跳到主要內容

臺灣博碩士論文加值系統

(44.222.218.145) 您好!臺灣時間:2024/02/29 13:27
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果 :::

詳目顯示

: 
twitterline
研究生:游雅雯
研究生(外文):Ya Wen
論文名稱:美股量價因果關係之探討--雙變量門檻向量自我迴歸之實證分析
論文名稱(外文):The dynamic causality relationship between the trading volume and stock price
指導教授:黃柏農黃柏農引用關係
學位類別:碩士
校院名稱:國立中正大學
系所名稱:國際經濟所
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2005
畢業學年度:93
語文別:中文
論文頁數:66
中文關鍵詞:極端成交量門檻模型
外文關鍵詞:extreme trading volume.Threshold modelGranger
相關次數:
  • 被引用被引用:9
  • 點閱點閱:639
  • 評分評分:
  • 下載下載:135
  • 收藏至我的研究室書目清單書目收藏:3
鑑於Gervais et al. (2001)針對紐約證券交易所的上市股票的研究,結果發現能見度假說可解釋極端成交量將導致同方向的超額報酬,並有多位學者認為市場訊息將導致極端量,並影響至後續的股價,如Chan和Lakonishok(1993)、Chowdhury, Howe,和Lin(1993)…等,因此,我們的研究也基於極端量下的行為與正常成交量下的行為應有所不同,因而認為成交量可能存在一個非線性的關係,利用Tsay(1989)遞迴殘差模型來檢定門檻變數(成交量)是否存在非線性模型,並依照Tsay(1998)多變量門檻模型應用Granger因果關係,探討上門檻(高成交量)、下門檻(低成交量)成交量與股價報酬間的因果關係。
以美國股市每日成交張數和每日價格作為樣本,我們的研究結果發現,線性Granger因果關係下,量價二者關係並不強,並無明顯量領先價的關係;門檻變數(成交量)皆存在非線性關係;非線性Granger因果關係下,5%與10%的顯著水準下,分別有六成與九成以上的公司,至少一邊的極端成交量對股價報酬具有預測能力;平均而言,前第4天的成交量對當期的股價最有預測能力,且成交量大到最高量的前5%,和成交量低到最低量的5%,極端成交量即出現量領先價的關係;而個股Beta值傾向小於1,同時檢定出高量Beta值與低量Beta值無差異。
我們的線性因果檢定結果與Hiemstra和Jones (1994)探討美國股市的線性結果相同,而非線性因果檢定可支持Gervais et al. (2001)極端成交量將導致同方向的超額報酬的結論,同時Gervais et al. (2001)深入檢定出高量Beta值與低量Beta值並沒有差異,與本文檢定結果亦相同,表示無法利用Beta值來解釋極端成交量下存在量領先價的關係。
We use the arranged regression model developed by Tsay(1989) to test the threshold variable, trading volume, whether it is nonlinear or not. Second, we will discuss dynamic causality relationship between the volume and stock price. The idea that the extreme trading activities suggest that the volume can predict stock price is investigated. We also defined the extreme trading volume as the top 5% or bottom 5% of trading volume. We argue that the extreme volume can predict stock price cannot be explained by systematic risk.

Our linear result is similar to Hiemstra and Jones (1994) and nonlinear result is same Gervais et al. (2001) who demonstrated that stocks experiencing unusually high (low) trading volume tend to larger (small) return. Gervais et al. (2001) also showed that systematic is not related to High Volume Return Premium.
緒論……………………………………………………………1
研究動機與目的 ………………………………………1
研究方法與架構 …………………………………………4
文獻回顧 ……………………………………………………6
理論文獻 …………………………………………………6
實證文獻 …………………………………………………7
計量方法與資料說明 ………………………………………15
資料來源與處理 ………………………………………15
計量方法 ………………………………………………16
A. 單根檢定 …………………………………………………16
B. 因果關係檢定 ……………………………………………17
實證結果 ……………………………………………………20
單根檢定…………………………………………………20
線性Granger因果檢定 …………………………………21
非線性Granger因果檢定 ………………………………24
結論與建議 …………………………………………………34
結論………………………………………………………34
後續建議…………………………………………………37
參考文獻 ………………………………………………………………38
附表
表一式3-1-1係數項之p值 ……………………………………41
表一單根檢定 ……………………………………………………42
表二線性因果檢定 ………………………………………………44
表三Tsay非線性檢定……………………………………………47
表四非線性因果檢定 ……………………………………………50
表五個股上下門檻Beta值………………………………………54
附錄
附錄一相關文獻之數學推導 ……………………………………54
附錄二國內外相關文獻整理 ……………………………………58
表目錄
表4-2-1線性因果檢定結果整理…………………………………21
表4-3-1非線性因果檢定結果整理………………………………26
表4-3-2極端成交量存在量領先價平均相對水準之敘述統計量27
表4-3-3極端成交量存在量領先價平均相對水準之分佈圖 ……28
表4-3-4極端成交量Beta值之分佈圖……………………………32
表4-3-5極端成交量Beta值之敘述統計量………………………32
表4-3-6高量與低量Beta值是否相等之Wald test檢定…………33
參考文獻

國內文獻
高慈謙 (1997),「股票價量因果關係的新檢定方法及其應用」,國立台灣大學經濟學研究所碩士論文
雪邧n、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,頁177-195
章法翔 (2003),「股票價格與股票交易量關係之研究—MDH模型的應用」,
國立台灣大學經濟學研究所碩士論文
郭維裕、董慧萍 (2002),台灣地區股市「價」、「量」間非線性關係之探討—變動切換馬可夫轉換機率模型下之實證結果,中山管理評論第十卷第三期,頁461-495
賴宏忠、劉曦敏 (1997),「股價與成交量之長期均衡與因果關係—共整合分析法之應用」,經社法制論叢第19期,頁311-336

國外文獻
Blume Lawrence, David Easley and Maureen O’Hara (1994), “Market Statistics and Technical Analysis: The Role of Volume”, The Journal of Finance, Vol. 49, No.1, 153-181
Campbell, John Y., Sanford J. Grossman, and Jiang Wang (1993), “Trading Volume and Serial Correlation in Stock Returns, Quarterly Journal of Economics 108, 905-939.
Chan, Lawrence K. C., and Josef Lakonishok (1993), “Institutional Trades and Intraday Stock Price Behavior”, Journal of Financial Economics 33, 173-199
Chen Gong-meng, Michael Firth and Oliver M. Rui (2001), “The Dynamic Relation Between Stock Returns, Trading Volume, and Volatility”, The Financial Review, 38, 153-174
Chordia Tarun and Bhaskaran Swaminathan (2000), “Trading Volume and Cross-Autocorrelations in Stock Returns”, The Journal of Finance, Vol. 55, No.2, 913-935
Chowdhury, Mustafa, John S. Howe, and Ji-Chai Lin (1993), “The Relation Between Aggregate Insider Transactions and Stock Market Returns”, Journal of Finance 49, 1305-1329
Cooper, Michael (1999), “Filter Rules Based on Price and Volume in Individual Security Overreaction”, Review of Financial Studies 12, 901-935
Darrat Ali F., Rahman Shafiqur, and Maosen Zhong (2003), “Intraday Trading Volume and Return Volatility of the DJIA Stocks: A Note”, Journal of Banking and Financ 27 2035-2043
Gervais Simon, Ron Kaniel, and Dan H. Mingelgrin (2001), “The High—Volume Return Premium”, Journal of Finance 56, 877-919
Ghysels Eric, Christian Gourieroux and Joann Jasiak (2000), “Causality Between Returns and Traded Volumes”, Annles D’economie et da Statistique, N0 60
Hiemstra Craig and Jonathan D. Jones (1994), “ Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation”, The Journal of Finance, Vol. 49, No. 5, 1639-1664
Karpoff Jonathan M. (1987), “The Relation Between Price Changes and Trading Volume: A survey”, The Journal of Financial and Quantitative Analysis, Vol.22, No. 1, 109-126
Llorente, Guillermo, Roni Michaely, Gideon Saar, and Jiang Wang (1998), “Dynamic Volume Retrun Relation of Individual Stocks”, Working paper, Universidat Autonoma de Madrid
Miller, Edward M.,(1977), Risk, Uncertainty, and Divergence of Opinion, Journal of Finance 32, 1151-1168
Moosa Imad A. and Nabeel E. Al-Loughani (1995), “Testing the Price-Volume Relation in Emerging Asian Stock Markets”, Jouranl of Asian Economics, vol. 6, No. 3, 1995 pp.407-422
Silvapulle Param and Jong-Seo Choi (1999), “ Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation: Korean Evidence”, The Quarterly Review of Economics and Finance, Vol. 39, No. 1, 1999, 59-76
Soo Lee -Bong and Oliver M Rui (2002), “The Dynamic Relationship Between Stock Returns and Trading Volume: Domestic and Cross-Country Evidence”, Journal of Banking & Finance, 26, 51-78
Saatcioglu Kemal and Laura T. Starks (1998), “The Stock Price-Volume Relationship in Emerging Stock Markets: the Case of Latin America”, International Journal of Forecasting, 14, 215-225
Tauchen, G. E. and M. Pitts (1983), “The Price Variability-Volume Relationship on Speculative Markets”, Econometrica, 51. 485-505
Tsay Ruey S. (1998), “Testing and Modeling Multivariate Threshold Models”, Journal of the American Statistical Association, Vol. 93, No. 443 (Sep., 1998), 1188-1202
Wang, Jiang (1994), “A model of Competitive Stock Trading Volume”, Journal of Political Economy 102, 127-168
Ying, Charles C., (1966), “Stock Market Prices and Volume of Sales”, Econometrica 34, 676-685
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top