| dc.contributor.advisor | 山本竜市 | zh_TW |
| dc.contributor.advisor | Yamamoto, Ryuichi | en_US |
| dc.contributor.author (Authors) | 楊立吉 | zh_TW |
| dc.contributor.author (Authors) | Yang, Li ji | en_US |
| dc.creator (作者) | 楊立吉 | zh_TW |
| dc.creator (作者) | Yang, Li ji | en_US |
| dc.date (日期) | 2007 | en_US |
| dc.date.accessioned | 18-Sep-2009 19:58:29 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 19:58:29 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 19:58:29 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0095351011 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/36862 | - |
| 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) | 95351011 | zh_TW |
| dc.description (描述) | 96 | zh_TW |
| dc.description.abstract (摘要) | 本篇研究利用2004年1月至2007年12月的日資料探討台北外匯市場的波動性與交易量關係，實證結果與過去的研究相符，本文發現交易量與波動性呈現正的關係。本文亦將交易量拆成「預期到」與「未預期到」的部分，實證結果發現未預期到的交易量與波動性呈現正的關係，此結果與混合分配假說的預期相符，表示當新的資訊流入市場時，交易量與波動性會同時受到衝擊；此外，預期到的交易量與波動性的關係不顯著，因此沒有證據可推測台北外匯市場是否有效率。 | zh_TW |
| dc.description.abstract (摘要) | In this study, I examine the interaction of volume and volatility in the Taipei foreign exchange market over January 2004 to December 2007. Consistent with empirical results of previous research, I find a positive relation between total trading volume and volatility. I also decompose total volume into expected and unexpected components. I find a positive relation between unexpected volume and volatility. This result is consistent with MDH, which supposes that volume and volatility are both driven by a common and unobservable factor that reflects the arrival of new public information. Regarding the expected volume, a weakly positive correlation with the volatility was observed. There is weak evidence that the Taipei foreign exchange market is efficient. | en_US |
| dc.description.tableofcontents | Abstract …………………………………………………………………… ITable of Contents ……………………………………………………… IIFigures and Tables …………………………………………………… III1. Introduction …………………………………………………………… 12. Literature Review …………………………………………………… 73. Data ……………………………………………………………………… 113.1 Exchange Rate ……………………………………………………… 123.2 Volatility …………………………………………………………… 133.3 Volume ………………………………………………………………… 144. Empirical Result …………………………………………………… 17 4.1 Methodology ………………………………………………………… 17 4.1.1 Unit Root Test ……………………………………………… 17 4.1.2 ARMA ……………………………………………………………… 18 4.1.3 GARCH …………………………………………………………… 19 4.2 Relation between Volume and Volatility ……………… 225. Conclusion …………………………………………………………… 24References ………………………………………………………………… 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/#G0095351011 | en_US |
| dc.subject (關鍵詞) | 交易量 | zh_TW |
| dc.subject (關鍵詞) | 波動性 | zh_TW |
| dc.subject (關鍵詞) | 台北外匯市場 | zh_TW |
| dc.subject (關鍵詞) | Volume | en_US |
| dc.subject (關鍵詞) | Volatility | en_US |
| dc.subject (關鍵詞) | Taipei foreign exchange market | en_US |
| dc.title (題名) | 台北外匯市場交易量與波動性關係之實證分析 | zh_TW |
| dc.title (題名) | An Empirical study of the relation between trading volume and volatility in the Taipei foreign exchange market | en_US |
| dc.type (資料類型) | thesis | en |
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