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題名:臺灣股票市場交易值、交易量與發行量加權股價指數關係之實證研究--光譜分析之應用
書刊名:農業經濟半年刊
作者:劉映興陳家彬 引用關係
作者(外文):Liu, Ying-singChen, Chia-pin
出版日期:2002
卷期:72
頁次:頁65-87
主題關鍵詞:價量關係光譜分析市場效率性交叉光譜分析Price-volume relationsSpectrum analysisMarket efficiencyCross-spectrum analysis
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(0) 博士論文(1) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:4
  • 點閱點閱:29
     本研究主要探討臺灣股市的交易值(trading value)或交易量(trading volume)與加權股價指數(TAIEX)之間的關係。首先以單根檢定(unit root test)來檢驗時間數列是否穩定(stationary);其次,以光譜分析(spectrum analysis)來檢驗交易值、交易量與加權指數是否具有循環現象。最後,利用交叉光譜分析(cross-spectrum analysis)探討臺灣股市之交易值或交易量與加權指數兩者間是否存在某種關係,能否領先或落後加權指數變動,以了解臺灣股市是否存有「價量關係」或「量是價的先行指標」。實證結果顯示:臺灣股票市場加權指數不具有循環的現象,但在交易值及成交量則有循環現象。其次,無論是交易值或交易量與加權指數皆呈現高度的相關性且領先加權指數,故支持臺灣股票市場存有「價量關係」與「量是價的先行指標」。
     This study investigates the interrelations between trading value, trading volume and stock index in Taiwan stock market. We employ spectrum analysis to examine if there exist cycling, leading or lagging price-volume relations. The major results indicate that there is no cycling relation for the stock index. However, the trading value and trading volume are found to be highly correlated with and lead the stock index. These results support the conventional stock price-volume relation, which general says that volume is a leading indicator of the price.
期刊論文
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3.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
4.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
5.Epps, Thomas W.(1975)。Security Price Changes and Transaction Volumes: Theory and Evidence。The American Economic Review,65(4),586-597。  new window
6.Clark, Peter K.(1973)。A subordinated stochastic process model with finite variance for speculative prices。Econometrica,41(1),135-155。  new window
7.Schwert, G. William(1989)。Tests for Unit Roots: A Monte Carlo Investigation。Journal of Business and Economic Statistics,7(2),147-159。  new window
8.Seguin, Paul J.、Bessembinder, Hendrik、Chan, Kalok(1996)。An Empirical Examination of Information, Differences of Opinion, and Trading Activity。Journal of Financial Economics,40(1),105-134。  new window
9.楊踐為、許至榮(1997)。臺灣股票集中與店頭市場價量因果關係之探討。證券金融,54,19-32。  延伸查詢new window
10.Gallant, A. R.、Rossi, P. E.、Tauchen, G.(1992)。Stock Prices and Volume。The Review of Financial Studies,5(2),199-242。  new window
11.Copeland, T. E.(1976)。A model of asset trading under the assumption of sequential information arrival。Journal of Finance,31,1149-1168。  new window
12.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
13.Wood, R. A.、McInish, T. H.、Ord, J. K.(1985)。An Investigation of Transactions Data for NYSE Stocks。Journal of Finance,40(3),723-739。  new window
14.Ying, C. C.(1966)。Stock market prices and volumes of sales。Econometrica: Journal of the Econometric Society,34(3),676-685。  new window
15.De Long, J. Bradford、Shleifer, Andrei、Summers, Lawrence H.、Waldmann, Robert J.(1990)。Positive Feedback Investment Strategies and Destabilizing Rational Speculation。Journal of Finance,45(2),379-395。  new window
16.Schwarz, Gideon(1978)。Estimating the Dimension of a model。The Annals of Statistics,6(2),461-464。  new window
17.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
18.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
19.Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika,75(2),335-346。  new window
20.Said, S. E.、Dickey, David A.(1984)。Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order。Biometrika,71(3),599-607。  new window
21.Crouch, R. L.(1970)。The Volume of Transaction and Price Changes on The New York Stock Exchange。Financial Analysts Journal,26,104-109。  new window
22.游淑禎(1996)。臺灣股票市場成交量與報酬率波動性因果關係之實証。國立臺中技術學院學報,28,371-395。  延伸查詢new window
23.莊忠柱(2001)。臺灣發行量加權股價指數期貨與現貨市場間之價量連動關係。臺灣銀行季刊,52(3),345-361。new window  延伸查詢new window
24.Akaike, Hirotugu(1974)。Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes。Annals of the Institute of Statistical Mathematics,26,363-387。  new window
25.Basci, E.、Ozyidirim, S.、Aydogan, K.(1996)。A Note on Price-Volume Dynamics in an Emerging Stock Market。Journal of Banking & Finance,20,389-400。  new window
26.Ding, David K.、Lau, Sie Ting(2001)。An Analysis of Transactions Data for the Stock Exchange of Singapore: Patterns, Absolute Price Change, Trade Size and Number of Transactions。Journal of Business Finance & Accounting,28(1/2),151-174。  new window
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學位論文
1.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
2.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
3.許家豪(1998)。股票市場交易量與報酬波動因果關係實證分析,0。  延伸查詢new window
4.廖偉群(2001)。自我迴歸模型之單根檢定,0。  延伸查詢new window
圖書
1.杜金龍(1998)。技術指標--在臺灣股市應用的訣竅。金錢文化企業股份有限公司。  延伸查詢new window
2.Naidu, Prabhakar S.(1996)。Modern Spectrum Analysis of Time Series。Modern Spectrum Analysis of Time Series。沒有紀錄。  new window
 
 
 
 
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