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題名:股價指數期貨上市對股市成交量之影響--香港之經驗與實證
書刊名:證券市場發展季刊
作者:李存修 引用關係陳俊霖朱世逸
作者(外文):Lee, T. S.Chen,, J. L.Chu, S. Y.
出版日期:1998
卷期:10:1=37
頁次:頁1-25
主題關鍵詞:恆生股價指數期貨介入模式多元迴歸模式成交量Heng-seng index futuresIntervention modelMultiple regression modelTrading volume
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:0
  • 點閱點閱:46
     本文以香港恆生股價指數期貨為例,研究其上市交易對現貨市場成交量之影響, 除運用時間數列介入模式及多元迴歸模式外,也進行非指數組成份股為對照因子的實驗設計 。在控制其他足以影響成交量及周轉率之因素後,我們發現恆指期貨上市後,香港股市在成 份股及非成份股上之成交量均有明顯增加的趨勢, 成份股之周轉率約增加 81.48%,非成份 股之周轉率約增加 99.17%, 市場之流動性顯著提升,支持期貨與現貨之成交量呈淨互補關 係而非淨替代關係之假說。
     In this paper, we study the effect of Heng-Seng Index futures trading on the trading volume of Hong Kong stock market. Time series intervention model and multiple regression model are used to analyze the changes in trading volume of both index component stocks and nonindex component stocks. After controlling other factors that are capable of affecting trading volume, we find that both groups of stocks are traded more heavily after trading index futures than before. Specifically, the turnover rate of index component stocks increases by 81.48% while that of non-index component stocks soars by 99.17%. The liquidity of the underlying equity market is improved significantly. The results strongly support the complementary relationship between the trading volumes of cash market and futures market.
期刊論文
1.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。  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.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.Edwards, Franklin R.(1988)。Does Futures Trading Increase Stock Market Volatility?。Financial Analysts Journal,44,63-69。  new window
5.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
6.Skinner, D.(1989)。Options markets and stock return volatility。Journal of Financial Economics,23,61-78。  new window
7.Edwards, Franklin R.(1988)。Futures trading and cash market volatility: Stock index and interest rate futures。Journal of Futures Markets,8(4),421-439。  new window
8.Tauchen, G. E.、Pitts, M.(1983)。The price variability-volume relationship on speculative markets。Econometrica,51(2),485-506。  new window
9.Bessembinder, Hendrik、Seguin, Paul J.(1992)。Futures-trading Activity and Stock Price Volatility。The Journal of Finance,47(5),2015-2034。  new window
10.Damodaran, A.(1990)。Index Futures and Stock Market Volatility。Review of Futures Markets,9,442-457。  new window
11.Grossman, S. J.(1988)。An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies。Journal of Business,61(3),275-298。  new window
12.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
13.Stein, J. C.(1987)。Informational externalities and welfare-reducing speculation。Journal of Political Economy,95(6),1123-1145。  new window
14.Gallant, A. R.、Rossi, P. E.、Tauchen, G.(1992)。Stock Prices and Volume。The Review of Financial Studies,5(2),199-242。  new window
15.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
16.Rogalski, R. J.(1978)。The dependence of prices and volume。Review of Economics and Statistics,60(2),268-274。  new window
17.Beach, Charles M.、MacKinnon, James G.(1978)。A Maximum Likelihood Procedure for Regression with Autocorrelated Errors。Econometrica,46(1),51-58。  new window
18.單高年(1995)。開放國內股價指數期貨對現貨市場可能發生之影響及其因應之道。證券管理,13(3),33-52。  延伸查詢new window
19.Ajinkya, Bipin B.、Jain, Prem C.(1989)。The Behavior of Daily Stock Market Trading Volume。Journal of Accounting & Economics,11,331-359。  new window
20.Freris, A. F.(1990)。The Effects of the Introduction of Stock Index Futures on Stock Prices: The Experience of Hong Kong 1984-1987。Pacific Basin Markets Research,409-416。  new window
21.Kan, C. N.(1997)。The Effect of Index Futures Trading on Volatility of HIS Constituent Stocks: A Note。Pacific-Basin Finance Journal,5,105-114。  new window
22.Kumar, Raman、Sarin, Atulya、Shastri, Kuldeep(1995)。The Impact of Index Options on the Underlying Stocks: The Evidence from the Listing of Nikkei Stock Average Options。Pacific-Basin Finance Journal,3,303-317。  new window
學位論文
1.黃也白(1994)。股票指數期貨上市對股價波動性的影響,臺北。  延伸查詢new window
圖書
1.Neter, J.、Wasserman, W.、Kuther, M. H.(1989)。Applied Linear Statistical Models。Applied Linear Statistical Models。Boston, MA:Richard D. IRWIN, INC.。  new window
2.SAS Institute Inc.(1988)。SAS/ ETS User's Guide, Version 6。SAS/ ETS User's Guide, Version 6。Cary:SAS institute Inc.。  new window
3.林茂文(1992)。時間數列分析與預測。臺北:華泰書局。  延伸查詢new window
4.余政光(1989)。SAS/ETS套裝程式集中文手冊。SAS/ETS套裝程式集中文手冊。臺北市。  延伸查詢new window
 
 
 
 
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