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題名 台灣期貨市場價量之因果關係
Causality between returns and traded volumes in Taiwan futures market
作者 官欣
Kuan, Hsin
貢獻者 郭維裕
Kuo, Wei yu
官欣
Kuan, Hsin
關鍵詞 價量因果關係
日內交易資料
馬可夫鍊
Granger因果關係測試
causality
high frequency intraday data
Markov Chain
Granger causality test
日期 2007
上傳時間 18-Sep-2009 14:14:36 (UTC+8)
摘要 This paper follows Ghysels, Gourieroux, and Jasiak (1998), examines the causal relation between price and volume in Taiwan Futures Market. I use high frequency intraday data of Taiwan Stock Exchange Capitalization Weighted Stock Index in Taiwan Futures Exchange; and analyze the causality between returns and volume series, which are transformed into Markov chain, with Granger’s causal tests. I analyze the data with two different time category, trading time and calendar time. In our research we find out that Taiwan futures market has a bi-directional causality between price and volume in trading time analysis, as to the calendar time analysis, only price to volume unidirectional causality exists. Unlike the unidirectional causal relation that Ghysels, Gourieroux, and Jasiak (1998) observed in French security market.
參考文獻 [1] Addmati, A. and Pfleiderer, P. (1988): “A Theory of Intraday Patterns: Volume and Price Variability”, Review of Financial Studies, 1, 3-40
[2] Bouissou, M., Laffont J.J. and Q. Vuong (1986): “Test of Non Causality under Markov Assumptions for Qualitative Panel Data”, Econometrica, 54, 395-414
[3] Campbell, J., Grossman, S. and J. Wang (1993): “Trading Volume and Serial Correlation in Stock Returns”, Quarterly Journal of Economics, 108, 905-939
[4] Engle, R. and Russel, J. (1998): “Autoregressive Conditional Multinomial: A New Model for Irregularly Spaced Discrete-Valued Time Series Data with Applications to High Frequency Financial Data”, Discussion Paper, UCSD
[5] Gallant, R., Rossi, P. and Tauchen, G. (1992): “Stock Prices and Volume”, Review of Financial Studies, 5, 199-242.
[6] Ghysels, E., Gourieroux, C. and Jasiak, J. (1998): Causality between Returns and Traded Volumes
[7] Gourieroux, C., Jasiak, J. and G. Lefol (1999): “Intra-day Market Activity”, Journal of Financial Markets, 2, 193-226
[8] Granger, C. (1969): “Investigating Causal Relations by Econometric Models and Cross-spectral Methods”, Econometrica, 37, 424-438
[9] Gunduz, L. and Hatemi-J, A. (2005): “Stock Price and Colume Relation in Emerging Markets”, Journal of Emerging Markets Finance and Trade, 41, 29-44
[10] Jones,C., Kaul, G. and Lipson, M. (1994): “Transactions, Volume and Volatility”, Review of Financial Studies, 7, 631-651
[11] Kamath, R. (2007): “Investigating Causal Relations between Price Changes and Trading Volume Changes, in the Turkish Market”, American Society of Business and Behavioral Sciences, 3,
[12] Kamath, R. and Wang, Y. (2006): “The Causality between Stock Index Returns and Volumes in the Asian Equity Markets”, Journal of International Business Research, 5, 63-74
[13] Karpoff, J. (1987): “The Relation between Price Change and Trading Volume: A Survey”, Journal of Financial and Quantitative Analysis, 22, 109-126.
[14] Lamoureux, C. and Lastrapes, W. (1991): “Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects”, Journal of Finance, 45, 221-229
[15] Tauchen, G. and Pitts, M. (1983): “The Price Variability – Volume Relationship on Speculative Markets”, Econometrica, 51, 485-505.
描述 碩士
國立政治大學
國際經營與貿易研究所
95351029
96
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0095351029
資料類型 thesis
dc.contributor.advisor 郭維裕zh_TW
dc.contributor.advisor Kuo, Wei yuen_US
dc.contributor.author (Authors) 官欣zh_TW
dc.contributor.author (Authors) Kuan, Hsinen_US
dc.creator (作者) 官欣zh_TW
dc.creator (作者) Kuan, Hsinen_US
dc.date (日期) 2007en_US
dc.date.accessioned 18-Sep-2009 14:14:36 (UTC+8)-
dc.date.available 18-Sep-2009 14:14:36 (UTC+8)-
dc.date.issued (上傳時間) 18-Sep-2009 14:14:36 (UTC+8)-
dc.identifier (Other Identifiers) G0095351029en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/35134-
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) 95351029zh_TW
dc.description (描述) 96zh_TW
dc.description.abstract (摘要) This paper follows Ghysels, Gourieroux, and Jasiak (1998), examines the causal relation between price and volume in Taiwan Futures Market. I use high frequency intraday data of Taiwan Stock Exchange Capitalization Weighted Stock Index in Taiwan Futures Exchange; and analyze the causality between returns and volume series, which are transformed into Markov chain, with Granger’s causal tests. I analyze the data with two different time category, trading time and calendar time. In our research we find out that Taiwan futures market has a bi-directional causality between price and volume in trading time analysis, as to the calendar time analysis, only price to volume unidirectional causality exists. Unlike the unidirectional causal relation that Ghysels, Gourieroux, and Jasiak (1998) observed in French security market.en_US
dc.description.tableofcontents 1. Introduction 4
2. Methodology 8
3. Data 12
4. Empirical Results 14
4.1 Analysis in Trading Time 14
4.1.1 Univariate analysis for fixed price and volume thresholds 14
4.1.2 Correlation analysis and state selection for return series 15
4.1.3 Causality analysis and state selection for volume series 16
4.2 Analysis in Calendar Time 18
4.2.1 Univariate analysis for fixed price and volume thresholds 18
4.2.2 Correlation analysis and state selection for return series 19
4.2.3 Causality analysis and state selection for volume series 20
5. Conclusion 22
Reference 23
Appendix 25		zh_TW
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dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0095351029en_US
dc.subject (關鍵詞) 價量因果關係zh_TW
dc.subject (關鍵詞) 日內交易資料zh_TW
dc.subject (關鍵詞) 馬可夫鍊zh_TW
dc.subject (關鍵詞) Granger因果關係測試zh_TW
dc.subject (關鍵詞) causalityen_US
dc.subject (關鍵詞) high frequency intraday dataen_US
dc.subject (關鍵詞) Markov Chainen_US
dc.subject (關鍵詞) Granger causality testen_US
dc.title (題名) 台灣期貨市場價量之因果關係zh_TW
dc.title (題名) Causality between returns and traded volumes in Taiwan futures marketen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) [1] Addmati, A. and Pfleiderer, P. (1988): “A Theory of Intraday Patterns: Volume and Price Variability”, Review of Financial Studies, 1, 3-40zh_TW
dc.relation.reference (參考文獻) [2] Bouissou, M., Laffont J.J. and Q. Vuong (1986): “Test of Non Causality under Markov Assumptions for Qualitative Panel Data”, Econometrica, 54, 395-414zh_TW
dc.relation.reference (參考文獻) [3] Campbell, J., Grossman, S. and J. Wang (1993): “Trading Volume and Serial Correlation in Stock Returns”, Quarterly Journal of Economics, 108, 905-939zh_TW
dc.relation.reference (參考文獻) [4] Engle, R. and Russel, J. (1998): “Autoregressive Conditional Multinomial: A New Model for Irregularly Spaced Discrete-Valued Time Series Data with Applications to High Frequency Financial Data”, Discussion Paper, UCSDzh_TW
dc.relation.reference (參考文獻) [5] Gallant, R., Rossi, P. and Tauchen, G. (1992): “Stock Prices and Volume”, Review of Financial Studies, 5, 199-242.zh_TW
dc.relation.reference (參考文獻) [6] Ghysels, E., Gourieroux, C. and Jasiak, J. (1998): Causality between Returns and Traded Volumeszh_TW
dc.relation.reference (參考文獻) [7] Gourieroux, C., Jasiak, J. and G. Lefol (1999): “Intra-day Market Activity”, Journal of Financial Markets, 2, 193-226zh_TW
dc.relation.reference (參考文獻) [8] Granger, C. (1969): “Investigating Causal Relations by Econometric Models and Cross-spectral Methods”, Econometrica, 37, 424-438zh_TW
dc.relation.reference (參考文獻) [9] Gunduz, L. and Hatemi-J, A. (2005): “Stock Price and Colume Relation in Emerging Markets”, Journal of Emerging Markets Finance and Trade, 41, 29-44zh_TW
dc.relation.reference (參考文獻) [10] Jones,C., Kaul, G. and Lipson, M. (1994): “Transactions, Volume and Volatility”, Review of Financial Studies, 7, 631-651zh_TW
dc.relation.reference (參考文獻) [11] Kamath, R. (2007): “Investigating Causal Relations between Price Changes and Trading Volume Changes, in the Turkish Market”, American Society of Business and Behavioral Sciences, 3,zh_TW
dc.relation.reference (參考文獻) [12] Kamath, R. and Wang, Y. (2006): “The Causality between Stock Index Returns and Volumes in the Asian Equity Markets”, Journal of International Business Research, 5, 63-74zh_TW
dc.relation.reference (參考文獻) [13] Karpoff, J. (1987): “The Relation between Price Change and Trading Volume: A Survey”, Journal of Financial and Quantitative Analysis, 22, 109-126.zh_TW
dc.relation.reference (參考文獻) [14] Lamoureux, C. and Lastrapes, W. (1991): “Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects”, Journal of Finance, 45, 221-229zh_TW
dc.relation.reference (參考文獻) [15] Tauchen, G. and Pitts, M. (1983): “The Price Variability – Volume Relationship on Speculative Markets”, Econometrica, 51, 485-505.zh_TW