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系統識別號 U0002-1006200818275600
中文論文名稱 美國股市價量關係-非線性平滑轉換誤差修正模型實證研究
英文論文名稱 The relationship between Trading Volume and Stock Price in Smooth Transition Error Correction Model.
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 96
學期 2
出版年 97
研究生中文姓名 顏治華
研究生英文姓名 Chih-Hua Yen
電子信箱 fisher.fisherian29@gmail.com
學號 695530971
學位類別 碩士
語文別 中文
口試日期 2008-05-17
論文頁數 57頁
口試委員 指導教授-莊武仁
委員-林筠
委員-李命志
委員-劉邦典
中文關鍵字 價量關係  共積關係  弱外生  非線性平滑轉換誤差修正模型 
英文關鍵字 the relationship between stock price and trading volume  Cointegration  nonlinear smooth transition error correction model 
學科別分類 學科別社會科學商學
中文摘要 在現今的技術分析中,價量關係的運用已非常廣泛,而隨著股市的發展以及專業人士的研究,不同的背景有著不同的價量關係,種種的說辭如「量先價行」、「量價背離」等,但似乎依然意見分歧。
本研究主要探討美國(納斯達克股價指數)股市價量之共積關係,即為由短期動態調整至長期均衡的過程,以非線性平滑轉換誤差修正模型為實證方法,實證結果發現在研究期間內,美國股市的價量間確實存在非常顯著的共積關係,且呈現正相關,但長期均衡關係的穩定性稍嫌不足。在兩變數中,美國以指數為弱外生變數,其價量關係之非線性模型在轉換門檻值-3.644上下分別為不同的狀態,呈現非線性調整為exponential的對稱型態。
英文摘要 In the latter technical analysis, the study investigates the relationship between stock price and trading volume is exercised very extensively. As the advance of the stock market and the research of professional, a different background usually results in the difference of the relationship between stock price and trading volume. Some statement such as “trading volume lead price” or “the aversion between trading volume and price”, but that seems to be divergent.
The purpose of this paper is to discuss the cointegrated relationship between trading volume and price of stock market in America (Nasdaq index). That is the regulative process from short-run to long-run. And the model used in this paper is non-linear Smooth Transition Regression Model. The empirical results show that the stock price and trading volume in America cointegrated and negatively associated with each other. But the stability of the long-run relationship is deficient. Among the two variables, stock price index is a weak-exogenous variables. The evidence suggest that the regulative process of trading volume formed as exponential non-symmetry flame.
論文目次 目錄:
第一章 緒論..........................................1
第一節 研究動機與目的..............................1
第二節 研究限制....................................3
第三節 預期研究貢獻................................4
第四節 研究架構與流程.............................5
第二章 理論模型與文獻回顧............................7
第一節 價量關係的理論模型..........................7
第二節 價量同期關係文獻探討.......................10
第三節 價量因果關係的文獻探討.....................11
第三章 實證模型設定.................................17
第一節 單根檢定..................................17
第二節 共積向量的估計與檢定......................21
第三節 線性誤差模型的建立........................24
第四節 非線性平滑轉換誤差修正模型之建立..........25
第五節 遞延參數與線性檢定........................28
第六節 轉換函數..................................29
第四章 實證分析.....................................30
第一節 實證步驟..................................30
第二節 資料來源與處理............................31
第三節 單根檢定...................................32
第四節 長期均衡關係之共積分析.....................35
第五節 線性誤差修正模型...........................42
第六節 非線性模型與轉換函數的選擇.................43
第七節 非線性模型估計.............................43
第五章 結論.........................................49
參考文獻............................................51

表目錄
【表2-1】價量同期關係文獻彙整.......................14
【表2-2】價量因果關係文獻彙整.......................15
【表4-1】指數與交易量基本統計量.....................31
【表4-2】單根檢定-水準項............................32
【表4-3】單根檢定-差分項............................33
【表4-4】共積分析之誤差序列相關檢定.................35
【表4-5】共積向量檢定...............................36
【表4-6】模型之估計檢定結果.........................38
【表4-7】共積分析之誤差序列相關檢定.................38
【表4-8】共積向量檢定...............................39
【表4-9】修正後模型之估計檢定結果...................40
【表4-10】線性誤差修正模型(ECM)估計結果.............42
【表4-11】非線性檢定................................43
【表4-12】納斯達克指數交易量之ESTECM模型估計........46

圖目錄
【圖4-1a】股價指數與差分後圖形.....................34
【圖4-1b】股價指數交易量與差分後圖形...............34
【圖4-2】伴隨矩陣特性根............................37
【圖4-3】共積向量圖................................37
【圖4-4】特性根檢定................................37
【圖4-5】伴隨矩陣特性根............................39
【圖4-6】特性根檢定................................40
【圖4-7】價量共積關係Trace檢定.....................41
【圖4-8】價量共積關係- 穩定性檢定..................41
【圖4-9】轉換函數( =0.015, =-3.644)...............48
【圖4-10】轉換函數值時間走勢.......................48





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