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題名：臺灣地區股市「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
書刊名：中山管理評論
作者：郭維裕 引用關係／董慧萍
作者(外文)：Kuo, Wei-yu／Tung, Hui-ping
出版日期：2002
卷期：10:3
頁次：頁461-495
主題關鍵詞：非線性價量關係；變動切換馬可夫轉換機率模型；臺灣股票市場；Nonlinear price-volume dynamics；Taiwan stock markets；Time-varying transition probability Markov-switching model
原始連結：連回原系統網址new window
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  • 共同引用共同引用:12
  • 點閱點閱:101
期刊論文
1.Van Norden, S.、Schaller, H.(1997)。Regime-switching in stock market returns。Applied Financial Economics，7(2)，177-191。  new window
2.Kon, S. J.(198403)。Models of Stock Returns : A Comparison。Journal of Finance，39，147-166。  new window
3.Stoll, Hans R.、Whaley, R. E.(1990)。Stock Market Structure and Volatility。Review of Financial Studies，3(1)，37-71。  new window
4.Dwyer, G. P. Jr.、Locke, P.、Yu, W.(1996)。Index arbitrage and nonlinear dynamics between the S&P 500 futures and cash。Review of Financial Studies，9(1)，301-332。  new window
5.Goldfeld, S. M.、Quandt, R. M.(1973)。A Markov model for switching regressions。Journal of Econometrics，1(1)，3-16。  new window
6.Martikainen, T.、Puttonen, V.(1994)。International Price Discovery in Finnish Stock Index Futures and Cash Markets。Journal of Banking and Finance，18(5)，809-822。  new window
7.Abhyankar, A.(1998)。Linear and nonlinear Granger causality: evidence from the U.K. stock index futures market。Journal of Futures Markets，18，519-540。  new window
8.Fleming, Jeff、Ostdiek, Barbara、Whaley, Robert E.(1996)。Trading Costs and the Relative Rates of Price Discovery in Stock, Futures, and Option Markets。Journal of Futures Markets，16(4)，353-387。  new window
9.葉銀華(19911100)。臺灣股票市場成交量與股價關係之實證研究--轉換函數模式。臺北市銀月刊，22(11)=266，57-70。  延伸查詢new window
10.Smirlock, M.、Starks, L.(1988)。An empirical analysis of the stock price-volume relationship。Journal of Banking and Finance，12(1)，31-41。  new window
11.Hsieh, David A.(1991)。Chaos and Nonlinear Dynamics: Application to Financial Markets。The Journal of Finance，46(5)，1839-1877。  new window
12.Lakonishok, J.、Smidt, S.(1989)。Past Price Changes and Current Trading Volume。Journal of Portfolio Management，15(4)，18-24。  new window
13.許溪南、黃文芳(1997)。臺灣股市價量線性與非線性關係之研究。管理學報，14(2)，177-195。new window  延伸查詢new window
14.Iihara, Yoshio、Kato, Kiyoshi、Tokunaga, Toshifumi(1996)。Intraday Return Dynamics between the Cash and the Futures Markets in Japan。Journal of Futures Markets，16(2)，147-162。  new window
15.許和鈞、劉永欽(19961000)。臺灣地區股票市場價量之線性與非線性Granger因果關係之研究。證券市場發展，8(4)=32，23-49。new window  延伸查詢new window
16.Kawaller, I. G.、Koch, P. D.、Koch, T. W.(1987)。The Temporal Price Relationship between S&P 500 Futures and S&P Index。Journal of Finance，42(5)，1309-1329。  new window
17.Herbst, Anthony F.、McCormack, Joseph P.、West, Elizabeth N.(1987)。Investigation of a Lead-Lag Relationship between Spot Stock Indices and Their Futures Contracts。The Journal of Futures Markets，7(4)，373-381。  new window
18.Jain, Prem C.、Joh, Gun-Ho(1988)。The dependence between hourly prices and trading volume。Journal of Financial and Quantitative Analysis，23(3)，269-283。  new window
19.Karpoff, Jonathan M.(1987)。The Relation between Price Changes and Trading Volume: A Survey。Journal of Financial and Quantitative Analysis，22(1)，109-126。  new window
20.Rogalski, R. J.(1978)。The dependence of prices and volume。Review of Economics and Statistics，60(2)，268-274。  new window
21.Ying, C. C.(1966)。Stock market prices and volumes of sales。Econometrica: Journal of the Econometric Society，34(3)，676-685。  new window
22.Lamoureux, C. G.、Lastrapes, W. D.(1990)。Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects。The Journal of Finance，45(1)，221-229。  new window
23.Kim, C. J.(1994)。Dynamic linear models with Markov-switching。Journal of Econometrics，60，1-22。  new window
24.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。  new window
25.Campbell, John Y.、Grossman, Sanford J.、Wang, Jiang(1993)。Trading volume and serial correlation in stock returns。The Quarterly Journal of Economics，108(4)，905-939。  new window
26.Dickey, David A.、Fuller, Wayne A.(1981)。Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root。Econometrica: journal of the Econometric Society，49(4)，1057-1072。  new window
27.Blattberg, Robert C.、Gonedes, Nicholas J.(1974)。A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices。Journal of Business，47(2)，244-280。  new window
28.Hamilton, James D.(1989)。A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle。Econometrica: Journal of the Econometric Society，57(2)，357-384。  new window
29.Filardo, Andrew J.(1994)。Business-cycle Phases and Their Transitional Dynamics。Journal of Business & Economic Statistics，12(3)，299-308。  new window
30.Martikainen, T.、Puttonen, V.、Luoma, M.、Rothovius, T.(1994)。The Linear and Non-linear Dependence of Stock Returns and Trading Volume in the Finnish Stock Market。Applied Financial Economics，4(2)，159-169。  new window
31.楊踐為(1999)。臺灣股市價量因果關係之實證研究。企業管理學報，45，49-71。  延伸查詢new window
32.Abhyankar, A.、Copeland, L. S.、Wong, W.(1997)。Uncovering Nonlinear Structure in Real-time Stock Market Indices: The S&P 500, the DAX, the Nikkei 225 and the FT-SE 100。Journal of Business & Economic Statistics，15(1)，1-14。  new window
33.Engle, C.、Hakkio, C. S.(1996)。The distribution of exchange rates in the EMS。International Journal of Finance & Economics，1(1)，55-67。  new window
34.李正福、顏吉利、張清富(1993)。Informational efficiency of capital market revisited: Anomalous evidence from a refined test。Advances in Quantitative Analysis of Finance and Accounting，2(Part A)，39-65。  new window
35.Mittnik, S.、Rachev, S.(1993)。Modeling asset returns with alternative stable models。Econometric Reviews，12，261-330。  new window
36.Yen, Gili、Yen, Eva C.(1999)。On the validity of the wiener process assumption in option pricing models: Contradictory evidence from Taiwan。Review of Quantitative Finance and Accounting，12(4)，327-340。  new window
研究報告
1.Filardo, A. J.(1998)。Choosing information variables for transition probabilities in a time-varying transition probability markov switching model。Kansas City。  new window
2.LeBaron, B.(1992)。Persistence of the Dow Jones index on rising volume。Madison。  new window
學位論文
1.李偉銘(1997)。股價指數期貨與現貨價格之關聯性分析--線性與非線性Granger因果關係檢定(碩士論文)。國立中興大學。  延伸查詢new window
2.陳東明(1991)。臺灣股票市場價量關係之實證研究(碩士論文)。國立臺灣大學。  延伸查詢new window
3.徐合成(1994)。臺灣股市股票報酬率與交易量關係之實證研究--GARCH模型之應用(碩士論文)。國立臺灣大學。  延伸查詢new window
4.黃裕烈(1996)。Markov switching model：臺灣實質GNP的應用，0。  延伸查詢new window
5.曾繁仁(1998)。臺灣股票報酬行為分析－應用Markov Switching模型，0。  延伸查詢new window
6.林益靖(1996)。股市交易之價量互動，0。  延伸查詢new window
7.鄭淙仁(1991)。臺灣股市日內價量關係之探討，0。  延伸查詢new window
8.鍾榮輝(2000)。集中市場與店頭市場非線性價量關係之研究，0。  延伸查詢new window
9.魏源宏(1998)。臺灣地區股票集中與店頭市場之價量因果關係探討，0。  延伸查詢new window
圖書
1.Hamilton, James D.(1994)。Time Series Analysis。Princeton University Press。  new window
2.Brock, W. A.、Hsieh, D. A.、LeBaron, B.(1991)。Nonlinear Dynamics, Chaos and Instability: Statistical Theory and Economic Evidence。Nonlinear Dynamics, Chaos and Instability: Statistical Theory and Economic Evidence。Cambridge, MA/ London, UK：MIT Press。  new window
圖書論文
1.Diebold, F. X.、Lee, J. H.、Weinbach, G. C.(1994)。Regime Switching with Time-Varying Transition Probabilities。Nonstationary Time Series Analysis and Cointegration。Oxford University Press。  new window
 
 
 
 
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