淡江大學覺生紀念圖書館 (TKU Library)
進階搜尋


  查詢圖書館館藏目錄
系統識別號 U0002-0806201013550900
中文論文名稱 期貨報酬率與成交量、未平倉量關係之驗證-分量迴歸模型之應用
英文論文名稱 Application of Quantile Regression Model–The Empirical Examination for the Relationship among TX Market Return Rate, Trading Volume and Open Interest
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 98
學期 2
出版年 99
研究生中文姓名 許維哲
研究生英文姓名 Wei-Jhe Syu
學號 697530284
學位類別 碩士
語文別 中文
口試日期 2010-05-20
論文頁數 73頁
口試委員 指導教授-李沃牆
委員-沈大白
委員-何宗武
委員-池秉聰
中文關鍵字 分量迴歸  對稱性的檢定  拔靴複製  未平倉合約 
英文關鍵字 Quantile regression  Test for symmetry  Bootstrap  Open interest 
學科別分類 學科別社會科學商學
中文摘要 本文探討期貨價格報酬率與成交量、未平倉量的關係。在實證上,我們將樣本分成三個部分進行,即(一)全部樣本、(二)資料折半、(三)多頭、空頭,另外,我們也考慮拔靴複製10000、100000次來檢驗參數估計的合理性。同時亦區分為三個模型進行比較,實證結果報酬率與成交量的關係,大致呈現非對稱V字價量關係;而報酬率與未平倉量呈非對稱倒V字價量關係。但在空頭的樣本下會使得報酬率與成交量、未平倉量在各分量呈現不顯著的結果,扭曲變數之間的關係。而本文的研究結果可供理論或實務上參考。
英文摘要 This study applies quantile regression model to investigate the relationship between the TX market return rate, the trading volume and the open interest. In empirical study, we divided the data set into three parts, which are (1) all sample, (2) half sample, (3) bull markets and bear markets, respectively. We further used a bootstrap method to test the robustness of parameters. There are a total of three models used to compare the different data sets mentioned above. Results showed an asymmetric V-shaped relationship between TX market return rate and trading volumes.. However, in the bear market condition, the result of the return rate, trading volumes and open interest is not significant. These results can provide a reference for the theory and empirical study.
論文目次 目錄
中文摘要 i
英文摘要 ii
誌謝 iii
目錄 iv
表目錄 v
圖目錄 vi
第壹章 緒 論 1
第一節 研究動機與背景 1
第二節 研究目的 4
第三節 研究架構 4
第四節 研究流程 5
第貳章 理論基礎與相關文獻探討 6
第一節 價量關係實證文獻 6
第二節 未平倉量的探討 12
第叁章 研究方法 16
第一節 分量迴歸模型 16
第肆章 實證結果與分析 19
第一節 資料來源與變數說明 19
第二節 敘述統計與單根檢定 20
第三節 期貨報酬率與成交量、未平倉量的關係 22
第五章 結論、建議與研究限制 63
第一節 結論 63
第二節 建議 66
第三節 研究限制 66
參考文獻 67

表目錄
表2.1 衡量未平倉量 12
表4.1各變數的基本統計量與單根檢定 21
表4.2台股期貨報酬率與成交量關係的估計結果 24
表4.3台股期貨報酬率與未平倉量關係的估計結果 26
表4.4台股期貨報酬率與未平倉量關係的估計結果 27
表4.5台股期貨報酬率與成交量、未平倉量關係的對稱性檢定 28
表4.6台股期貨報酬率與成交量關係的估計結果 30
表4.7台股期貨報酬率與未平倉量關係的估計結果 31
表4.8台股期貨報酬率與未平倉量關係的估計結果 33
表4.9台股期貨報酬率與成交量、未平倉量關係的對稱性檢定 33
表4.10台股期貨報酬率與成交量關係的估計結果 35
表4.11台股期貨報酬率與未平倉量關係的估計結果 37
表4.12台股期貨報酬率與未平倉量關係的估計結果 38
表4.13台股期貨報酬率與成交量、未平倉量關係的對稱性檢定 39
表4.14台股期貨報酬率與成交量關係的估計結果 41
表4.15台股期貨報酬率與未平倉量關係的估計結果 43
表4.16台股期貨報酬率與未平倉量關係的估計結果 44
表4.17台股期貨報酬率與成交量、未平倉量關係的對稱性檢定 45
表4.18台股期貨報酬率與成交量關係的估計結果 47
表4.19台股期貨報酬率與未平倉量關係的估計結果 48
表4.20台股期貨報酬率與未平倉量關係的估計結果 49
表4.21台股期貨報酬率與成交量、未平倉量關係的對稱性檢定 50
表4.22台股期貨報酬率與成交量關係的估計結果 52
表4.23台股期貨報酬率與未平倉量關係的估計結果 53
表4.24台股期貨報酬率與未平倉量關係的估計結果 55
表4.25台股期貨報酬率與成交量、未平倉量關係的對稱性檢定 55
表4.26台股期貨報酬率與成交量關係的估計結果 57
表4.27台股期貨報酬率與未平倉量關係的估計結果 59
表4.28台股期貨報酬率與未平倉量關係的估計結果 60
表4.29台股期貨報酬率與成交量、未平倉量關係的對稱性檢定 61
表5.1 模型(1)、(2)的綜合比較 64
表5.2模型(3)的綜合比較 65

圖目錄
圖1.1研究流程 5
圖4.1台指期貨報酬率、成交量和未平倉量次數分配圖 22
圖4.2台股期貨報酬率與成交量迴歸的斜率估計值95%信賴區間 25
圖4.3台股期貨報酬率與未平倉量回歸的斜率估計值95%信賴區間 26
圖4.4台股期貨報酬率與成交量、未平倉量回歸的斜率估計值95%信賴區間 29
圖4.5台股期貨報酬率與成交量回歸的斜率估計值95%信賴區間 31
圖4.6台股期貨報酬率與未平倉量回歸的斜率估計值95%信賴區間 32
圖4.7台股期貨報酬率與成交量、未平倉量回歸的斜率估計值95%信賴區間 35
圖4.8台股期貨報酬率與交量回歸的斜率估計值95%信賴區間 36
圖4.9台股期貨報酬率與未平倉量回歸的斜率估計值95%信賴區間 38
圖4.10台股期貨報酬率與成交量、未平倉量回歸的斜率估計值95%信賴區間 40
圖4.11台股期貨報酬率與成交量回歸的斜率估計值95%信賴區間 42
圖4.12台股期貨報酬率與未平倉量回歸的斜率估計值95%信賴區間 43
圖4.13台股期貨報酬率與成交量、未平倉量回歸的斜率估計值95%信賴區間 46
圖4.14台股期貨報酬率與成交量回歸的斜率估計值95%信賴區間 47
圖4.15台股期貨報酬率與未平倉量回歸的斜率估計值95%信賴區間 49
圖4.16台股期貨報酬率與成交量、未平倉量回歸的斜率估計值95%信賴區間 51
圖4.17台股期貨報酬率與成交量回歸的斜率估計值95%信賴區間 53
圖4.18台股期貨報酬率與成未平倉量回歸的斜率估計值95%信賴區間 54
圖4.19台股期貨報酬率與成交量、未平倉量回歸的斜率估計值95%信賴區間 57
圖4.20台股期貨報酬率與成交量回歸的斜率估計值95%信賴區間 58
圖4.21台股期貨報酬率與未平倉量回歸的斜率估計值95%信賴區間 59
圖4.22台股期貨報酬率與成交量、未平倉量回歸的斜率估計值95%信賴區間 62

參考文獻 參考文獻

一.中文部份
1.王志凱(2007),「分量迴歸分析在台灣期貨市場的應用」,國立台灣大學農業經濟所碩士論文。
2.王毓敏與黃瑞靜(2001),“價量關係-台股指數期貨市場之研究,”台灣金融財務季刊,2(2): 97-114。
3.李見發、林榮裕與陳秀綾(2005) , “台灣股價指數期貨及摩根台指期貨到期效應之因素研究,” 財金論文叢刊,3:51-76。
4.邱顯比(1991),「台灣股票市場價量關係之實證研究」,國立台灣大學商學研究所碩士論文。
5.林彥均(2004),“台股指數期貨未平倉量、市場深度與成交量互動之研究,”淡江大學財金所未出版碩士論文。
6.許溪南與黃文芳(1997),「臺灣股市價量線性與非線性關係之研究」,管理學報14:2。
7.郭先成(2003),「檢視影響股價報酬因素:以美國、日本及台灣為例」,淡江大學財務金融研究所碩士論文。
8.郭玟秀、康信鴻與許溪南(2005),“影響台股股價指數期貨交易量之決定因素,”朝陽商管評論,2(1):41-62。
9.莊家彰與管中閔(2005),「台灣與美國股市之價量關係的分量迴歸分析」, 經濟論文,第33卷第4期。
10.黃慶光(2001),「臺灣股價指數反向操作策略及價量關係分析」,國立中正大學企業管理研究所之碩士論文。
11.張秋蘭(2008),「應用分量迴歸來分析台灣股票市場三大指數之價量變化」,國立中正大學國際經濟研究所碩士論文。
12.楊踐為與許至榮(1997),「台灣股票集中與店頭市場價量因果關係之探討」,證劵金融季刊8:4。
13.劉映興與陳家彬(2002),「台灣股票市場交易值、成交量與發行量加權股價指數之實證研究─光譜分析之應用」,農業經濟半年刊,72期。
14.簡正儀(1999),「價量關係之實證研究─以台股指數期貨與現貨為例」,國立中興大學企業管理研究所碩士論文。

二.英文部分
1.Baker, M. and J. C. Stein(2004),“Market Liquidity as Sentiment Indicator,” Journal of Financial Market, 7:271-299.

2.Bamber, L. S. and Y. S. Cheon, 1995 “Differential Price and Volume Reactions to Accounting Earnings Announcements,” The Accounting Review, 62, 510-532.

3.Ball, R. and P. Brown (1968),“An Empirical Evaluation of Accounting Income Numbers,” Journal of Accounting Research, 6:159-178.

4.Basci, E., S. Ozyidirim and K. Aydogan(1996),“A Note on Price-Volume Dynamics in an Emerging Stock Market, Journal of Banking and Finance 20:389-400.

5.Bessembinder, H. and P. J. Seguin (1992),“Futures Trading Activity and Stock Price Volatility, ” Journal of Financial, 47(5): 2015-2034.

6.Bessembinder, H. and P. J. Seguin (1993),“Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets,” Journal of Financial and Quantitative Analysis, 28(1): 21-39.

7.Blume, L.,D. Easley, and M. O’Hara(1994),“Market Statistics and Technical Analysis: The Role of Volume, ”Journal of Finance , 49: 153-182.

8.Clark, P. K.(1973),“A Subordinated Stochastic Process Model with Finite Variance for Speculative Price,” Econometrica, 41:135-155.

9.Chen, N. F., C. J. Cuny, and R. A. Haugen(1995),“Stock Volatility and the Levels of the Basis and Open Interest in Futures Contracts, Journal of Finance, 50:281-300.

10.Chang, E., R. Y. Chou, and E. Nelling(2000),“Market Volatility and Demand for Hedging in Stock Index Futures,” Journal of Futures Markets, 20:105-125.

11.Chuang, C. C, C.M. Kuan and H. Y. Lin (2009), “Causality in quantiles and dynamic stock return–volume relations,” Journal of Banking & Finance, Vol.33,1351–1360.

12.Cornell, B. (1981),“The Relationship between Volume and Price Variability in Futures Markets,” Journal of Futures Markets, 20(1): 303-316.

13.Crouch, R. L. (1970), “A Nonlinear Test of the Random-Walk Hypothesis,” American Economic Review, Vol.60,pp.199-202.

14.Epps, T. W., and M. L. Epps(1976),“The Stochastic Dependence of Security Price Changes and Transaction Volume: Implications for the Mixture-of-Distributions Hypothesis, ” Econometrica, 44:305-321.

15.Epps, T.W. 1977, “Security price changes and transaction volumes: Some additional evidence” Journal of Financial and Quantitative Analysis 12: 141-146.

16.Fama, E. F., L. Fisher, M. Jensen and R. Roll (1969), “The adjustment of stock prices to new information,” International Economic Review, 10 (1):1-21.

17.Ferris, P. S., Y. H. Park, and K. Park (2002),“ Volatility, Open Interest, Volume, and Arbitrage: Evidence from the S&P 500 Futures Market,” Applied Economics Letters, 9: 367-372.

18.Foster, A. J. (1995),“Volume-Volatility Relationships for Crude Oil Futures Markets,” Journal of Futures Markets, 15(18): 929-951.

19.Gallant, A. R., P. E. Rossi, and G. Tauchen(1992),“Stock Price and Volume, ”Review of Financial Studies, 5:199-242.

20.Garcia, P., R. Leuthold, and H. Zapata (1986),“Lead-Lag Relationships between Trading Volume and Price Variability: New Evidence,” Journal of Futures Markets, 6(1): 1-10.

21.Godfrey, M. D., C. J. Granger and O. Morgenstern(1964),“The Random Walk Hypothesis of Stock Market Behavior,” Kyklos, 17:1-30.

22.Granger, C. W.J., and O. Morgenstern(1963), “Spectral Analysis of New York Stock Market Prices,” Kyklos, 16:1-27

23.Grammatikos, T. and A. Saunders (1986),“Futures Price Variability: A Test of Maturity and Volume Effects,” Journal of Business, 59(2): 319-330.

24.Harris, L.(1986),“Cross-Security Tests of the Mixture of Distributions Hypothesis, “Journal of Financial and Quantitative Analysis, 21:39-46.

25.Jacobs, M. JR. and J. Onochie (1998),“A Bivariate Generalized Autoregressive Conditional Heteroscedasticity-in-Mean Study of the Relationship between Return Variability and Trading Volume in International Futures Markets,” Journal of Futures Markets, 18:379-397.

26.Jain, P. and G. Joh (1988), The Dependence between Hourly Prices and Trading Volume, Journal of Financial and Quantitative Analysis, 23: 269-283.

27.Kalotychou E. and S. K. Staikouras (2006),“Volatility and Trading Activity in Short Sterling Futures,” Applied Economics, 38: 997-1005.

28.Karpoff, J. M.(1987), “The Relationship Between Price Changes and Trading Volume: A Survey,”Journal of Financial and Quantitative Analysis, 22:109-126.

29.Kleinman, G.. (2002),“The Elegance of Open Interest,’ Futures , 56-58.

30.Kocagil, A. E. and Y. Shachmurove (1998),“Return-Volume Dynamics in Futures Markets,” Journal of Futures Markets, 18(4): 399-426.

31.Kroll, S. and M. J. Paulenoff (1993),“The Business One Irwin Guide to the Futures Markets Business One Press,”Homewood, Illinois.

32.Koutoms, G.(1998),“Asymmetric in the Conditional Mean and the Conditional Variance: Evidence from Nine Stock Markets,” Journal of Economics and Finance ,50:277-290.

33.Lamoureux, C., Lastraps, W.(1991),“Heteroskedasticity in stock return data: Volume versus GARCH effect,” Journal of Finance, 45:33-50.

34.Lee, B.-S., and M. R. Oliver (2002), 〝The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence〞, Journal of Banking& Finance 26: 51-78.

35.Leigh, W., N. Modani and R. Hightower(2004),“A Computational Implementation of Stock Charting: Abrupt Volume Increase as Signal for Movement in New York Stock Exchange Composite Index,” Decision Support Systems, 37:515-530.

36.Liew, K. Y. and R. D. Brooks (1998),“Returns and Volatility in the Kuala Lumpur Crude Palm Oil Futures Markets,”Journal of Futures Markets, 18(18): 985-999.

37.Mandelbrot, B., (1963). “The Variation of Certain Speculative Prices.” Journal
of Business, 36, 394-419.

38.McCarthy, J. and M. Najand (1993),“State Space Modeling of Price and Volume Dependence: Evidence from Currency Futures,” Journal of Futures Market, 13(4): 335-344.

39.Martin J. Pring, (1993),“Martin Pring on Market Momentum,” United States of America:McGraw-Hill.

40.Moosa, Imad A., and Al-Loughani, Nabeel E.(1995), “Testing the Price-Volume Relation in Emerging Asian Stock Markets,” Journal of Asian Economics, 6:407-422.

41.Newey, W. K. and J. L. Powell (1987). Asymmetric least squares estimation and testing,
Econometrica, 55, 819-847.

42.Najand, M. and K. Yung (1991),“A GARCH Examination of the Relationship between Volume and Price Variability in Futures Market,” Journal of Futures Market, 11(5): 613-621.

43.Osborne, M. F. M.(1959),“Brownian Motion in the Stock Market,” Operation Research, 7:145-173.

44.Pan, M. S., Y. A. Liu, and H. J. Roth (2003),“Volatility and Trading Demands in Stock Index Futures,” Journal of Futures Markets, 23(4): 399-414.

45.Ragunathan, V. and A. Peker (1997),“Price Variability, Trading Volume and Market Depth: Evidence from the Australian Futures Market,” Applied Financial Economics, 7: 447-454.

46.Shaleen, K. H. (1991), “Volume and Open Interest,” Chicago: Probus.

47.Saatcioglu, K. and Starks, L. T.(1998),“The Stock Price-Volume Relationship in Emerging Stock Markets: The Case of Latin America,” International Journal of Forecasting,14:215-225.

48.Serletis, A. and A. Shahmoradi (2006), “Return and Volatility in the NYMEX Henry Hub Natural Gas Futures Market,” OPEC Review, 30(3): 171-186.

49.Smit, E. and M. W. Louw, 1996. The Relationship between Volatility, Volume and Open Interest: Some Evidence from the South African Futures Market, South African Journal for Business Management, 27(4): 113-121.

50.Tauchen, G. E. and M. Pitts (1983), “The Price Variability-Volume Relationship on Speculative Market,” Econometrica, 51(2): 485-505.

51.Wang, C. Y. and N. S. Cheng(2004),“Extreme Volumes and Expected Stock Returns: Evidence from China’s Stock Market,” Pacific-Basin Finance Journal 12:577-597.

52.Watanabe, T. (2001),“Price Volatility, Trading Volume, and Market Depth: Evidence from the Japanese Stock Index Futures Markets,” Applied Financial Economics, 11: 651-658.

53.Wood, R. A., T. H. McInish, and J. K. Ord, 1985, “An investigation of
transactions data for NYSE stocks,” Journal of Finance, 40, 723-739.

54.Ying, C. C. (1966), “Stock Market Prices and Volumes of Sale,” Econometrica, 34:676-686.
論文使用權限
  • 同意紙本無償授權給館內讀者為學術之目的重製使用,於2015-06-21公開。
  • 不同意授權瀏覽/列印電子全文服務。


  • 若您有任何疑問,請與我們聯絡!
    圖書館: 請來電 (02)2621-5656 轉 2281 或 來信