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題名:空頭走勢期間臺股股價指數及相關因素之因果關係研究
書刊名:商管科技季刊
作者:姚蕙芸梁志民
作者(外文):Yau, Hwey-yunLiang, Chih-min
出版日期:2004
卷期:5:2
頁次:頁109-127
主題關鍵詞:區塊因果關係檢定空頭股市期貨指數成交量完全修正向量自迴歸FM-VAR block causality testBear marketStock price index futuresTrading volumeFully modified VAR or FM-VAR
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(3) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:2
  • 共同引用共同引用:7
  • 點閱點閱:95
     2000年臺灣股市集中市場從年初至年終下跌了43.9%,是歷年來第二大跌幅;其間曾於上半年兩次攀上萬點,下半年卻呈現數波段連續性下跌走勢,最後竟跌至4千多點收場。本文運用完全修正向量自迴歸區塊因果關係檢定法,來分析大盤加權股價指數、期貨指數、成交量、臺積電股價、及融資餘額五種變數之間的互動關係,以決定期因果先後順序,期望藉此研究對空頭市場有更進一步的了解。
     This paper, focusing on the bear market in the year 2000, Taiwan Stock Exchange Index dropped 43.9% in this year. This was the second highest drop rate since the stock market opened. In this year. Stock market experienced dramatic fluctuations. The stock index reached 10,000 level two times in the first half of the yar; however, it stared to drop periodically from july to December, and even fell below 4,000 level. This paper utilizes FM-VAR block causality test to analyze the interrelationships among 5 variables: the stock exchange index, stock price index futures, trading volume, buying on margin balance, and the stock price of the Taiwan Semiconductor so as to determine the causality among them. It is believed that the result of this study will e helpful to the better understanding of the bear market in Taiwan.
期刊論文
1.Jain, P. C.、Joh, G. H.(1988)。The dependence between hourly price and trading volume。Journal of Financial and Quantitative Analysis,23(3),269-284。  new window
2.Phillips, Peter C. B.(1995)。Fully Modified Least Squares and Vector Autoregression。Econometrica,63(5),1023-1079。  new window
3.李又剛、蘇逸平(19990100)。股價指數現貨與期貨關聯性之探討:以SIMEX臺指與S&P500指數為例。企銀季刊,22(3),51-71。  延伸查詢new window
4.Toda, Hiro Y.、Phillips, Peter C. B.(1993)。Vector Autoregressions and Causality。Econometrica: Journal of the Econometric Society,61(6),1367-1393。  new window
5.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
6.Phillips, P. C. B.、Hansen, B. E.(1990)。Statistical Inference in Instrumental Variables Regressions with I(1) Processes。Review of Economic Studies,53,473-496。  new window
7.Watson, Mark W.、Stock, James H.、Sims, Christopher A.(1990)。Inference in Linear Time Series Models with Some Unit Roots。Econometrica,58(1),113-144。  new window
8.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
9.Edwards, F. R.(1988)。Futures Trading and Cash Market Volatility: Stock Index and Interest Rates Futures。Journal of Futures Markets,8,421-439。  new window
10.Lakonishok, J.、Smidt, S.(1989)。Past Price Changes and Current Trading Volume。Journal of Portfolio Management,15(4),18-24。  new window
11.Lamoureux, C.、Lastraps, W.(1991)。Heteroskedasticity in stock return data: Volume versus GARCH effect。Journal of Finance,45,221-229。  new window
12.Damodaran, A.、Lim, J.(1991)。The Effects of Option Listing on the Underlying Stocks' Return Processes。Journal of Banking and Finance,15,647-664。  new window
13.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
14.Bessembinder, Hendrik、Seguin, Paul J.(1992)。Futures-trading Activity and Stock Price Volatility。The Journal of Finance,47(5),2015-2034。  new window
15.Lee, Sang Bin、Ohk, Ki Yool(1992)。Stock Index Futures Listing and Structural Change in Time-Varying Volatility。Journal of Futures Markets,12(5),493-509。  new window
16.Andrews, D. W. K.(1991)。Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation。Econometrica,59(3),817-858。  new window
17.Crouch, R. L.(1970)。The Volume of Transactions and Price Changes on the New York Stock Exchange。Financial Analysts Journal,26(4),104-109。  new window
18.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
19.Rogalski, R. J.(1978)。The dependence of prices and volume。Review of Economics and Statistics,60(2),268-274。  new window
20.Ying, C. C.(1966)。Stock market prices and volumes of sales。Econometrica: Journal of the Econometric Society,34(3),676-685。  new window
21.Osborne, M. F. M.(1959)。Brownian Motion in the Stock Market。Operations Research,7(2),145-173。  new window
22.Nelson, C. R.、Plosser, C. I.(1982)。Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications。Journal of Monetary Economics,10(2),139-162。  new window
23.Sims, Christopher A.(1980)。Macroeconomics and Reality。Econometrica: Journal of the Econometric Society,48(1),1-48。  new window
24.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
學位論文
1.游兆源(1999)。台股指數期貨上市對台灣股市的波動性影響(碩士論文)。國立中興大學。  延伸查詢new window
2.蔡麗茹(1988)。臺灣總體經濟變數之因果關係檢定,0。  延伸查詢new window
3.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
4.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
其他
1.陳玉彬(1999)。台股指數期貨上市對台灣股市影響之研究。  延伸查詢new window
2.Danthine, J. & Anderson, R. W.(1981)。Cross hedging。  new window
3.Edwards, F. R.(1988)。Does futures trading increase stock market volatility?。  new window
4.Grossman, S. J(1988)。Program trading and kyklos market volatility: A report on interday relationship。  new window
5.Stein, J. C.(1983)。Informational externalities and welfare-reducing speculation。  new window
圖書論文
1.汪義育(1985)。台灣物價與所得波動之探討--向量自迴歸模型分析之結論。中國經濟學會論文集。  延伸查詢new window
2.梁志民、汪義育(1995)。總體數列因果關係之非恆定計量研究--完全修正向量自迴歸實證方法。中國經濟學會論文集。  延伸查詢new window
 
 
 
 
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