跳到主要內容

臺灣博碩士論文加值系統

(44.200.27.215) 您好!臺灣時間:2024/04/24 18:12
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

我願授權國圖
: 
twitterline
研究生:黃明傑
研究生(外文):HUANG,MING-JIE
論文名稱:臺灣期貨市場盤後交易制度對期貨市場效率性的影響:以退撫基金避險角度
論文名稱(外文):The Influence of After-hours Trading System on the Efficiency of Taiwan Futures Market: For the Risk-Avoidance of Pension Funds
指導教授:傅澤偉傅澤偉引用關係
指導教授(外文):FU,TZE-WEI
口試委員:王志成方誠
口試委員(外文):WANG,CHI-CHENFANG,CHEN
口試日期:2020-05-04
學位類別:碩士
校院名稱:國防大學
系所名稱:財務管理學系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2020
畢業學年度:108
語文別:中文
論文頁數:53
中文關鍵詞:臺灣期貨市場盤後交易效率性GARCH
外文關鍵詞:Taiwan futures marketafter-hours tradingefficiencyGARCH
相關次數:
  • 被引用被引用:0
  • 點閱點閱:129
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
目 錄
誌 謝....................................................................................................i
摘 要...................................................................................................ii
ABSTRACT........................................................................................iii
目 錄..................................................................................................iv
圖目錄.................................................................................................vii
表目錄................................................................................................viii
第一章 緒論.......................................................................................1
1.1 研究背景與動機……………………………………………..1
1.2 研究目的……………………………………………………..6
1.3 章節架構……………………………………………………..6
1.4 研究流程……………………………………………………..7
第二章 文獻探討...............................................................................9
2.1 市場效率性…………………………………………………..9
2.1.1 混合分配假說…………………………………………...9
2.1.2 資訊連續假說………………………………………….10
2.2 報酬率與交易量關係實證研究……………………………10
2.3 波動率與交易量關係實證研究……………………………12
2.4 文獻小結……………………………………………………15
第三章 研究方法.............................................................................17
3.1 資料來源……………………………………………………17
3.2 資料處理……………………………………………………17
3.2.1 樣本資料處理………………………………………….17
3.2.2 變數定義……………………………………………….18
3.3 敘述性統計…………………………………………………19
3.4單根檢定…………………………………………………….19
3.5交易量的處理……………………………………………….20
3.6同時時間關係……………………………………………….21
3.7 GRANGER因果檢驗……………………………………….22
3.8 GARCH模型………………………………………………..23
3.8.1 簡單模式……………………………………………….23
3.8.2 加入交易量的模式…………………………………….25
第四章 實證分析.............................................................................27
4.1 敘述統計表…………………………………………………27
4.2 單根檢定……………………………………………………28
4.3 交易量序列的處理…………………………………………29
4.4 OLS迴歸分析….……………………………………………30
4.5 GRANGER因果關係檢定….………………………………30
4.6 GARCH模型分析結果….……………………………….…32
4.7 效率市場MDH及SIAH檢定.………………………….….34
第五章 結論與建議……………………………………………...37
參考文獻.............................................................................................39
中文部份………………………………………………………...39
英文部份………………………………………………………...43
網路資料………………………………………………………...44

周雨田、李志宏、巫春洲(2002)。台灣期貨對現貨市場的資訊傳遞效果分析。財務金融學刊,10(2),1-22。
張博、殷仲民(2007)。上海證券市場價格與交易量關係實證分析。大連理工大學學報,28卷第3期,18-24。
賴鈺城、張純明、廖敏齡、黃景琳(2008)。台指現貨、台指期貨與摩根台指期貨價量關係之探討-GARCH模型之應用。華人經濟研究,6(2),18-34。
劉映興、何亮君、陳家彬(2007)。混合分配假說、風險、交易量、股票報酬與波動不對稱之研究-以台灣股市為例。明道學術論壇,3(2),81-90。
Bartosz, G. (2011). The Dynamic Relation Between Returns,Trading Volume, And Volatility: Lessons From Spillovers Between Asia And The United States. Bulletin of Economic Research 64:1.
Bollerslev,T.(1986).Generalized Autoregressive Conditional Heteroscedasticity. Journal of Econometrics, Vol. 31, 307-327.
Bollerslev, T., Chou, R. Y., & Kroner, K. F. (1992). ARCH modeling in finance: A review of the theory and empirical evidence. Journal of econometrics, 52(1-2), 5-59.
Chandrasekhar, K., Tian,G.G., Xu,M. & Li,G. (2013). No news is not good news: evidence from the intra-day return volatility–volume relationship in Shanghai Stock Exchange. Journal of the Asia Pacific Economy, Vol. 18, No. 1, 149–167.
Clark, P. (1973). A subordinated stochastic process model with finite variance for speculative prices. Econometrica, Vol. 41, No. 1, 135-155.
Copeland, T. E. (1976). A model of asset trading under the assumption of sequential information arrival. The Journal of Finance, 31(4), 1149-1168.
Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American statistical association, 74(366a), 427-431.
Ederington, L. H. (1979). The Hedging Performance of the New Futures Markets.The Journal of Finance, Vol. 34, No. 1, 157-170.
Engle, R. F. (1982). Autoregressive Conditional Heteroskedasticity with Estimates of United Kingdom Inflation. Econometrica,Vol.50,No.2, 987-1008.
Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. Journal of Finance, Vol. 25, No. 2, 383-417.
Gerard, G. & Siu, P. A. (2008). Modelling Regulatory Change V’s Volume of Trading Effects in HSIF and HSI Volatility. Review of Pacific Basin Financial Markets and PoliciesVol. 11, No. 1, 47–59.
Garbade, K.D. and Silber, W.L. (1979). Dominant and satellite markets: a study of dually-traded securities. Review of Economics and Statistics, Vol. 61 ,No. 3, 455-460.
Granger, C.W.J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica,Vol.37, No. 3, 424-438.
Hiemstra, C., & Jones, J. D. (1994). Testing for linear and nonlinear Granger causality in the stock price‐volume relation. The Journal of Finance, 49(5), 1639-1664.
Jena, S. K. (2016). Sequential information arrival hypothesis: more evidence from the Indian derivatives market. Vision, 20(2), 101-110.
Markowitz, H. M. (1959). Portfolio Selection: efficient diversification of investments. New York: John Wiley & Sons Inc.
Newbold, P., & Granger, C. W. (1974). Experience with forecasting univariate time series and the combination of forecasts. Journal of the Royal Statistical Society: Series A (General), 137(2), 131-146.
Nelson, C. R., & Plosser, C. R. (1982). Trends and random walks in macroeconmic time series: some evidence and implications. Journal of monetary economics, 10(2), 139-162.
Saada, A. A., Reza, K. & Zahid, M. (2014). Trading volume and return relationship in the crude oilfutures markets. Studies in Economics and Finance Vol. 31 No. 4, 426-438.
Umar, B. N. (2012). Financial liberalization, structural breaks and stock market volatility:evidence from South Africa. Applied Financial Economics, 22, 1259–1273.
Vivek, R. (2014). Intraday Trading Activity and Volatility: Evidence from Energy and Metal Futures. The IUP Journal of Applied Finance, Vol. 20, No. 2,57-74.
Walid, M.A. A. (2016). The asymmetric price-volume relation revisited: evidence from Qatar. Journal of Asia Business Studies, Vol. 12, NO. 2 , 193-219.
Werner, I.M. and A.W. Kleidon. (1996). U.K. and U.S. trading of British cross-listed stocks: An intraday analysis of market integration. Review of Financial Studies 9, 619-664.

電子全文 電子全文(網際網路公開日期:20250603)
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top