臺灣博碩士論文加值系統

　　隨著香港回歸中國以及政府積極希望能取代香港成為亞太新金融中心而開放許多金融商品，整體金融市場已呈現一股新的契機，因此對股市進一步研究對於政府及一般業界、投資大眾實具參考價值及重要性。
　　本研究以Granger 所提出之因果性檢定法（Causality test）檢定國內股市在牛、熊市、盤整期及對於確定性和不確定事件發佈時是否存在價量之間的因果關係，由此進一步推論國內股市在上述時間點當中對訊息的反應模式。
　　本研究結果發現國內股市在牛市時價量之間為「回饋關係」，而在熊市時價量之間為「價引起量」，在盤整期時價量之間為「價引起量」。當確定性訊息發佈時價量之間存在因果關係，而不確定性訊息發佈時價量之間亦存在因果關係。且在在牛、熊市、盤整期及對於確定性和不確定事件發佈時，訊息的反應應屬於「序列反應模式」。

　　As our government plans to be the New Asian-Pacific financial center, they liberalize many financial goods. So the Taiwan financial market will grow bigger and faster. Therefore the further research of stock market is an important issue for government and investors. In this paper, we discuss the relationships between price and volume and show the information dissemination processes.
　　We use Granger Causality Test to test the bull, bear market, the peroid which stock price does not move significantly and the period that the certaim and uncertain events announced in Taiwan Stock Market. Then we infer the information dissemination processes from these results during these time periods.
　　We found there were causality relationships between price and volume in these periods so we infer the information dissemination processes were "Sequential Information Arrival Model " during these periods.