The Relationship between Returns and Trading Volume: Preliminary Evidence Concerning Taiwan Index Futures Contracts_

:::

詳目顯示

第 1 筆 / 總合 1 筆

/1頁

來源文獻資料
外文摘要
引文資料

題名：	The Relationship between Returns and Trading Volume: Preliminary Evidence Concerning Taiwan Index Futures Contracts
書刊名：	Asia Pacific Management Review
作者：	Hsiao, Jung-lieh
出版日期：	2004
卷期：	9:4
頁次：	頁709-727
主題關鍵詞：	Causal relationship；Zero unconditional covariance；Zero conditional covariance
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:0 共同引用:7 點閱:46

This paper examines the causal relationship between returns and volume for four Taiwanrelated futures contracts and the co-movement between returns and volume. The findings were as follows: First, past returns could predict the volume for the SIMEX-TW contract; however, a significant lagged volume Granger-caused returns for TF contracts. Second, regarding trading period returns and volume, it was found that volume could be used to forecast returns for TE contracts. There exists a feedback relationship for TF contracts. Third, the study found evidence of significant transitory and permanent covariances except in the case of TX contracts when the close-to-close returns were considered. Fourth, results concerning the covariance between day-time returns and volume corresponded to rejection of the null hypotheses of a zero unconditional covariance (ZUC) and a zero conditional covariance (ZCC); but only in the case of the TE contracts did the author find evidence of ZUC.

以文找文

期刊論文
1.	Chordia, Taran、Swaminathan, Bhaskaram(2000)。Trading volume and cross-autocorrelations in stock returns。The Journal of Finance，55(2)，913-935。
2.	Gurel, E.、Harris, L.(1986)。Price and Volume Effects Associated with Changes in the S&P 500 List: New evidence for the Existence of Price Pressure。The Journal of Finance，41(4)，815-829。
3.	Andrews, Donald W. K.、Ploberger, Werner(1994)。Optimal Tests when a Nuisance Parameter Is Present Only under the Alternative。Econometrica，62(6)，1383-1414。
4.	Epps, W.、Epps, M.(1976)。The stochastic dependence of security price changes and transaction volumes: Implications for the mixture of distribudistributions hypothesis。Econometrica，44(2)，305-321。
5.	Lee, B. S.、Rui, O. M.(2002)。The Dynamic Relationship between Stock Returns and Trading Volume: Domestic and Cross-Country Evidence。Journal of Banking and Finance，26(1)，51-78。
6.	Cornell, B.(1981)。The Relationship between Volume and Price Variability in Futures Markcts。journal of Futures Markets，1，303-316。
7.	Kocagil, A. E.、Shachmurove, Y.(1998)。Return-Volume Dynamics in Futures Markets。Journal of Futures Markets，18(4)，399-426。
8.	Epps, Thomas W.(1975)。Security Price Changes and Transaction Volumes: Theory and Evidence。The American Economic Review，65(4)，586-597。
9.	McCarthy, J.、Najand, M.(1993)。State Space Modeling of Price and Volume Dependence: Evidence from Currency Futures。Journal of Futures Markets，13，335-344。
10.	King, M.、Sentana, E.、Wadhwani, S.(1994)。Volatility and Links Between National tock Markets。Econometrica，62，901-933。
11.	Pantula, Sastry D.、Gonzalez-Farias, Graciela、Fuller, Wayne A.(1994)。A Comparison of Unit-Root Test Criteria。Journal of Business and Economic Statistics，12(4)，449-459。
12.	Clark, Peter K.(1973)。A subordinated stochastic process model with finite variance for speculative prices。Econometrica，41(1)，135-155。
13.	Jennings, R. H.、Starks, L. T.、Fellingham, J. C.(1981)。An Empirical Model of Asset Trading with Sequential Information Arrival。Journal of Finance，36，143-161。
14.	黃玉娟、徐守德(19990900)。股價指數期貨定價之研究--新加坡摩根臺指期貨之實證。亞太管理評論，4(3)，255-269。延伸查詢
15.	Gallant, A. R.、Rossi, P. E.、Tauchen, G.(1992)。Stock Prices and Volume。The Review of Financial Studies，5(2)，199-242。
16.	Copeland, T. E.(1976)。A model of asset trading under the assumption of sequential information arrival。Journal of Finance，31，1149-1168。
17.	Karpoff, Jonathan M.(1987)。The Relation between Price Changes and Trading Volume: A Survey。Journal of Financial and Quantitative Analysis，22(1)，109-126。
18.	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。
19.	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。
20.	Engle, Robert F.、Kroner, Kenneth F.(1995)。Multivariate simultaneous generalized arch。Econometric Theory，11(1)，122-150。
21.	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。
22.	de Long, J. Bradford、Shleifer, Andrei、Summers, Lawrence H.、Waldmann, Robert J.(1990)。Noise trader risk in financial markets。Journal of Political Economy，98(4)，703-738。
23.	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。
24.	Harris, Milton、Raviv, Artur(1993)。Differences of Opinion Make a Horse Race。Review of Financial Studies，6(3)，473-506。
25.	Longin, Francois、Solnik, Bruno(1995)。Is the correlation in international equity returns constant: 1960-1990?。Journal of International Money and Finance，14(1)，3-26。
26.	Bollerslev, Tim、Wooldridge, Jeffrey M.(1992)。Quasi Maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances。Econometric Reviews，11(2)，143-172。
27.	Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of the Estimators for Autoregressive Time Series With a Unit Root。Journal of the American Statistical Association，74(366)，427-431。
28.	Darbar, S. M.、Deb, P.(1997)。Co-movements in International Equity Markets。The Journal of Financial Research，20(3)，305-322。
29.	Bhar, R.、Malliaris, A. G.(1998)。Volume and Volatility in Foreign Currency Futures Markets。Review of Quantitative Finance and Accounting，10，285-302。
30.	Carter, C. A.(1989)。Arbitrage Opportunities between Thin and Liquid Futures Markets。The Journal of Futures Markets，9(4)，347-353。
31.	Fujihara, R. A.、Mougoue, M.(1997)。An Examination of Linear and Non-Linear Causal Relationships between Price Variability and Volume in Petroleum Futures Markets。The Journal of Futures Markets，17，385-416。
32.	James, C.、Edmister, R. O.(1983)。The Relation between Common Stock Returns Trading Activity and Market Value。The Journal of Finance，38，1075-1086。
33.	Lee, J. H. H.(1991)。A Lagrange Multiplier Test for GARCH Models。Economics Letters，37，265-271。
34.	Moosa, L.、Al-Loughani, N. E.(1995)。Testing the Price-Volume Relation in Emerging Asian Stock Markets。Journal of Asian Economics，6，407-422。
35.	Morse, D.(1981)。Price and Trading Volume Reaction Surrounding Earnings Announcements: A Closer Examination。Journal of Accounting Research，19，347-383。
36.	Saatcioglu, K.、Starks, L. T.(1998)。The Stock Price-Volume Relationship in Emerging Stock Markets: The Case of Latin America。International Journal of Forecasting，14，215-225。

圖書
1.	DeMark, D. A.(1994)。The New Science of Technical Analysis。The New Science of Technical Analysis。New York, NY。
2.	Murphy, J. J.(1985)。Technical Analysis of the Futures Markets。Technical Analysis of the Futures Markets。New York, NY。
3.	Peck, A.(1981)。Measures and Prices Effects of Changes in Speculation on the Wheat, Corn, and Soybean Futures Markets。Research on Speculation。Chicago, IL。

推文
推薦
引用網址
引用嵌入語法
轉寄

top

:::

相關期刊
相關論文
相關專書
相關著作
熱門點閱

1.	臺灣股價指數的股利估計及其對臺指期貨定價的影響
2.	以買權賣權期貨平價理論探討臺指期貨與臺指選擇權之套利機會與套利利潤
3.	影響股價指數期貨定價誤差因素之研究--以臺股期貨為例
4.	臺股指數期貨與現貨市場交易量對於波動衝擊反應之研究
5.	亞洲重要股價指數期貨市場之效率性分析--兼論東亞金融風暴的影響
6.	臺灣股價指數期貨套利之研究--類神經網路與灰色理論之應用
7.	股價指數期貨定價之研究--新加坡摩根臺指期貨之實證

1.	台灣股價指數的股利估計及其對台指期貨價格行為的影響

無相關書籍

無相關著作

無相關點閱

QR Code

臺灣人文及社會科學引文索引資料庫系統

詳目顯示

臺灣人文及社會科學引文索引資料庫