model, proposed by Copeland (1976) and Jennings et al. (1981), is suitable in explaining the price-volume relationship in Taiwan. The noise trader model, championed by DeLong et al. (1990), is suitable for explaining the price-volume relationship for Singapore, Thailand, Malaysia and Indonesia. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。