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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/3805


    Title: 台灣股市非線性價量關係之研究
    Other Titles: Nonlinear Price-Volume Dynamics in the Taiwanese Stock Mar ket
    Authors: 郭維裕
    Keywords: 高頻資料;季節性;線性量價因果關係;非線性量價因果關係
    High frequency data;Price-volume relation;Nonlinear granger causality
    Date: 2000
    Issue Date: 2007-04-18 16:36:17 (UTC+8)
    Publisher: 臺北市：國立政治大學國際貿易學系
    Abstract: 本文應用Granger(1969)的線性因果關係檢定以及Hiemstra and Jones(1994)的非線性因果關係檢定來檢測台灣股市的量價關係。本文所使用的資料是五分鐘台灣股價指數和交易量的高頻資料，此有別於以往的研究。資料期間涵蓋民國八十七年四月至民國八十九年三月，整整兩年的時間。由於交易量指標有許多種，我們決定採用較具代表性的三種指標來進行檢測。它們分別為交易次數、交易金額以及週轉率。結果發現：就線性量價因果關係而言，在民國八十七年四月至民國八十八年三月期間，交易次數與週轉率和股價指數報酬之間存在單向因果關係，亦即股價指數報酬導致交易次數與週轉率的變動，反之則不成立；然而交易金額和股價指數報酬之間卻有顯著的雙向因果關係。在民國八十八年四月至民國八十九年三月期間，上述的交易量指標與股價指數報酬皆存在著顯著的雙向線性因果關係。由此可知，高頻線性量價關係會因資料期間與所使用的交易量指標的不同而改變。相對地，非線性量價因果關係則呈現較具一致性的結果。在兩個期間內，三種交易量指標和股價指數報酬間存在著顯著的單向非線性量價因果關係；亦即股價指數報酬會導致交易量指標的非線性變動，反之則不成立。此結果即使在應用GARCH 模型過濾三種交易量指標和股價指數報酬之後，依然顯著。本文的結果與Hiemstra and Jones(1994)所發現的雙向非線性量價因果關係不同。此外，本文也發現顯著的季節性現象存在於高頻的交易量和股價指數報酬資料中，只是交易量的季節性遠較股價指數報酬的季節性來得強烈。
    This study provides evidence on the linear and nonlinear Granger causality relations between stock returns and trading volume in the Taiwanese stock market. These causal relations are investigated based on highfrequency 5-minute data of stock index and three different measures of trading volume. These measures are share volume, dollar volume, and turnover rate. The sample period is from April, 1998 to March, 2000. The causality tests are performed in two subperiods, April, 1998-March, 1999 and April, 1999-March, 2000. We find that there exists significant unidirectional linear Granger causality from stock index return to share volume and turnover rate and significant bidirectional linear Granger causality between dollar volume and stock return during the first subperiod. During the second subperiod, there are significant bidirectional causal relations between stock index return and these three volume measures. In contrast, we discover significant unidirectional nonlinear Granger causal relations from stock return to both share volume, dollar volume and turnover rate even after filtering the stock return and volume measures with GARCH-type models. In addition, we also present evidence on the intraday and intraweek seasonality of stock return and three different volume measures. Average volume traded shows significant differences across trading 5-minute intervals of the day and across days of the week while average stock index return differs significantly across trading 5-minute intervals of the day but not that significantly across days of the week.
    Description: 核定金額：283000元
    Data Type: report
    Appears in Collections:[國際經營與貿易學系 ] 國科會研究計畫

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