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題名：東亞各國家地區股市價量關係之研究
作者：吳清豐
作者(外文)：Ching-feng Wu
校院名稱：雲林科技大學
系所名稱：管理研究所博士班
指導教授：吳欽杉
胥愛琦
學位類別：博士
出版日期：2006
主題關鍵詞：雙變量GARCH模型；DCC模式；股市價量關係；Stock price-volume relationship；DCC mode；Bivariate GARCH model
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有關股市價量關係之相關研究受到學者極大的重視，同時也有許多研究應用GARCH模型進行實證分析，其實證結果雖支持股價水準與成交量多寡間存在某種因果關係，然而此類研究均假設兩數列間的共變異關係為靜態，亦即兩數列的殘差項具有固定條件相關（CCC模式）；本研究則以動態條件相關假設下（DCC模式）的雙變量GARCH 模型分析法，來探討東亞各國家地區（日本、南韓、中國大陸、台灣、新加坡、香港、泰國、菲律賓、馬來西亞、印尼）股市的每日股價指數與成交量間的互動關係。
本研究經由相關文獻討論以了解價量關係的理論背景，並歸納目前相關的實證結果，此外並以各股市的價格與數量資料進行實證分析。在經由1994~2003約十年間的日資料之實證分析後，本研究得到各國股市價量間具顯著關係的結論，而且價對量的影響較量對價的影響為高；唯數列間的共變異關係為非固定型態，亦即兩數列殘差項間的條件相關係數將隨時間而高度變化，並非如傳統GARCH模型假設的條件相關係數為固定。並且發現雖然各股市的價量波動各有其特性，但整體而言，經濟發展程度較高的股市，其價量關係的持續性相對低於經濟發展程度較低的股市。
另外，由於許多研究認為東亞金融風暴對金融市場造成結構性的影響，本研究也針對風暴前後的股市價量共變異關係進行比較分析，結果也發現動態條件相關假設下的實證結果是較為合理的，同時預期研究結果將可提供其他實證分析參考，此外，也可以提供主管機關與投資人作為決策參考依據。
It has been laid much emphasis on price-volume relationship of stock markets, and there are many empirical studies using GARCH models. Although most empirical results supported that there are some causal relationships between stock price and trading volume, they assumed constant correlation between price and volume series. It’s been called CCC mode. We apply a bivariate dynamic conditional correlation GARCH model (DCC model) to investigate the price-volume relationship of ten East-Asia stock markets, which includes Japan, South Korea, China, Taiwan, Singapore, Hong Kong, Thailand, Philippine, Malaysia and Indonesian.
We survey some theoretical and empirical studies to study the price-volume relationship, and then use daily stock index and trading volume of ten markets to do our empirical study. According the empirical results of daily data from 1994 to 2003, the price-volume relationship is significant for ten markets. The influence of price to volume is stronger than the influence of volume to price. The conditional correlation seems not be constant, it’s highly dynamic. The properties of price and volume volatility for each market are different, but the higher economic development markets have the low persistency on price-volume relationship.
Most researches indicated that the East-Asia flu induced structure change on financial markets. We also investigate the price-volume relationships for Pre and Post flu. The results show that the dynamic conditional correlation setting is more reasonable. Our empirical results can be a reference for other empirical study as well as the government policy or investment decision.
一、中文部份
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5.江明憲與陳英生，2001，「台灣股市日內股票報酬波動之研究」，證券市場發展季刊，13(1)，99-132。
6.林丙輝與葉仕國，1999，「台灣股票價格非連續跳躍變動與條件異質變異之研究」，證券市場發展季刊，11(1)，61-92。
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9.莊忠柱，2000，「股價指數期貨與現貨的波動性外溢－－台灣的實證」，證券市場發展季刊，12(3)，111-139。
10.黃玉娟與徐守德，1999，「報酬與波動性動態關連之研究－－摩根台股指數與指數期貨之探討」，國科會研究彙刊，9(1)，。
11.郭維裕與董慧萍，2002，「台灣地區股市『價』、『量』間非線性關係之探討－－變動切換馬可夫轉換機率模型下的實證結果」，中山管理評論，461-495。
12.葉銀華，1991，台灣股票市場成交量與股價關係之實證研究－－轉換函數模式，台北市銀月刊，22(11)，57-70。
13.楊踐為與許至榮，1997，「台灣股票集中與店頭市場價量因果關係之探討」，證券金融季刊，54，19-32。
14.劉映興與陳家彬，2002，「台灣股票市場交易值、交易量與發行量加權股價指數關係之實證研究－－光譜分析之應用」，農業經濟半年刊，72，65-87。
15.蘇永成與蔡介施，1996，「亞洲新興市場間波動性及報酬之波及效果」，證券市場發展季刊，8(1)，67-88。
16.聶建中與姚蕙芸，2001，「空頭走勢期間台灣股票市場成交量與股價之關聯性研究」，2001會計理論與實務研討會論文集。

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