A Study on the Causality Relationship between Price and Volume in Taiwan's Stock Market_

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題名：	A Study on the Causality Relationship between Price and Volume in Taiwan's Stock Market
書刊名：	企業管理學報
作者：	楊踐為
作者(外文)：	Yang, Jack Jien-wei
出版日期：	1999
卷期：	45
頁次：	頁49-71
主題關鍵詞：	Causality；Cointegration；Akaike FPE；因果關係；共整合模式；最終預測誤差
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:0 點閱:16

　　　　　價量關係似乎存在於臺灣股市；經由單根檢定，將資料做一次差分後，再透過共整合模式，所得之結果如下：在集中市場方面，Granger ECM (Error Correction Model)模式指出股價加權指數與成交量間存在著雙向因果關係，此一結論係透過長期穩定調整（誤差修正項）得到的；但是若以Akaike FPE (Final Prediction Error，最終可預測誤差準則）來判定時，則價量間不具因果關係。在店頭市場方面，Granger ECM模式與Akaike FPE都證實價量間存在著雙向因果關係。另外，本研究亦探討兩個市場間的價量關係，發現兩個市場的成交量不具有因果關係。此外，Granger模式指出兩個市場的股價指數存在雙向因果關係，而Akaike FPE模式卻指出集中市場的股價指數會影響店頭市場股價指數，亦即二者間存在著單向之因果關係。

以文找文

　　　　　A leading/lagging relationship appears to exist between the organized exchange and the OTC in Taiwan's stock market Via the unit root test and the first differencing of data, empirical results of the Granger ECM (Error Correction Model) cointegration indicate a bi-directional causality between market index return and trading volume in the organized exchange. The outcome obtained by utilizing Akaike FPE (Final Prediction Error), however, is contradictory. As for the OTC market, the findings from both the error correction cointegration model and Akaike FPE identify a bi-directional causality between return and volume. In addition, this paper also investigates the return/volume causality between the organized exchange and the OTC and inds no causality relationship for trading volume in these two markets. In terms of return, the error correction method states a bi-directional causality between the two markets, while Akaike FPE points to a uni-directional causality in them.

以文找文

期刊論文
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研究報告
1.	Comiskey, E. E.、Walkling, R. A.、Weeks, M. A.(1984)。Dispersion of Expectations and Trading Volum。GA Inst. of Tech。
2.	Harris, L.(1983)。The Joint Distribution of Speculative Prices and Daily Trading Volume。Univ. of Southern CA。
3.	Harris, L.(1984)。Transactions Data Tests of the Mixture of Distributions Hypothesis。Univ. of Southern CA.。

學位論文
1.	Chen, Tung-Min(1991)。The Price/Volume Relationship--An Empirical Study on Taiwan Stock Market(碩士論文)。National Taiwan University。
2.	Hsu, Ho-Chen(1993)。The Empirical Study on Price/Volume Relationship in Taiwan--An Application of GARCH Model(碩士論文)。National Taiwan University。
3.	Liu, Yung-Chin(1996)。The Empirical Study on Price/Volume Relationship in Taiwan--An Application of Granger Model(碩士論文)。National Chao Tung University。

圖書論文
1.	Rutledge, D. J. S.(1984)。Trading Volume and Price Variability: New Evidence on the Price Effects of Speculation。Selected Writings on Futures Markets: Research Directions in Commodity Markets, 1970-1980。Chicago：Chicago Board of Trade。

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