頁籤選單縮合
題 名 | 臺灣股市價量線性與非線性關係之研究=A Study on the Linear and Nonlinear Relationship between Price and Trading Volume in the Taiwan Stock Market |
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作 者 | 許溪南; 黃文芳; | 書刊名 | 管理學報 |
卷 期 | 14:2 1997.06[民86.06] |
頁 次 | 頁177-195 |
分類號 | 563.62 |
關鍵詞 | 價量關係; 線性因果檢定; 非線性因果檢定; Price-volume relation; Linear granger causality; Nonlinear granger causality; |
語 文 | 中文(Chinese) |
中文摘要 | 傳統之線性因果檢定(Linear Granger Causality Testing)對於非線性因果關係 之檢定力可能較低,因此,有別於以往之研究,本研究同時運用線性因果檢定模式與非線性 因果檢定模式來探討臺灣股市每日股價報酬率與成交量 (及成交量變動率 ) 之因果關係。 研究結果顯示,在線性因果檢定方面, 報酬率與成交量 (或成交量變動率 ) 之間均呈現雙 向因果關係;在非線性因果檢定方面,以模擬變數之數種情況分別檢定,亦發現報酬率與成 交量 (或成交量變動率 ) 均出現雙向因果關係,而且「成交量 (或成交量變動率 ) 領先報 酬率」之出現頻率高於「報酬率領先成交量 (或成交量變動率 ) 」之出現頻率。 依據本研 究之結果, 若能善用成交量 (或成交量變動率 ) 之歷史資訊將有助於報酬率之預測,進而 提高投資報酬。 |
英文摘要 | Traditional linear Granger causality testing may give lower testing power for nonlinear causal relation. This paper uses linear and nonlinear Granger causality testing to test the relationship between daily stock returns and trading volume in the Taiwan stock market. We find strong evidence of significant bidirectional linear and nonlinear causality between stock returns and trading volumes. In addition, in the test of nonlinear causality, we also find that volume precedes returns more frequently than that returns precede volumes. Accordingly, an investor, taking advantage of the knowledge of past trading volumes, will improve his investment returns. |
本系統中英文摘要資訊取自各篇刊載內容。