臺灣博碩士論文加值系統

本文探討期貨價格報酬率與成交量、未平倉量的關係。在實證上，我們將樣本分成三個部分進行，即(一)全部樣本、(二)資料折半、(三)多頭、空頭，另外，我們也考慮拔靴複製10000、100000次來檢驗參數估計的合理性。同時亦區分為三個模型進行比較，實證結果報酬率與成交量的關係，大致呈現非對稱V字價量關係；而報酬率與未平倉量呈非對稱倒V字價量關係。但在空頭的樣本下會使得報酬率與成交量、未平倉量在各分量呈現不顯著的結果，扭曲變數之間的關係。而本文的研究結果可供理論或實務上參考。

This study applies quantile regression model to investigate the relationship between the TX market return rate, the trading volume and the open interest. In empirical study, we divided the data set into three parts, which are (1) all sample, (2) half sample, (3) bull markets and bear markets, respectively. We further used a bootstrap method to test the robustness of parameters. There are a total of three models used to compare the different data sets mentioned above. Results showed an asymmetric V-shaped relationship between TX market return rate and trading volumes.. However, in the bear market condition, the result of the return rate, trading volumes and open interest is not significant. These results can provide a reference for the theory and empirical study.

目錄
中文摘要 i
英文摘要 ii
誌謝 iii
目錄 iv
表目錄 v
圖目錄 vi
第壹章　緒　論 1
第一節 研究動機與背景 1
第二節　研究目的 4
第三節　研究架構 4
第四節　研究流程 5
第貳章 理論基礎與相關文獻探討 6
第一節 價量關係實證文獻 6
第二節　未平倉量的探討 12
第叁章　研究方法 16
第一節　分量迴歸模型 16
第肆章　實證結果與分析 19
第一節 資料來源與變數說明 19
第二節 敘述統計與單根檢定 20
第三節 期貨報酬率與成交量、未平倉量的關係 22
第五章　結論、建議與研究限制 63
第一節　結論 63
第二節　建議 66
第三節　研究限制 66
參考文獻 67

表目錄
表2.1　衡量未平倉量 12
表4.1各變數的基本統計量與單根檢定 21
表4.2台股期貨報酬率與成交量關係的估計結果 24
表4.3台股期貨報酬率與未平倉量關係的估計結果 26
表4.4台股期貨報酬率與未平倉量關係的估計結果 27
表4.5台股期貨報酬率與成交量、未平倉量關係的對稱性檢定 28
表4.6台股期貨報酬率與成交量關係的估計結果 30
表4.7台股期貨報酬率與未平倉量關係的估計結果 31
表4.8台股期貨報酬率與未平倉量關係的估計結果 33
表4.9台股期貨報酬率與成交量、未平倉量關係的對稱性檢定 33
表4.10台股期貨報酬率與成交量關係的估計結果 35
表4.11台股期貨報酬率與未平倉量關係的估計結果 37
表4.12台股期貨報酬率與未平倉量關係的估計結果 38
表4.13台股期貨報酬率與成交量、未平倉量關係的對稱性檢定 39
表4.14台股期貨報酬率與成交量關係的估計結果 41
表4.15台股期貨報酬率與未平倉量關係的估計結果 43
表4.16台股期貨報酬率與未平倉量關係的估計結果 44
表4.17台股期貨報酬率與成交量、未平倉量關係的對稱性檢定 45
表4.18台股期貨報酬率與成交量關係的估計結果 47
表4.19台股期貨報酬率與未平倉量關係的估計結果 48
表4.20台股期貨報酬率與未平倉量關係的估計結果 49
表4.21台股期貨報酬率與成交量、未平倉量關係的對稱性檢定 50
表4.22台股期貨報酬率與成交量關係的估計結果 52
表4.23台股期貨報酬率與未平倉量關係的估計結果 53
表4.24台股期貨報酬率與未平倉量關係的估計結果 55
表4.25台股期貨報酬率與成交量、未平倉量關係的對稱性檢定 55
表4.26台股期貨報酬率與成交量關係的估計結果 57
表4.27台股期貨報酬率與未平倉量關係的估計結果 59
表4.28台股期貨報酬率與未平倉量關係的估計結果 60
表4.29台股期貨報酬率與成交量、未平倉量關係的對稱性檢定 61
表5.1　模型(1)、(2)的綜合比較 64
表5.2模型(3)的綜合比較 65

圖目錄
圖1.1研究流程 5
圖4.1台指期貨報酬率、成交量和未平倉量次數分配圖 22
圖4.2台股期貨報酬率與成交量迴歸的斜率估計值95%信賴區間 25
圖4.3台股期貨報酬率與未平倉量回歸的斜率估計值95%信賴區間 26
圖4.4台股期貨報酬率與成交量、未平倉量回歸的斜率估計值95%信賴區間 29
圖4.5台股期貨報酬率與成交量回歸的斜率估計值95%信賴區間 31
圖4.6台股期貨報酬率與未平倉量回歸的斜率估計值95%信賴區間 32
圖4.7台股期貨報酬率與成交量、未平倉量回歸的斜率估計值95%信賴區間 35
圖4.8台股期貨報酬率與交量回歸的斜率估計值95%信賴區間 36
圖4.9台股期貨報酬率與未平倉量回歸的斜率估計值95%信賴區間 38
圖4.10台股期貨報酬率與成交量、未平倉量回歸的斜率估計值95%信賴區間 40
圖4.11台股期貨報酬率與成交量回歸的斜率估計值95%信賴區間 42
圖4.12台股期貨報酬率與未平倉量回歸的斜率估計值95%信賴區間 43
圖4.13台股期貨報酬率與成交量、未平倉量回歸的斜率估計值95%信賴區間 46
圖4.14台股期貨報酬率與成交量回歸的斜率估計值95%信賴區間 47
圖4.15台股期貨報酬率與未平倉量回歸的斜率估計值95%信賴區間 49
圖4.16台股期貨報酬率與成交量、未平倉量回歸的斜率估計值95%信賴區間 51
圖4.17台股期貨報酬率與成交量回歸的斜率估計值95%信賴區間 53
圖4.18台股期貨報酬率與成未平倉量回歸的斜率估計值95%信賴區間 54
圖4.19台股期貨報酬率與成交量、未平倉量回歸的斜率估計值95%信賴區間 57
圖4.20台股期貨報酬率與成交量回歸的斜率估計值95%信賴區間 58
圖4.21台股期貨報酬率與未平倉量回歸的斜率估計值95%信賴區間 59
圖4.22台股期貨報酬率與成交量、未平倉量回歸的斜率估計值95%信賴區間 62

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