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    Title: 股市價量互動非線性模型之研究-應用TVTP Markov-Switching模型
    Authors: 董慧萍
    Contributors: 郭維裕
    董慧萍
    Keywords: 馬可夫轉換模型
    非線性
    價量互動
    Markov-Switching
    Date: 2000
    Issue Date: 2016-03-30 17:28:46 (UTC+8)
    Abstract: 過去對於台灣股市價量非線性關係的研究,都只停留在檢定出兩者之間存在雙向的非線性因果關係,本文則進一步嘗試以Filardo(1994)提出的變動切換機率馬可夫轉換模型(Time-Varying Transition Probability Markov-switching Model,TVTP)配適台灣的單一市場價量以及跨市場價價、量量、價量雙向互動之非線性結構。實證結果顯示,不論是上市或上櫃市場,以同市場成交金額為訊息變數所配適出的指數報酬模型,以及以另一市場的成交金額為訊息變數所配適出的成交金額模型,都具有相對較佳的解釋力。此外,我們也得到台灣股市的價量互動關係普遍存在同市場和跨市場的價領先量情形,也就是台灣投資人有明顯的追漲殺跌現象。
    Reference: 一、中文部分
    徐合成,1993,台灣股市股票報酬率與交易量關係之實證研究--GARCH 模型之應用,國立台灣大學財務金融學系碩士論文。
    黃文芳,1995,台灣股市價量線性與非線性關係之研究,國立成功 大學企業管理學系碩士論文。
    劉永欽,1995,臺灣地區股票市場價量之線性與非線性Granger因果關係之研究,國立交通大學管理科學研究所碩士論文。
    黃裕烈,1996,Markov Switching Model:台灣實質GNP的應用,國立台灣大學經濟研究所碩士論文。
    林益靖,1996,股市交易之價量互動,國立中興大學統計學研究所碩士論文。
    許溪南與黃文芳,1997,台灣股市價量線性與非線性關係之研究,管理學報,第14卷第2期,177-195。
    李偉銘,1997,股價指數期貨與現貨價格之關聯性分析-線性與非線性Granger因果關係檢定,國立中興大學經濟學研究所碩士論文。
    曾繁仁,1998,台灣股票報酬行為分析-應用Markov Switching 模型,私立淡江大學產業經濟研究所碩士論文。
    魏源宏,1998,台灣地區股票集中與店頭市場之價量因果關係探討,私立淡江大學管理科學學系碩士論文。
    鍾榮輝,2000,集中市場與店頭市場非線性價量關係之研究,國立政治大學國貿研究所碩士論文。
    二、英文部分
    Abhyankar, A., 1998, Linear and Nonlinear Granger Causality:Evidence from the U.K. Stock Index Futures Market, The Journal of Futures Markets 18, 519-540.
    Abhyankar, A., L. S. Copeland, and W. Wong, 1997, Uncovering Nonlinear Structure in Real-Time Stock Market Indices:The S&P 500, the DAX, the Nikkei 225 and the FT-SE 100, Journal of Business and Economic Statistics 15, 1-14.
    Campbell, J., S. Grossman, and J. Wang, 1993, Trading volume and serial correlation in stock returns, Quarterly Journal of Economics 108, 905-939.
    Dwyer, G. P., P. Locke, and W. Yu, 1996, Index Arbitrage and Nonlinear Dynamics Between the S&P 500 Futures and Cash, Review of Financial Studies 9, 301-332.
    Fleming, J., B. Ostdiek, and R. Whaley, 1996, Trading Cost and the Relative Rates of Price Discovery in Stock, Futures and Option Markets, The Journal of Futures Markets 16, 353-387.
    Filardo, A. J., 1994, Business-Cycle Phases and Their Transition Dynamics, Journal of Business and Economic Statistics 12, 299-308.
    Filardo, A. J., 1998, Choosing Information Variables for Transition Probability in a Time-Varying Transition Probability Markov Switching Model, working paper, Federal Reserve Bank of Kansas City.
    Hamilton, J. D., 1994, Time Series Analysis, Princeton, NJ, Princeton University Press.
    Hamilton, J. D., 1989, A New Approach to the Economics Analysis of Nonstationary Time Series and the Business Cycle, Econometrics 70, 127-57.
    Hiemstra, C., and J. Jones, 1994, Testing for Linear and Nonlinear Granger Causality in the Stock Price Volume Relationship, Journal of Finance 49, 1639-1664.
    Kim, Chang-Jin. , 1994, Dynamics Linear Models with Markov-Switching, Journal of Econometrics 60,1-22.
    Lamoureux, C., and W. Lastrapes, 1990, Heteroskedasticity in stock return data:Volume versus GARCH effects, Journal of Finance 45, 221-229.
    LeBaron, B., 1992, Persistence of the Dow Jones index on rising volume, Working paper, University of Wisconsin, Madision.
    Martikainen, T., V. Puttonen, M. Luoma, and T. Rothovius, 1994, The Linear and Non-linear Dependence of Stock Returns and Trading Volume in the Finnish Stock Market, Applied Financial Economics 4, 159-169.
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    87351022
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2002002041
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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