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題 名 | 股價指數期貨上市對股市成交量之影響--香港之經驗與實證=The Effects of Stock Index Futures Listing on Trading Volume of the Underlying Stock Market--Evidence from Hong Kong |
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作 者 | 李存修; 陳俊霖; 朱世逸; | 書刊名 | 證券市場發展季刊 |
卷 期 | 10:1=37 1998[民87.] |
頁 次 | 頁1-25 |
分類號 | 561.76 |
關鍵詞 | 恆生股價指數期貨; 介入模式; 多元迴歸模式; 成交量; Heng-seng index futures; Intervention model; Multiple regression model; Trading volume; |
語 文 | 中文(Chinese) |
中文摘要 | 本文以香港恆生股價指數期貨為例,研究其上市交易對現貨市場成交量之影響, 除運用時間數列介入模式及多元迴歸模式外,也進行非指數組成份股為對照因子的實驗設計 。在控制其他足以影響成交量及周轉率之因素後,我們發現恆指期貨上市後,香港股市在成 份股及非成份股上之成交量均有明顯增加的趨勢, 成份股之周轉率約增加 81.48%,非成份 股之周轉率約增加 99.17%, 市場之流動性顯著提升,支持期貨與現貨之成交量呈淨互補關 係而非淨替代關係之假說。 |
英文摘要 | In this paper, we study the effect of Heng-Seng Index futures trading on the trading volume of Hong Kong stock market. Time series intervention model and multiple regression model are used to analyze the changes in trading volume of both index component stocks and nonindex component stocks. After controlling other factors that are capable of affecting trading volume, we find that both groups of stocks are traded more heavily after trading index futures than before. Specifically, the turnover rate of index component stocks increases by 81.48% while that of non-index component stocks soars by 99.17%. The liquidity of the underlying equity market is improved significantly. The results strongly support the complementary relationship between the trading volumes of cash market and futures market. |
本系統中英文摘要資訊取自各篇刊載內容。