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    Title: 股市價量關係之實證研究-以美國、俄羅斯、巴西為例
    Authors: 邱繼瑱
    Contributors: 林其昂
    邱繼瑱
    Keywords: 向量自我迴歸模型
    因果關係檢定
    價量關係
    Date: 2011
    Issue Date: 2012-11-01 14:00:49 (UTC+8)
    Abstract: 本研究選取發達成熟市場的美國以及金磚四國其中一份子的俄羅斯及巴西分別檢視股價報酬率與成交量之間的動態價量關係(Dynamic Price-Volume Relationships),本研究採行Granger (1969)因果關係檢定、近似無關迴歸模型檢定的研究方法,進行兩大部份分析,第一、三國各自進行股價報酬率與成交量之間是否在不同資料型態設計中有相異的價量因果關係。第二、引進以美國次貸風暴發生時間點視為結構變動點,進行次貸風暴發生前後各國股市價量領先落後情形是否發生異動。本研究選以美國、巴西、俄羅斯,各自所代表的股價指數分別是,美國代表指數分別是標準普爾500指數(Standard and Poor’s 500 Index)、那斯達克綜合指數(Nasdaq Composite Index)、道瓊綜合平均指數(Dow Jones Composite Average Index)、巴西為巴西指數(Bovespa Index)、俄羅斯代表為俄羅斯交易系統指數(RTS Index)。
    本研究有別於先前文獻具體研究價值之處,本研究發現美國股票市場的價量關係因應著每個不同股價指數的屬性有所呈現出不同的價量關係樣貌,並且透過資料型態設計的不同、結構變動點的納入與以國家為出發的角度,洞察出美國、巴西、俄羅斯的價量關係會根據經濟體成熟度、產業結構、金融市場開放程度等因素,探究出可能出現不同價量關係的狀況。
    其實證結果指出,就美國三大指數而言,以採納的所有資料型態綜觀歸納出,美國三大指數具有量先價行的因果關係,且以S&P500、Nasdaq指數以及空頭資料型態的Dow Jones指數呈現出價先量行的關係存在。次貸風暴的發生,美國三大指數具有價先量行的因果關係。
    巴西Bovespa指數在每日空頭、每週多頭資料型態具有價先量行的結果,而當次貸發生前後皆不具任何的因果關係。
    俄羅斯RTS指數除了在空頭資料型態部分,其餘皆呈現價先量行的結果,而在多頭資料型態部份,呈現量先價行的結果。而當次貸發生後,皆喪失任何因果關係。
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    Description: 碩士
    國立政治大學
    財政研究所
    97255007
    100
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0097255007
    Data Type: thesis
    Appears in Collections:[財政學系] 學位論文

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