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題名：分量迴歸模型於臺指期貨報酬率與成交量、未平倉量關係之再驗證
書刊名：輔仁管理評論
作者：李沃牆 引用關係／許維哲
作者(外文)：Syu, Wei-jhe／Lee, Wo-chiang
出版日期：2011
卷期：18:2
頁次：頁72-102
主題關鍵詞：未平倉量；分量迴歸；對稱性檢定；拔靴複製法；Quantile regression；Test for symmetry；Bootstrap；Open interest
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(1) 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:1
  • 共同引用共同引用:36
  • 點閱點閱:42
本文應用Koenker and Bassett (1978) 所提出的分量迴歸模型 (quantile regression) 再驗證期貨價格報酬率與成交量、未平倉量的關係。實證上採用2001 年至2009 年的的台指期貨相關量價變數，並將樣本分成全部樣本、次級房貸前後並進行比較。同時亦將量價關係區分為三個模型進行比較。實證結果顯示：報酬率與成交量的關係，大致呈現非對稱V 字型的價量關係；而報酬率與未平倉量呈非對稱倒V 字型的價量關係。但在次級房貸後的樣本下會使得報酬率與成交量、未平倉量在各分量呈現不顯著的結果，扭曲變數之間的關係，本文的結果亦可供做理論研究或實務應用上的參考。
Study applies quantile regression model which provided by Koenker and Bassett(1978) to re-examine the relationship between the future market return rate, trading volume and the open interest. In empirical study, we divided the data set which include year 2001 to 2009 from Taiwan future market into three parts, which are all sample, half sample, before and during the subprime mortgage, respectively. There are a total of three models used to compare the different data sets mentioned above. Results showed an asymmetric V-shaped relationship between return rate and trading volumes. However, in the bear market condition, the result of the return rate, trading volumes and open interest is not significant. These results can provide a reference for the theory and empirical study.
期刊論文
1.李沃牆(20100600)。成交量、未平倉量及波動率對期貨報酬率之關聯分析--縱橫平滑移轉迴歸模型之應用。臺灣期貨與衍生性商品學刊，10，1-31。new window  延伸查詢new window
2.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。  new window
3.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。  new window
4.Lakonishok, J.、Smidt, S.(1989)。Past Price Changes and Current Trading Volume。Journal of Portfolio Management，15(4)，18-24。  new window
5.Clark, Peter K.(1973)。A subordinated stochastic process model with finite variance for speculative prices。Econometrica，41(1)，135-155。  new window
6.莊家彰、管中閔(20051200)。臺灣與美國股市價量關係的分量迴歸分析。經濟論文，33(4)，379-404。new window  延伸查詢new window
7.Copeland, T. E.(1976)。A model of asset trading under the assumption of sequential information arrival。Journal of Finance，31，1149-1168。  new window
8.Osborne, M. F. M.(1959)。Brownian Motion in the Stock Market。Operations Research，7(2)，145-173。  new window
9.Fama, Eugene F.、French, Kenneth R.(1993)。Common risk factors in the returns of stocks and bonds。Journal of Financial Economics，33(1)，3-56。  new window
10.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。  new window
11.Granger, Clive William John、Newbold, Paul(1974)。Spurious Regressions in Econometrics。Journal of econometrics，2(2)，111-120。  new window
12.Koenker, R. W.、Bassett, G.(1978)。Regression Quantile。Econometrica，46(1)，33-50。  new window
13.Fama, Eugene F.、French, Kenneth R.(1992)。The Cross-Section of Expected Stock Returns。The Journal of Finance，47(2)，427-465。  new window
14.Mandelbrot, Benoit B.(1963)。The Variation of Certain Speculative Prices。The Journal of Business，36(4)，394-419。  new window
研究報告
1.González, A.、Terasvirta, T.、van Dijk, D.(2005)。Panel Smooth Transition Regression Models。Sydney：Quantitative Finance Research Centre, University of Technology。  new window
2.González, A.、Teräsvirta, T.、van Dijk, D.(2004)。Panel Smooth Transition Regression Model and an Application to Investment under Credit Constraints。Stockholm School of Economics。  new window
其他
1.王志凱(2007)。分量迴歸分析在台灣期貨市場的應用。  延伸查詢new window
2.Baker, M. ; Stein, J. C.(2004)。Market Liquidity as Sentiment Indicator。  new window
3.Chuang, C. C. ; Kuan, C. M. ; Lin, H. Y.(2009)。Causality in Quantiles and Dynamic Stock Return–Volume Relations。  new window
4.Cornell, B.(2000)。The Relationship between Volume and Price Variability in Future Market。  new window
5.Croux, C. ; Forni, M. ; Reichlin, L.(2001)。A Measurement of Comovement for Economics Variables。  new window
6.Epps, T. W.(1977)。Security Price Changes and Transaction Volumes: Some Additional Eevidence。  new window
7.Floros, C. ; Vougas, D. V.(2007)。Trading Volume and Returns Relationship in Greek Stock Index Futures Market: GARCH vs. GMM。  new window
8.Karpoff, J. M.(1987)。The Relationship Between Price Changes and Trading Volume: A Survey。  new window
9.Leigh, W. ; Modani, N. ; Hightower, R.(2004)。A Computational Implementation of Stock Charting: Abrupt Volume Increase as Signal for Movement in New York Stock Exchange Composite Index。  new window
10.Moosa, Imad A. ; Al-Loughani, Nabeel E.(1995)。Testing the Price-Volume Relation in Emerging Asian Stock Markets。  new window
11.Wang, C. Y. ; Cheng, N. S.(2004)。Extreme Volumes and Expected Stock Returns: Evidence from China’s Stock Market。  new window
 
 
 
 
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