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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/85308

    Title: 認購權證與標的股票間之線性與非線性因果關係─台灣實證
    Linear and nonlinear dynamics between stock and warrant markets in Taiwan Stock Exchange
    Authors: 鄭明宗
    Jeng, Ming-Tzung
    Contributors: 郭維裕
    Kuo, Wei-Yu
    Jeng, Ming-Tzung
    Keywords: 線性因果關係
    linear causality
    nonlinear Granger causality
    Granger causality test
    warrant market
    stock market
    Date: 2001
    Issue Date: 2016-04-18 16:24:38 (UTC+8)
    Abstract: In this study, linear and nonlinear Granger causality tests are used to examine the dynamics, including return to return and volume to volume relationships, between warrants and their underlying stocks in Taiwan Stock Exchange (TSEC). Results of previous studies are mixed and they only focus on linear relationship between the two markets. Here we take nonlinear relationship into consideration to assist in investigating what the direction of information flow is. We use intraday five-minute high frequency data and the result tells that, overall, for both return to return and volume to volume relations, there is bidirectional but asymmetry linear causality and weak unidirectional nonlinear causality from stock to warrant market between these two markets. Combining the linear and nonlinear results we conclude that the direction of information flow is mainly from stock market to warrant market.
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    Description: 碩士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2002001521
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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