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題名 認購權證與標的股票間之線性與非線性因果關係─台灣實證
Linear and nonlinear dynamics between stock and warrant markets in Taiwan Stock Exchange
作者 鄭明宗
Jeng, Ming-Tzung
貢獻者 郭維裕
Kuo, Wei-Yu
鄭明宗
Jeng, Ming-Tzung
關鍵詞 線性因果關係
非線性因果關係
因果關係檢定
認購權證市場
股票市場
linear causality
nonlinear Granger causality
Granger causality test
warrant market
stock market
日期 2001
上傳時間 18-Apr-2016 16:24:38 (UTC+8)
摘要 In this study, linear and nonlinear Granger causality tests are used to examine the dynamics, including return to return and volume to volume relationships, between warrants and their underlying stocks in Taiwan Stock Exchange (TSEC). Results of previous studies are mixed and they only focus on linear relationship between the two markets. Here we take nonlinear relationship into consideration to assist in investigating what the direction of information flow is. We use intraday five-minute high frequency data and the result tells that, overall, for both return to return and volume to volume relations, there is bidirectional but asymmetry linear causality and weak unidirectional nonlinear causality from stock to warrant market between these two markets. Combining the linear and nonlinear results we conclude that the direction of information flow is mainly from stock market to warrant market.
參考文獻 Abhyanker, A., 1998, Linear and nonlinear Granger causality: Evidence from the U.K. stock index futures market, The Journal of Futures markets 18, 519-540.
     Anthony, J. H., 1988, The Interrelation of stocks and options market trading-volume data, The Journal of Finance 43, 949-964.
     Baek, E., and W. Brock, 1992, A general test for nonlinear Granger causality: Bivariate model, Working paper, Iowa State University and University of Wisconsin, Madison.
     Bhattacharya, M., 1987, Price changes of related securities: The case of call options markets, Review of Financial Studies 74, 743-780
     Bollerslev, T., 1986, Generalized autoregressive conditional heteroskedasticity, The Journal of Econometrics 31, 307-327.
     Chan, K., Y. P. Chung, and H. Johnson, 1993, Why option prices lag stock prices: A trading-based explanation, The Journal of Finance 48, 1957-1968
     Diltz, J. D., and S. Kim, 1996, The relationship between stock and option price changes, The Financial Review 31, 499-519.
     Easley, D., and M. O’Hara, 1987, Prices, trades size and information in security markets, Journal of Financial Econometrics 19, 69-90.
     Easley, D., M. O’Hara, and P. S. Srinvas, 1998, Option volume and stock prices: Evidence on where informed traders trade, The Journal of Finance 53, 431-465.
     Engle, R. F., 1982, Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation, Econometrica 50, 987-1008.
     Finucane, T. J., 1991, Put-Call Parity and expected returns, Journal of Financial and Quantitative Analysis 26, 445-457.
     Fujihara, R. A., and M. Mougoue, 1997, An investigation of linear and nonlinear causal relationships between price variability and volume in petroleum futures markets, The Journal of Futures markets 17, 385-416.
     Granger, C. W. J., 1969, Investigating causal relations by econometric model and cross-spectral methods, Econometrica 37, 424-438.
     Hiemstra, C., and J. D. Jones, 1993, Monte Carlo results for a modified version of the Baek and Brock nonlinear Granger causality test, Working Paper, University of Strathclyde and Securities and Exchange Commission.
     Hiemstra, C., and J. D. Jones, 1994, Testing for linear and nonlinear Granger causality in the stock price-volume relation, The Journal of Finance 49, 1639-1664.
     Hsieh, D., 1991, Chaos and nonlinear dynamics: Application to financial markets, The Journal of Finance 46, 1839-1877.
     Jain, P. C., and G.H. Joh, 1988, The dependence between hourly prices and trading volume, Journal of Financial and Quantitative Analysis 23, 269-283.
     Manaster, S., and R. J. Rendleman, 1982, Option prices as predictors of equilibrium stock prices, The Journal of Finance 37, 1043-1057
     Nelson, D., 1991, Conditional heteroskedasticity in asset returns: A new approach, Econometrica 59, 347-370.
     Silvapulle P., and T. Choi, 1999, Testing for linear and nonlinear Granger causality in the stock price-volume relation: Korean evidence, The Quarterly Review of Economics and Finance 30, 59-76.
     Stephan, J. A., and R. E. Whaley, 1990, Intraday price change and trading volume relations in the stock and stock option markets, The Journal of Finance 45, 191-220
     Wood, R. A., T. H. McInish, and J. K. Ord, 1985, An investigation of transaction data for NYSE stocks, The Journal of Finance 40, 723-741.
描述 碩士
國立政治大學
國際經營與貿易學系
88351021
資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002001521
資料類型 thesis
dc.contributor.advisor 郭維裕zh_TW
dc.contributor.advisor Kuo, Wei-Yuen_US
dc.contributor.author (Authors) 鄭明宗zh_TW
dc.contributor.author (Authors) Jeng, Ming-Tzungen_US
dc.creator (作者) 鄭明宗zh_TW
dc.creator (作者) Jeng, Ming-Tzungen_US
dc.date (日期) 2001en_US
dc.date.accessioned 18-Apr-2016 16:24:38 (UTC+8)-
dc.date.available 18-Apr-2016 16:24:38 (UTC+8)-
dc.date.issued (上傳時間) 18-Apr-2016 16:24:38 (UTC+8)-
dc.identifier (Other Identifiers) A2002001521en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85308-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description (描述) 88351021zh_TW
dc.description.abstract (摘要) In this study, linear and nonlinear Granger causality tests are used to examine the dynamics, including return to return and volume to volume relationships, between warrants and their underlying stocks in Taiwan Stock Exchange (TSEC). Results of previous studies are mixed and they only focus on linear relationship between the two markets. Here we take nonlinear relationship into consideration to assist in investigating what the direction of information flow is. We use intraday five-minute high frequency data and the result tells that, overall, for both return to return and volume to volume relations, there is bidirectional but asymmetry linear causality and weak unidirectional nonlinear causality from stock to warrant market between these two markets. Combining the linear and nonlinear results we conclude that the direction of information flow is mainly from stock market to warrant market.en_US
dc.description.tableofcontents 封面頁
     證明書
     致謝詞
     論文摘要
     I. Introduction
     II. Methology
     A. Linear Granger Causality Test
     B. Nonlinear Granger Causality Test
     III. Data
     A. Data Selection
     B. Data Processing
     IV. Results of Linear and Nonlinear Granger Causality Tests
     A. Linear Granger Causality Test Results
     B. Nonlinear Granger Causality Test Results
     C. Nonlinear Granger Causality Test Results with Volatility-Filtered Data
     V. Summary and Conclusion
     Reference
     Table		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002001521en_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) 因果關係檢定zh_TW
dc.subject (關鍵詞) 認購權證市場zh_TW
dc.subject (關鍵詞) 股票市場zh_TW
dc.subject (關鍵詞) linear causalityen_US
dc.subject (關鍵詞) nonlinear Granger causalityen_US
dc.subject (關鍵詞) Granger causality testen_US
dc.subject (關鍵詞) warrant marketen_US
dc.subject (關鍵詞) stock marketen_US
dc.title (題名) 認購權證與標的股票間之線性與非線性因果關係─台灣實證zh_TW
dc.title (題名) Linear and nonlinear dynamics between stock and warrant markets in Taiwan Stock Exchangeen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Abhyanker, A., 1998, Linear and nonlinear Granger causality: Evidence from the U.K. stock index futures market, The Journal of Futures markets 18, 519-540.
     Anthony, J. H., 1988, The Interrelation of stocks and options market trading-volume data, The Journal of Finance 43, 949-964.
     Baek, E., and W. Brock, 1992, A general test for nonlinear Granger causality: Bivariate model, Working paper, Iowa State University and University of Wisconsin, Madison.
     Bhattacharya, M., 1987, Price changes of related securities: The case of call options markets, Review of Financial Studies 74, 743-780
     Bollerslev, T., 1986, Generalized autoregressive conditional heteroskedasticity, The Journal of Econometrics 31, 307-327.
     Chan, K., Y. P. Chung, and H. Johnson, 1993, Why option prices lag stock prices: A trading-based explanation, The Journal of Finance 48, 1957-1968
     Diltz, J. D., and S. Kim, 1996, The relationship between stock and option price changes, The Financial Review 31, 499-519.
     Easley, D., and M. O’Hara, 1987, Prices, trades size and information in security markets, Journal of Financial Econometrics 19, 69-90.
     Easley, D., M. O’Hara, and P. S. Srinvas, 1998, Option volume and stock prices: Evidence on where informed traders trade, The Journal of Finance 53, 431-465.
     Engle, R. F., 1982, Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation, Econometrica 50, 987-1008.
     Finucane, T. J., 1991, Put-Call Parity and expected returns, Journal of Financial and Quantitative Analysis 26, 445-457.
     Fujihara, R. A., and M. Mougoue, 1997, An investigation of linear and nonlinear causal relationships between price variability and volume in petroleum futures markets, The Journal of Futures markets 17, 385-416.
     Granger, C. W. J., 1969, Investigating causal relations by econometric model and cross-spectral methods, Econometrica 37, 424-438.
     Hiemstra, C., and J. D. Jones, 1993, Monte Carlo results for a modified version of the Baek and Brock nonlinear Granger causality test, Working Paper, University of Strathclyde and Securities and Exchange Commission.
     Hiemstra, C., and J. D. Jones, 1994, Testing for linear and nonlinear Granger causality in the stock price-volume relation, The Journal of Finance 49, 1639-1664.
     Hsieh, D., 1991, Chaos and nonlinear dynamics: Application to financial markets, The Journal of Finance 46, 1839-1877.
     Jain, P. C., and G.H. Joh, 1988, The dependence between hourly prices and trading volume, Journal of Financial and Quantitative Analysis 23, 269-283.
     Manaster, S., and R. J. Rendleman, 1982, Option prices as predictors of equilibrium stock prices, The Journal of Finance 37, 1043-1057
     Nelson, D., 1991, Conditional heteroskedasticity in asset returns: A new approach, Econometrica 59, 347-370.
     Silvapulle P., and T. Choi, 1999, Testing for linear and nonlinear Granger causality in the stock price-volume relation: Korean evidence, The Quarterly Review of Economics and Finance 30, 59-76.
     Stephan, J. A., and R. E. Whaley, 1990, Intraday price change and trading volume relations in the stock and stock option markets, The Journal of Finance 45, 191-220
     Wood, R. A., T. H. McInish, and J. K. Ord, 1985, An investigation of transaction data for NYSE stocks, The Journal of Finance 40, 723-741.		zh_TW