Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/20787
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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摘要: 
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.

過去有許多文獻探討關於金融市場上之股價報酬率與交易量變動率之關係,而對於同時性關係存在與否,研究結果各不相同。本研究將探討台灣股票以及期貨市場之大盤、金融類、以及電子類股之股價報酬率與交易量變動率之正的同時性關係存在與否,以驗證資訊傳遞之方式是否符合MDH。本研究以GARCH以及GMM等方法檢驗上述六項指數股價報酬率與交易量變動率之同時性關係,研究結果顯示在GARCH模型之下,除了台股期貨之外,各項指數之股價報酬率與交易量變動率之間存在正的同時性關係;而在GMM模型估計下,六項指數之股價報酬率與交易量變動率之正的同時性關係皆顯著。因此本研究之結果提供台灣股票以及期貨市場之資訊傳遞符合MDH之支持。
URI: http://hdl.handle.net/11455/20787
其他識別: U0005-0107200910522300
Appears in Collections:企業管理學系所

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