| dc.contributor.advisor | 郭維裕 | zh_TW |
| dc.contributor.advisor | George Kuo | en_US |
| dc.contributor.author (Authors) | 鍾榮輝 | zh_TW |
| dc.creator (作者) | 鍾榮輝 | zh_TW |
| dc.date (日期) | 1999 | en_US |
| dc.date.accessioned | 18-Sep-2009 18:53:48 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 18:53:48 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 18:53:48 (UTC+8) | - |
| dc.identifier (Other Identifiers) | A2002002042 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/36576 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 國際經營與貿易研究所 | zh_TW |
| dc.description (描述) | 87351016 | zh_TW |
| dc.description (描述) | 88 | zh_TW |
| dc.description.abstract (摘要) | 由於近年來店頭市場的發展迅速，規模不斷擴大，資金大量流入，重要性大為增加，加上資訊科技的進步，使資金在各市場間甚至是國際間的流動非常迅速，因此本研究試圖在高頻(high-frequency)的資料型態下，將價量因果關係的概念應用在探討集中市場與店頭市場之間的關係。首先是利用一般的Granger檢定討探其線性因果關係，接著利用Baek and Brock(1992)的非線性檢定模型檢定其是否存在著非線性因果關係。 研究結果顯示，在高頻的資料型態下，台灣股票市場的集中市場與店頭市場其各別市場的價量之間存在有雙向的線性因果關係，而集中市場與店頭市場之間亦存在有雙向的線性因果關係。當然最重要的在非線性因果關係方面，集中市場與店頭市場其各別市場的價量之間，以及集中市場與店頭市場兩市場之間亦存在有雙向的非線性因果關係。 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#A2002002042 | en_US |
| dc.subject (關鍵詞) | 線性因果關係 | zh_TW |
| dc.subject (關鍵詞) | 非線性因果關係 | zh_TW |
| dc.subject (關鍵詞) | 高頻資料 | zh_TW |
| dc.subject (關鍵詞) | 跨市場 | zh_TW |
| dc.subject (關鍵詞) | linear causality | en_US |
| dc.subject (關鍵詞) | nonlinear causality | en_US |
| dc.subject (關鍵詞) | high-frequency | en_US |
| dc.subject (關鍵詞) | granger | en_US |
| dc.title (題名) | 集中市場與店頭市場的非線性價量關係－以台灣為例 | zh_TW |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | 中文部份 | zh_TW |
| dc.relation.reference (參考文獻) | 葉銀華，1990，台灣股票市場成交量與股價關係之實證研究一轉換函數模式，台北市銀行月刊，第二十二卷第十一期，57-70。 | zh_TW |
| dc.relation.reference (參考文獻) | 鄭淙仁，1991，台灣股市日內價量關係之探討，政治大學企業管理研究所碩士論文。 | zh_TW |
| dc.relation.reference (參考文獻) | 陳東明，1991，台灣股票場量關係之實證研究，台灣大學商學研究所碩士論文。 | zh_TW |
| dc.relation.reference (參考文獻) | 陳清和，1992，股票成交量與股票報酬率變異數關係之研究，國立臺灣大學商學研究所碩士論文。 | zh_TW |
| dc.relation.reference (參考文獻) | 陳立國，1993，台灣股市價量關係之研究，台灣大學財務金融究所碩士論文。 | zh_TW |
| dc.relation.reference (參考文獻) | 徐合成，1994，台灣股市股票報酬與交易量關係之實證研究：GACH模型之應用，台灣大學財務金融究所碩士論文。 | zh_TW |
| dc.relation.reference (參考文獻) | 楊踐為、許至榮，1997，台灣股票集中與店頭市場價量因果關係之探討，證券金融季刊第五十四期，19-32。 | zh_TW |
| dc.relation.reference (參考文獻) | 劉永欽，1996，台灣地區股票市場之線性及非線性Granger因果關係之研究，交通大學管理科學研究所碩士論文。 | zh_TW |
| dc.relation.reference (參考文獻) | 陳昆晞，1996，台灣股市價量關係之再研究，淡江大學金融研究所碩士論文。 | zh_TW |
| dc.relation.reference (參考文獻) | 林益靖，1996，股市交易之價量互動，中興大學統計學研究碩士論文。 | zh_TW |
| dc.relation.reference (參考文獻) | 英文部份 | zh_TW |
| dc.relation.reference (參考文獻) | Abhyankar, A, 1998, Linear and Nonlinear Granger Causality: Evidence From the U.K. Stock Index Futures Market, The Journal of Futures Markets, 519-540. | zh_TW |
| dc.relation.reference (參考文獻) | Akaike, 1974, H., A New Look at the Statistical Model Identification,IEEE Transaction on Automatic Control, AC-19, 716-723. | zh_TW |
| dc.relation.reference (參考文獻) | Baek, E. and W. Brock,1992, A General Test for Nonlinear Granger Causality: Bivariate Modle, Working Paper,Iowa State University and University of Wisconsin-Madison. | zh_TW |
| dc.relation.reference (參考文獻) | Campbell J.,S. Grossman, and J.Wang,1993, Trading volume and serialcorrelation in stock returns, Quarterly Journal of Economics 108,905-939. | zh_TW |
| dc.relation.reference (參考文獻) | Clark, P.K,1973, A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices, Econometrica Vol 41, 135-155. | zh_TW |
| dc.relation.reference (參考文獻) | Copeland, T. E.,1976, A Model of Assets Trading under the Assumption of Sequential Information Arrival, Journal of Finance, Vol 31,1149-1168. | zh_TW |
| dc.relation.reference (參考文獻) | Delong, J., A. Shieifer, L. Summers, and B. Waidmann, 1990, Positive Feedback Investment Strategies and Destabilizing Speculation, The Journal of Finance Vol 45, 379-395. | zh_TW |
| dc.relation.reference (參考文獻) | ────,1990 , Noise Trader Risk InFinancial Market, Journal of Political Economy, vol 98, 703-737. | zh_TW |
| dc.relation.reference (參考文獻) | Dickey, D.A. and W.A.Fuller, 1981, Likelihool Ratio Statistics for Auto-regressive Times Series with a Unit Root, conometrica 49, 1057-1072. | zh_TW |
| dc.relation.reference (參考文獻) | Epps, T. W. and M.L. Epps, 1976, The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for Mixture-of-Distributions Hypothesis, Econometrica, Vol 44, 305-321. | zh_TW |
| dc.relation.reference (參考文獻) | Granger, C.W.J., 1969, Investigating Causal Relations By Econometric Model And Cross-Spectral Methods, Econometrica 37, 424-438. | zh_TW |
| dc.relation.reference (參考文獻) | Gallant,R., P. Rossi ,and G. Tauchen, 1992, Stock Prices and Volume,Rivew of Financial Studies Vol 5, 199-242. | zh_TW |
| dc.relation.reference (參考文獻) | Godfrey, M. D., C. W. J. Granger, and 0. Morgenstern, 1964, the Random Walk Hypothesis of Stock Market Behavior, Kyklos, Vol 17, 1-30. | zh_TW |
| dc.relation.reference (參考文獻) | Goodhart C.A.E., O’Hara M., 1997, High Frequency Data in Financial Markets: Issues and Applications, Journal of Empirical Finance 4,73-114. | zh_TW |
| dc.relation.reference (參考文獻) | Harris, L.,E.Gurel, 1986, Price and Volume Effects Associated with Changes In the S&P 500 List : New Evidence for the Existance of Price Pressures,the Journal of Finance 41, 815-830. | zh_TW |
| dc.relation.reference (參考文獻) | Hiemstra, C. and J. D. Jones, 1994, Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation, Journal of Finance Vol 49, 1639-1664. | zh_TW |
| dc.relation.reference (參考文獻) | Jain, P. C. and G.H. Joh, 1988, The Dependence between Hourly Prices and Trading Volume, Journal of Financial and Quantitative Analysis Vol 23, 269-283. | zh_TW |
| dc.relation.reference (參考文獻) | Jennings, R. H., L.T. Starks, and J.C. Fellingham, 1981, An Equilibrium Model of Asset Trading with Sequential Information Arrival, Journal of Finance Vol 36, 143-161. | zh_TW |
| dc.relation.reference (參考文獻) | Karpoff, Jonathan K., 1987, The Relationship Between Prices Changes and Trading Volume: A Survey, Journal of Financial and Quantitative Analysis Vol 22, 109-126. | zh_TW |
| dc.relation.reference (參考文獻) | Lakonishok, J. and S. Smidt, 1989, Past Price Changes and Current Trading Volume, Journal of Portfolio Management 15, 18-24. | zh_TW |
| dc.relation.reference (參考文獻) | Lamoureus C.and W. Lastrapes,1990, Heteroskedasticity in Stock Return Data : Volume Versus GARCH Effects, Journal of Finance 45, 221-229. | zh_TW |
| dc.relation.reference (參考文獻) | LeBaron, B., 1992, Persistence of the Dow Jones Index on Rising Volume, Working Paper, University of Wisconsin-Madison. | zh_TW |
| dc.relation.reference (參考文獻) | Nelson, D. B., 1991, Conditional Heteroskedasticity in Asset Returns: A New Approach, Econometrica, Vol 59, 347-370. | zh_TW |
| dc.relation.reference (參考文獻) | 0sborne, M. F. M., 1959, Brownian Motion in the Stock Market, Operation Research, Vol 7,145-173. | zh_TW |
| dc.relation.reference (參考文獻) | Rogalski, R. J., 1978, The Dependence of Prices and Volume, The Review Economics and Statistics, Vol 36, 268-274. | zh_TW |
| dc.relation.reference (參考文獻) | Smirlock, M. and L.Starks,1988, An Empirical Analysis of the Stock Price-Volume Relationship, Journal of Banking and Finance, Vol.12,31-41. | zh_TW |
| dc.relation.reference (參考文獻) | Silvapulle P. and Jong-Seo Choi, 1999, Testing for Linear and Nonlinear Grnager Causality in the Stock Price-Volume Relation : Korean Evidence, the Quarterly Review of Economics and Finance vol 30, 59-76. | zh_TW |
| dc.relation.reference (參考文獻) | Stoll, H. and R. Whaley, 1990, Stock Market Structure and Volatility, The Review of Financial Studies, Vol 3, 37-71. | zh_TW |
| dc.relation.reference (參考文獻) | Ying,C.C., 1966, Stock Market Prices and Volumes of Sales, Econometrica Vol 34, 676-686. | zh_TW |
