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標題: 台灣股票與期貨市場的股價報酬率與交易量變動率關係之研究
The Study of The Relationship Between The Return Rates and The Volume Change Rates in Taiwan Stock and Future Markets
作者: 陳立恭
Chen, Li-Gong
關鍵字: the return rates;股價報酬率;the volume change rates;GARCH model;GMM model;MDH;交易量變動率;GARCH模型;GMM模型;MDH
出版社: 企業管理學系所
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The contemporaneous relationship between the return rates and the volume change rates in financial markets has been explored in many literatures, but the results are different. This study empirically tests if the trading volume exist of Stock Index, Finance Sector, and Electronics Sector in Taiwan stock and future markets are the proxies of information dissemination as the Mixture of Distributions Hypothesis. This study uses GARCH and GMM to examine the contemporaneous relationship between the return rates and the volume change rates of these six indices. The result shows that under the GARCH model, except TAIFEX, the positive contemporaneous relationships exist in the other indices. Further, under the GMM model, the positive contemporaneous relationships are significant in these six indices. Therefore, this study provides the support of information dissemination of Taiwan stock and future markets conform to the MDH.

其他識別: U0005-0107200910522300
Appears in Collections:企業管理學系所

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