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題名：臺灣股市價量線性與非線性關係之研究
書刊名：管理學報
作者：許溪南／黃文芳
作者(外文)：Hsu, Hsinan／Hwang, Wen-fang
出版日期：1997
卷期：14:2
頁次：頁177-195
主題關鍵詞：價量關係；線性因果檢定；非線性因果檢定；Price-volume relation；Linear granger causality；Nonlinear granger causality
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(5) 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:5
  • 共同引用共同引用:4
  • 點閱點閱:37
　　　　　傳統之線性因果檢定(Linear Granger Causality Testing)對於非線性因果關係 之檢定力可能較低，因此，有別於以往之研究，本研究同時運用線性因果檢定模式與非線性 因果檢定模式來探討臺灣股市每日股價報酬率與成交量 (及成交量變動率 ) 之因果關係。 研究結果顯示，在線性因果檢定方面， 報酬率與成交量 (或成交量變動率 ) 之間均呈現雙 向因果關係；在非線性因果檢定方面，以模擬變數之數種情況分別檢定，亦發現報酬率與成 交量 (或成交量變動率 ) 均出現雙向因果關係，而且「成交量 (或成交量變動率 ) 領先報 酬率」之出現頻率高於「報酬率領先成交量 (或成交量變動率 ) 」之出現頻率。 依據本研 究之結果， 若能善用成交量 (或成交量變動率 ) 之歷史資訊將有助於報酬率之預測，進而 提高投資報酬。
　　　　　Traditional linear Granger causality testing may give lower testing power for nonlinear causal relation. This paper uses linear and nonlinear Granger causality testing to test the relationship between daily stock returns and trading volume in the Taiwan stock market. We find strong evidence of significant bidirectional linear and nonlinear causality between stock returns and trading volumes. In addition, in the test of nonlinear causality, we also find that volume precedes returns more frequently than that returns precede volumes. Accordingly, an investor, taking advantage of the knowledge of past trading volumes, will improve his investment returns.
期刊論文
1.Smirlock, M.、Starks, L.(1985)。A further examination of stock price changes and transactions volume。Journal of Financial Research，8，217-225。  new window
2.Epps, Thomas W.、Epps, Mary Lee(1976)。The stochastic dependence of security price changes and transaction volumes: implications for the mixture of distributions hypothesis。Econometrica，44(2)，305-321。  new window
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.楊朝成、陳立國(1994)。臺灣股市日內價量關係之研究。證券市場發展季刊，22，323-339。new window  延伸查詢new window
6.Clark, P. K.(1973)。A Subordinated Stochastic Process Model with Finite Variances for Speculative Prices。Economctrica，41，135-155。  new window
7.Copeland, T.(1976)。A Model of Asset Trading under the Assumption of Sequential Information Arrival。Journal of Finance，31，135-155。  new window
8.Epps, T.(1977)。Security Price Changes and Transaction Volumes: Some Additional Evidenced。Journal of Financial and Quantitative Analysis，12，141-146。  new window
9.Hiemstra, C.、Jones, J.(1994)。Testing for Linear and Nonlinear Granger Causality in the tock Price-Volume Relation。Journal of Finance，49，1639-1664。  new window
10.Martikainen, T.、Puttonen, V.、Luoma, M.、Rothovius, T.(1994)。The Linear and Nonlinear Dependence of Stock Returns and Trading Volume in the Finnish Stock Market。Applied Financial Economics，4，159-169。  new window
11.O'Hanlon, J.(1991)。The Relationship in Time Between Annual Accounting Returns and Annual Stock Market Returns in the UK。Journal of Business Finance and Accounting，18，305-314。  new window
12.Aksu, C.、Gunay, E.(1995)。An Empirical Analysis of the Causal Relationship Between Short Interest and Stock Prices。Journal of Business Finance & Accounting，22(5)，733-749。  new window
13.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
14.Harris, Lawrence(1986)。Cross-security Tests of the Mixture of Distributions Hypothesis。Journal of Financial and Quantitative Analysis，21(1)，39-46。  new window
15.Hsiao, C.(1981)。Autoregressive Modeling and Money-Income Causality Detection。Journal of Monetary Economics，7(1)，85-106。  new window
16.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
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。  new window
18.Mahdavi, S.、Sohrabian, A.(1991)。The Link Between the Rate of Growth of Stock Prices and the Rate of Growth of GNP in the United States: A Granger Causality Test。American Economist，35(2)，41-48。  new window
19.McInish, T. H.、Word, R. A.(1991)。Hourly Returns, Volume, Trade Size, and Number of Trades。Journal of Financial Research，14(4)，303-314。  new window
20.Morgan, I. G.(1976)。Stock Prices and Heteroskedasticity。Journal of Business，49，496-508。  new window
21.Rogalski, R. J.(1978)。The dependence of prices and volume。Review of Economics and Statistics，60(2)，268-274。  new window
22.Westerfield, R.(1977)。The Distribution of Common Stock Price Changes: An Application of Transactions Time and Subordinated stochastic Models。Journal of Financial and Quantitative Analysis，12(5)，743-765。  new window
23.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
24.Ying, C. C.(1966)。Stock market prices and volumes of sales。Econometrica: Journal of the Econometric Society，34(3)，676-685。  new window
25.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
26.Akaike, Hirotsugu(1974)。A new look at the statistical model identification。IEEE Transactions on Automatic Control，19(6)，716-723。  new window
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。  new window
學位論文
1.陳永茂(1993)。臺灣證券市場股票價格與成交量關係之實證研究(碩士論文)。國立臺灣科技大學。  延伸查詢new window
2.蕭幸金(1993)。股價與成交量相依程度之探討-臺灣股市實證分析(碩士論文)。國立政治大學。  延伸查詢new window
3.駱綾(1995)。上海、深圳股市價量關係之實證研究(碩士論文)。私立淡江大學。  延伸查詢new window
4.鄭淙仁(1992)。臺灣股市日內價量關係之探討(碩士論文)。國立政治大學。  延伸查詢new window
5.譚淑卿(1992)。臺灣股市價格變動與成交量的關係(碩士論文)。私立淡江大學。  延伸查詢new window
6.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
7.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
圖書
1.Fuller, Wayne A.(1976)。Introduction to Statistical Time Series。New York：John Wiley & Sons。  new window
2.Pindyck, Robert S.、Rubinfeld, Daniel L.(1981)。Econometric Models and Economic Forecasts。New York, NY：McGraw-Hill Book Company。  new window
 
 
 
 
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