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題名:臺灣毛豬市場批發價格與交易量之非線性關係探討--雙變量門檻迴規模型之應用
書刊名:農業與經濟
作者:李佳珍 引用關係黃柏農 引用關係
作者(外文):Lee, Jia-janHuang, Bwo-nung
出版日期:2010
卷期:45
頁次:頁23-51
主題關鍵詞:毛豬市場價量關係雙變量門檻迴歸模型Pork marketPriceVolume of transactionBivariate threshold regression model
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(2) 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:9
  • 點閱點閱:47
本研究使用1981年1月至2009年12月台灣地區毛豬的價格與交易量資料,應用Tsay(1998)的多變量門檻迴歸模型來探討當d期前的交易量大於或低於某一門檻水準時,價格與交易量之間的互動關係是否會有所不同。實證結果發現:當11期前的交易量爲一種極端小交易量時,本期若產生一個正向價格衝擊時,交易量後續將不會有顯著的反應關係,但若在本期產生一個正向(負向)的交易量衝擊時,價格將在第6期出現一種負(正)向的反應關係。另一方面,當11期前的交易量不是極端小的交易量時,本期若產生一個正(負)向價格衝擊時,交易量將在第2-4期及第14期出現一種負(正)向的顯著反應關係;但若在本期產生一個正(負)向交易量的衝擊時,後續的價格走勢將不會有顯著的反應關係。
Applying Tsay's multi-variate threshold regression model to volume of transaction and price of pork of Taiwan (January 1981 through December 2009), this paper explores the different interaction patterns between price and volume of tranaction. The results are encouraging. First, when the transaction volume of pork 11 periods before is very small, we observe the following: (i) to a positive shock on the current price, the responses of future volumes are insignificant, and (ii) to a positive (negative) shock on the current volume, the price six periods later is expected to decreases (increases). Second, when the volume 11 periods before is not very small, we observe that (i) the volumes 2~4 and 14 periods later respond negatively (positively) to a positive (negative) shock to current price, and (ii) future price changes are insignificant in response to a positive (negative) shock to current volume of transaction in the Taiwan pork market.
期刊論文
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3.Malliaris, A. G.、Urrutia, J. L.(1998)。Volume and price relationships: hypotheses and testing for agricultural futures。The Journal of Futures Markets,18(1),53-72。  new window
4.李建強、張佩鈴、陳珮芬(20061200)。臺灣毛豬市場批發價格的非線性模型分析。農業經濟半年刊,80,59-95。new window  延伸查詢new window
5.Tsay, R. S.(1998)。Testing and Modeling Multivariate Threshold Models。Journal of the American Statistical Association,93(443),1188-1202。  new window
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7.Silvapulle, P.、Choi, J. S.(1999)。Testing for Linear and Nonlinear Granger Causality in The Stock Price-Volume Relation: Korean Evidence。The Quarterly Review of Economic and Finance,39,59-76。  new window
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12.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
13.Granger, Clive W. J.(1969)。Investigating causal relations by econometric models and cross-spectral methods。Econometrica: Journal of the Econometric Society,37(3),424-438。  new window
14.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12(2/3),231-254。  new window
15.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
16.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。  new window
17.中央畜產會(2005)。《畜產報導月刊》。  延伸查詢new window
18.陳仕偉與呂麗蓉(2007)。「台灣毛豬市場價量因果關係之檢定」。《台灣經濟論衡》,5,1-26。  延伸查詢new window
19.Chuang, C. C., C. M. Kuan, and H. Y. Lin(2009)。“Causality in Quantiles and Dynamic Stock Return-Volume Relations,”。Journal of Banking and Finance,33,1351-1360。  new window
20.Chen, G., M. Firth, and Y. Xin(2004)。“The Price-Volume Relationship in China’s Commodity Futures Markets,”。The Chinese Economy,37,87-122。  new window
21.Gervais, S., R. Kaniel, and D. H. Mingelgrin(2001)。“The High-Volume Returns Premium,”。Journal of Finance,56,877-919。  new window
22.Henry, O. T. and M. Mckenzie(2006)。“The Import of Short Selling on the Price- Volume Relationship: Evidence from Hong Kong,”。Journal of Business,79,671-691。  new window
23.Hsio, C.(1981)。“Autoregressive Modeling and Money-Income Causal Detection,”。Journal of Monetary Economics,7,85-106。  new window
24.Hua, R. and B. Chen(2007)。“International Linkages of the Chinese Future Markets,”。Applied Financial Economics,17,275-1287。  new window
25.Malliaris, A. G. and J. L. Urrutia(1998)。“Volume and Price Relationships: Hypotheses and Testing for Agricultural Futures,”。The Journal of Futures Markets,18,53-72。  new window
26.Yang, J., R. B. Balyeat, and D. J. Leatham(2005)。“Future Trading Activity and Commodity Cash Price Volatility,”。Journal of Business Finance and Accounting,32,297-323。  new window
27.中央畜產會(2005)。畜產報導月刊。  延伸查詢new window
28.陳仕偉、呂麗蓉(2007)。台灣毛豬市場價量因果關係之檢定。台灣經濟論衡,5,1-26。  延伸查詢new window
29.Chuang, C. C.、Kuan, C. M.、Lin, H. Y.(2009)。Causality in Quantiles and Dynamic Stock Return-Volume Relations。Journal of Banking and Finance,33,1351-1360。  new window
30.Henry, O. T.、Mckenzie, M.(2006)。The Import of Short Selling on the Price-Volume Relationship: Evidence from Hong Kong。Journal of Business,79,671-691。  new window
31.Chen, G.、Firth, M.、Xin, Y.(2004)。The Price-Volume Relationship in China’s Commodity Futures Markets。The Chinese Economy,37,87-122。  new window
32.Gervais, S.、Kaniel, R.、Mingelgrin, D. H.(2001)。The High-Volume Returns Premium。Journal of Finance,56,877-919。  new window
33.Hua, R.、Chen, B.(2007)。International Linkages of the Chinese Future Markets。Applied Financial Economics,17,275-1287。  new window
34.Hsio, C.(1981)。Autoregressive Modeling and Money-Income Causal Detection。Journal of Monetary Economics,7,85-106。  new window
35.Yang, J.、Balyeat, R. B.、Leatham, D. J.(2005)。Future Trading Activity and Commodity Cash Price Volatility。Journal of Business Finance and Accounting,32,297-323。  new window
研究報告
1.Baek, E.、Brock, W.(1992)。A General Test for Nonlinear Granger Causality: Bivariate Model。Iowa State University。  new window
學位論文
1.李昇益(1995)。匯率變動對台灣豬肉出口及國內毛豬價量之影響(碩士論文)。國立台灣大學。  延伸查詢new window
圖書
1.行政院農業委員會(1981)。『台灣地區農產品批發市場年報』。台北市:行政院農業委員會。  延伸查詢new window
其他
1.行政院農業委員會(1981)。《台灣地區農產品批發市場年報》,南投。  延伸查詢new window
 
 
 
 
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