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題名 台灣股市日內價量關係之探討
作者 鄭淙仁
ZHENG, CONG-REN
貢獻者 劉維琪
鄭淙仁
ZHENG, CONG-REN
日期 1992
1991
上傳時間 2-May-2016 15:13:15 (UTC+8)
參考文獻 一、中文部份：
1 .林炯垚，"財務管理：理論與實務"，民國79 年，台北：華泰書局。
2. 林煜宗，"現代投資學：制度、理論與實證"，民國77年，台北：三民書局。
3 .陳隆麒，"現代財務管理，第四版" ，民國77年，台北：華泰書局。
4. 張紘炬，"高等統計學"，民國76年，台北：華泰書局。
5. 張升寶，"股價震盪幅度的衡量與分析"，國立中山大學企業管理研究所未出版碩士論文，民國79年。
6. 顏月珠，"商用統計學"，民國74年，台北：三民書局。

二、英文部份
[ 1] A.R.Admati, and P.Pfleiderer, " Divide and Conquer: A Theory of Intraday Day-of-The-Week Mean Effects." Working Paper, Graduate School of Business, Stanford University, (April 1989).
[ 2J W.A. Brock,and A.W. Kleidon. n Exogenous Demand Shocks and Trading Volume: A Model of Intraday Bids and Asks." Working Paper, Uni. of Stanford(Feb. 1990)
[ 3] Carpenter,M.D., and D.E. Upton. "Trading Volume and Beta Stability." The Journal of Portfolio Management,7(Winter 1981),60-64.
[ 4J Clark,P.K. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Price." Econometrica, 41 (Jan. 1973), 135-155
[ 5J Comiskey,E.E. jR.A. Walkling;and M.A.Weeks."Dispersion of Expectations and Trading Volume." Working Paper, GA Inst. of Tech.(Oct. 1984)
[ 6] Copeland,T.E. "A Model of Asset Trading under the Assumption of Sequential Information Arrival." Journal of Finance, 31(Sept.1976),1149-1168
[ 7] Copeland,T.E." A Probability Model of Asset Trading." Journal of Financial and Quantitative Analysis, 12 (Nov. 1977 ),573-578
[ 8] Cornell ,B."The Relationship between Volume and Price Variability in Futures Markets." The Journal of Futures Markets, 1 (Fall 1981), 303-316.
[ 9] Crouch,R.L." A Nonlinear test of the Random-Walk Hypothesis." American Economic Review,60(March 1970),199-202
[10] Crouch,R.L."The Volume of Transactions and Price Changes on the New York stock Exchange."Financial Analysts Journal,26(July-Aug. 1970),104-109
[11] Epps,T.W. "Security Price Changes and Transaction Volume: Theory and Evidence." American Economic Review,65 (Sept. 1975),586-597
[12] Epps,T.W." The Demand of Brokers` services: The Relation between Security Trading and Transaction Cost." Bell Journal of Economics, 7 (Spring 1976),163-194
[13] Epps,T.W."Security Price Changes and Transaction Volumes: Some Additional Evidence." Journal of Financial and Quantati Analysis, 12(March 1977), 141-146.
[14] Epps,T.W."Security Price Changes and Transaction Volumes: Reply." American Economics Review, 68 (Sept. 1978),698-700.
[15J Epps,T.W. ,and M.L. Epps. "The Stochastic Dependence of Security Price Changes and Transaction Volume: Implications for the Mixture-of-Distributions Hypothesis." Econometrica,44(March 1976),305-321.
[16J A.R.Gallant, P.E.Rossi ,and G. Tauchen, "Stock Prices and Volume." Working Paper, Graduate School of Business, The University of Chicago, (Jan. 1990).
[17J Geweke,J. ;R.Meese;and W.Oent." Comparing Alternative Tests of Causality in Temporal Systems." Journal of Econometrics,21(Feb. 1983),161-194.
[18] Godfrey,M.D.; C.W.J.Granger; and a. Morgenstern. " The Random Walk Hypothesis of Stock Market Behavior." Kyklos 17 (Fasc. 1,1964),1-30.
[19] Grammatikos,T., and A. Saunders. " Futures Price Variability: A Test of Maturity and Volume Effects." Journal of Business, 59(April 11986), 319-330.
[20] Granger,C.W.J., and O. Morgenstern. "Spectral Analysis of New York Stock Market Prices." Kyklos,16(fasc.1 1963), 1-27.
[21] Hanna, M. "Security Price Changes and Transaction Volumes: Additional Evidence." American Economic Review, 68(Sept.1978), 692-695.
[22] Harris,L. "Cross-Security Tests of the Mixture ,of Distribution Hypothesis." Journal of Financial and Quantitative Analysis,21(March 1986),39-46.
[23] Harris,L.,and E.Gurel." Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures."Journal of Finance 41(Sept. 1986), 815-829.
[24] Harris,L.,"A Transaction Data Study of Weekly and Intradaily Patterns in. Stock Returns~" Journal of Financial Economics,16(1986),99-117.
[25] Harris,L.," A Day-end Transaction Price Anomaly."Journal of Financial and Quantitative Analysis,24(1989),29-45.
[26] Haugh,L. " Checking the Independence of Two Covariance Stationary Time Series:A Univariate Residual Cross-Correlation Approach." Journal of the American Statistical Association,71(June 1976),378-385.
[27] Jain,P.C., and G.Joh." The Dependence between Hourly Prices and Trading Volume." Journal of Financial and Quantitative Analysis,23(Sept. 1988),269-283
[28] James,C., and R.O.Edmister."The Relation between Common Stock Returns Trading Activity and Market Value." Journal of Finance, 38(Sept. 1983), 1075-1086.
[29] Jennings,R.H., and C. Barry. "Information Dissemination and Portfolio Choice." Journal of Financial and Quantitative Analysis, 18(March 1983), 1-19.
[30] Karpoff,J.M. "Costly Short Sales and the Correlation of Returns with Volume." Working Paper, Univ.of WA(Oct.1985) .
[31] Karpoff, J. M."A Theory of Trading Volume." Journal of Finance, 41(Dec. 1986),1069-1088
[32] Karpoff,J.M.,and R.A.Walkling."Short-Term Trading Around Ex-Dividend Days." Journal of Financial Economics,21(Sept. 1988),291-298.
[33] Lakonishok,J., and T. Vermaelen." Tax-Induced Trading around Ex-Dividend Days." Journal of Financial Economics 16(July 1986), 287-319.
[34] Lakonishok,J. ,and S.Smidt." Past Price Changes and Current Trading Volume." The Journal of Portfolio Management, (Summer 1989),18-24.
[35] Lehvari,D.,and H.Levy. " The Capital Asset Pricing Model and the Investment Horizon." Review of Economics and Statistics, 59(Feb. 1977),92-104.
[36] McInish,T.H. and R.A.Wood, " A Transactions Data Analysis of the Variability of Common Stock Returns during 1980-1984." Journal of Banking and Finance,14 (1990) 99-112.
[37J Morgan,I.G." Stock Prices and Heteroskedasticity." Journal of Business, 49(Oct. 1976),496-508.
[38J Morse,D."Asymmetrical Information in Securities Markets and Trading Volume." Journal of Financial and Quantitative Analysis, 15(Dec.1980),1129-1148.
[39J Morse,D." Price and Trading Volume Reaction Surrounding Earnings Announcements: A Closer Examination. "Journal of Accounting Research, 19(Autumn 1981),374-383.
[40J Osborne,M.F.M. " Brownian Motion in the Stock Market." Operations Research,7(March-April 1959),145-173.
[41] Patell ,J.,and M.Wolfson."The Timing of Financial Accounting Disclosures and the Intraday Distribution of Security Price Changes." Journal of Financial Economics, 13(June 1984),223-252.
[42J D.R.Peterson," A Transaction Data Study of Day-of-The Week and Intraday Paterns in Option Returns." Journal of Financial Research,2(Summer 1990),117-131.
[43] Richardson,G. ;S.E.Sefcik; and R. Thompson. " A Test of Dividend Irrelevance Using Volume Reaction to a Change in Dividend Policy." Journal of Financia1 Economics, 17 (Dec. 1986), 313-333.
[44J Rogalski,R.J." The Dependence of Prices and Volume." The Review of Economics and Statistics,36(May 1978), 268-274
[45] Rogalski,R.J. " New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods: A Note." Journal of Finance,39(Dec.1984),1603-1614.
[46] Smirlock,M., and L. Starks. " A Further Examination of Stock Price Changes and Transactions Volume." Journal of Financial Research,8(Fall 1985), 217-225.
[47] Smirlock,M. and L.Starks,"Day-of-the-Week and Intraday Effects in Stock Returns." Journal of Financial Economics,17(1986),197-210.
[48] J.A.Stephan, and R.E.Whaley, "Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets." Journal of Finance 45(March 1990),191-219.
[49] S.E.Stickel," The Ex-Dividend Behavior of Nonconvertible Preferred Stock Returns and Trading Volume." Journal of Financial and Quantitative Analysis,26(March 1991),45-61.
[50] Stoll ,H.R., and R.E.Whaley." Transaction Costs and the Small Firm Effect." Journal of Financial Economics,12 (June 1983),57-79.
[51J Tauchen,G., and M.Pitt. "The Price Variability-Volume Relationship on Speculative Markets." Econometrica, 51 (March 1983),485-505.
[52] Upton, D.E., and D.S.Shannon."The Stable Paretian Distribution, Subordinated Stochastic Processes, and Asymptotic Lognormality: An Empirical Investigation." Journal of Finance 34(Sept. 1979), 1031-1039.
[53J Walkling,R.A. and R.O.Edmister." Are There Commission Cost Side-Effect form Portfolio Management Decisions ? " Financial Analysts Journal,39(July-Aug. 1983),52-59.
[54] Westerfield,R. " The distributions of Common Stock Price Changes: An Application of Transactions Time and Subordinated Stochastic Models." Journal of Financial and Quantitative Analysis,12(Dec. 1977), 743-765.
[55] Wood,R.A. ;T.H. McInich; and J.K.Ord. R An Investigation of Transactions Data of NYSE Stocks." Journal of Finance, 60(July 1985),723-739.
[56] Ying,C.C." Stock Market Prices and Volumes of Sales." Econometrica, 34(July 1966), 676-686.
描述 碩士
國立政治大學
企業管理學系
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002004474
資料類型 thesis
dc.contributor.advisor 劉維琪zh_TW
dc.contributor.author (Authors) 鄭淙仁zh_TW
dc.contributor.author (Authors) ZHENG, CONG-RENen_US
dc.creator (作者) 鄭淙仁zh_TW
dc.creator (作者) ZHENG, CONG-RENen_US
dc.date (日期) 1992en_US
dc.date (日期) 1991en_US
dc.date.accessioned 2-May-2016 15:13:15 (UTC+8)-
dc.date.available 2-May-2016 15:13:15 (UTC+8)-
dc.date.issued (上傳時間) 2-May-2016 15:13:15 (UTC+8)-
dc.identifier (Other Identifiers) B2002004474en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/89133-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 企業管理學系zh_TW
dc.description.tableofcontents 第一章 緒論....................1
1.1 前言.................... 1
1.2 研究動機.................... 2
1.3 研究目的.................... 4
1.4 研究範圍及研究限制.................... 5
1.5 研究架構及內容概述.................... 7
本章附註.................... 9
第二章文獻探討.................... 10
2.1 前言....................10
2.2 同時性相關.................... 13
2.3 同時性相關之實證方法.................... 31
2.4 因果相關.................... 32
2.5 日內價量關係.................... 42
本章附註....................51
第三章 研究方法....................53
3.1 前言.................... 53
3.2 樣本的選擇及資料的蒐集.................... 55
3.3 操作型定義....................62
3.4 關鍵因素的定義與衡量.................... 64
3.5 自相關過濾程序....................65
3.6 統計方法....................69
3.7 價量關係原因之探討.................... 75
本章附註.................... 76
第四章 實證結果分析.................... 77
4.1 資料整理的結果.................... 77
4.2 日內交易型態檢定之結果.................... 79
4.3 同時性價量關係檢定結果.................... 83
4.4 因果性價量關係檢定結果.................... 92
第五章 結論與建議....................99
5.1 結論.................... 99
5.2 建議.................... 102
參考文獻....................102		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004474en_US
dc.title (題名) 台灣股市日內價量關係之探討zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一、中文部份：
1 .林炯垚，"財務管理：理論與實務"，民國79 年，台北：華泰書局。
2. 林煜宗，"現代投資學：制度、理論與實證"，民國77年，台北：三民書局。
3 .陳隆麒，"現代財務管理，第四版" ，民國77年，台北：華泰書局。
4. 張紘炬，"高等統計學"，民國76年，台北：華泰書局。
5. 張升寶，"股價震盪幅度的衡量與分析"，國立中山大學企業管理研究所未出版碩士論文，民國79年。
6. 顏月珠，"商用統計學"，民國74年，台北：三民書局。

二、英文部份
[ 1] A.R.Admati, and P.Pfleiderer, " Divide and Conquer: A Theory of Intraday Day-of-The-Week Mean Effects." Working Paper, Graduate School of Business, Stanford University, (April 1989).
[ 2J W.A. Brock,and A.W. Kleidon. n Exogenous Demand Shocks and Trading Volume: A Model of Intraday Bids and Asks." Working Paper, Uni. of Stanford(Feb. 1990)
[ 3] Carpenter,M.D., and D.E. Upton. "Trading Volume and Beta Stability." The Journal of Portfolio Management,7(Winter 1981),60-64.
[ 4J Clark,P.K. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Price." Econometrica, 41 (Jan. 1973), 135-155
[ 5J Comiskey,E.E. jR.A. Walkling;and M.A.Weeks."Dispersion of Expectations and Trading Volume." Working Paper, GA Inst. of Tech.(Oct. 1984)
[ 6] Copeland,T.E. "A Model of Asset Trading under the Assumption of Sequential Information Arrival." Journal of Finance, 31(Sept.1976),1149-1168
[ 7] Copeland,T.E." A Probability Model of Asset Trading." Journal of Financial and Quantitative Analysis, 12 (Nov. 1977 ),573-578
[ 8] Cornell ,B."The Relationship between Volume and Price Variability in Futures Markets." The Journal of Futures Markets, 1 (Fall 1981), 303-316.
[ 9] Crouch,R.L." A Nonlinear test of the Random-Walk Hypothesis." American Economic Review,60(March 1970),199-202
[10] Crouch,R.L."The Volume of Transactions and Price Changes on the New York stock Exchange."Financial Analysts Journal,26(July-Aug. 1970),104-109
[11] Epps,T.W. "Security Price Changes and Transaction Volume: Theory and Evidence." American Economic Review,65 (Sept. 1975),586-597
[12] Epps,T.W." The Demand of Brokers` services: The Relation between Security Trading and Transaction Cost." Bell Journal of Economics, 7 (Spring 1976),163-194
[13] Epps,T.W."Security Price Changes and Transaction Volumes: Some Additional Evidence." Journal of Financial and Quantati Analysis, 12(March 1977), 141-146.
[14] Epps,T.W."Security Price Changes and Transaction Volumes: Reply." American Economics Review, 68 (Sept. 1978),698-700.
[15J Epps,T.W. ,and M.L. Epps. "The Stochastic Dependence of Security Price Changes and Transaction Volume: Implications for the Mixture-of-Distributions Hypothesis." Econometrica,44(March 1976),305-321.
[16J A.R.Gallant, P.E.Rossi ,and G. Tauchen, "Stock Prices and Volume." Working Paper, Graduate School of Business, The University of Chicago, (Jan. 1990).
[17J Geweke,J. ;R.Meese;and W.Oent." Comparing Alternative Tests of Causality in Temporal Systems." Journal of Econometrics,21(Feb. 1983),161-194.
[18] Godfrey,M.D.; C.W.J.Granger; and a. Morgenstern. " The Random Walk Hypothesis of Stock Market Behavior." Kyklos 17 (Fasc. 1,1964),1-30.
[19] Grammatikos,T., and A. Saunders. " Futures Price Variability: A Test of Maturity and Volume Effects." Journal of Business, 59(April 11986), 319-330.
[20] Granger,C.W.J., and O. Morgenstern. "Spectral Analysis of New York Stock Market Prices." Kyklos,16(fasc.1 1963), 1-27.
[21] Hanna, M. "Security Price Changes and Transaction Volumes: Additional Evidence." American Economic Review, 68(Sept.1978), 692-695.
[22] Harris,L. "Cross-Security Tests of the Mixture ,of Distribution Hypothesis." Journal of Financial and Quantitative Analysis,21(March 1986),39-46.
[23] Harris,L.,and E.Gurel." Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures."Journal of Finance 41(Sept. 1986), 815-829.
[24] Harris,L.,"A Transaction Data Study of Weekly and Intradaily Patterns in. Stock Returns~" Journal of Financial Economics,16(1986),99-117.
[25] Harris,L.," A Day-end Transaction Price Anomaly."Journal of Financial and Quantitative Analysis,24(1989),29-45.
[26] Haugh,L. " Checking the Independence of Two Covariance Stationary Time Series:A Univariate Residual Cross-Correlation Approach." Journal of the American Statistical Association,71(June 1976),378-385.
[27] Jain,P.C., and G.Joh." The Dependence between Hourly Prices and Trading Volume." Journal of Financial and Quantitative Analysis,23(Sept. 1988),269-283
[28] James,C., and R.O.Edmister."The Relation between Common Stock Returns Trading Activity and Market Value." Journal of Finance, 38(Sept. 1983), 1075-1086.
[29] Jennings,R.H., and C. Barry. "Information Dissemination and Portfolio Choice." Journal of Financial and Quantitative Analysis, 18(March 1983), 1-19.
[30] Karpoff,J.M. "Costly Short Sales and the Correlation of Returns with Volume." Working Paper, Univ.of WA(Oct.1985) .
[31] Karpoff, J. M."A Theory of Trading Volume." Journal of Finance, 41(Dec. 1986),1069-1088
[32] Karpoff,J.M.,and R.A.Walkling."Short-Term Trading Around Ex-Dividend Days." Journal of Financial Economics,21(Sept. 1988),291-298.
[33] Lakonishok,J., and T. Vermaelen." Tax-Induced Trading around Ex-Dividend Days." Journal of Financial Economics 16(July 1986), 287-319.
[34] Lakonishok,J. ,and S.Smidt." Past Price Changes and Current Trading Volume." The Journal of Portfolio Management, (Summer 1989),18-24.
[35] Lehvari,D.,and H.Levy. " The Capital Asset Pricing Model and the Investment Horizon." Review of Economics and Statistics, 59(Feb. 1977),92-104.
[36] McInish,T.H. and R.A.Wood, " A Transactions Data Analysis of the Variability of Common Stock Returns during 1980-1984." Journal of Banking and Finance,14 (1990) 99-112.
[37J Morgan,I.G." Stock Prices and Heteroskedasticity." Journal of Business, 49(Oct. 1976),496-508.
[38J Morse,D."Asymmetrical Information in Securities Markets and Trading Volume." Journal of Financial and Quantitative Analysis, 15(Dec.1980),1129-1148.
[39J Morse,D." Price and Trading Volume Reaction Surrounding Earnings Announcements: A Closer Examination. "Journal of Accounting Research, 19(Autumn 1981),374-383.
[40J Osborne,M.F.M. " Brownian Motion in the Stock Market." Operations Research,7(March-April 1959),145-173.
[41] Patell ,J.,and M.Wolfson."The Timing of Financial Accounting Disclosures and the Intraday Distribution of Security Price Changes." Journal of Financial Economics, 13(June 1984),223-252.
[42J D.R.Peterson," A Transaction Data Study of Day-of-The Week and Intraday Paterns in Option Returns." Journal of Financial Research,2(Summer 1990),117-131.
[43] Richardson,G. ;S.E.Sefcik; and R. Thompson. " A Test of Dividend Irrelevance Using Volume Reaction to a Change in Dividend Policy." Journal of Financia1 Economics, 17 (Dec. 1986), 313-333.
[44J Rogalski,R.J." The Dependence of Prices and Volume." The Review of Economics and Statistics,36(May 1978), 268-274
[45] Rogalski,R.J. " New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods: A Note." Journal of Finance,39(Dec.1984),1603-1614.
[46] Smirlock,M., and L. Starks. " A Further Examination of Stock Price Changes and Transactions Volume." Journal of Financial Research,8(Fall 1985), 217-225.
[47] Smirlock,M. and L.Starks,"Day-of-the-Week and Intraday Effects in Stock Returns." Journal of Financial Economics,17(1986),197-210.
[48] J.A.Stephan, and R.E.Whaley, "Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets." Journal of Finance 45(March 1990),191-219.
[49] S.E.Stickel," The Ex-Dividend Behavior of Nonconvertible Preferred Stock Returns and Trading Volume." Journal of Financial and Quantitative Analysis,26(March 1991),45-61.
[50] Stoll ,H.R., and R.E.Whaley." Transaction Costs and the Small Firm Effect." Journal of Financial Economics,12 (June 1983),57-79.
[51J Tauchen,G., and M.Pitt. "The Price Variability-Volume Relationship on Speculative Markets." Econometrica, 51 (March 1983),485-505.
[52] Upton, D.E., and D.S.Shannon."The Stable Paretian Distribution, Subordinated Stochastic Processes, and Asymptotic Lognormality: An Empirical Investigation." Journal of Finance 34(Sept. 1979), 1031-1039.
[53J Walkling,R.A. and R.O.Edmister." Are There Commission Cost Side-Effect form Portfolio Management Decisions ? " Financial Analysts Journal,39(July-Aug. 1983),52-59.
[54] Westerfield,R. " The distributions of Common Stock Price Changes: An Application of Transactions Time and Subordinated Stochastic Models." Journal of Financial and Quantitative Analysis,12(Dec. 1977), 743-765.
[55] Wood,R.A. ;T.H. McInich; and J.K.Ord. R An Investigation of Transactions Data of NYSE Stocks." Journal of Finance, 60(July 1985),723-739.
[56] Ying,C.C." Stock Market Prices and Volumes of Sales." Econometrica, 34(July 1966), 676-686.		zh_TW