籌碼變動與臺灣加權股價指數的互動關係

NHUIR > College of Management > Department of Finance, The M.A. Program of Financial Management > Disserations and Theses > Item 987654321/19923

Please use this identifier to cite or link to this item: http://nhuir.nhu.edu.tw/handle/987654321/19923

Title:	籌碼變動與臺灣加權股價指數的互動關係
Other Titles:	THE INTERACTIVE RELATIONSHIP BETWEEN A STOCK HOLDER CHANGE AND TAIWAN WEIGHTED STOCK INDEX
Authors:	梁信忠 Liang, Hsin-chung
Contributors:	財務金融學系財務管理碩士班白宗民 Tzung-min Pai
Keywords:	臺灣股價指數報酬率;隱性大額交易者;因果關係;向量自我迴歸模型 recessive large traders;Granger causality;returns of Taiwan Weighted Stock Index;Vector Autoregressive Model
Date:	2009
Issue Date:	2015-03-24 16:53:30 (UTC+8)
Abstract:	在本研究中，我們關注的是臺灣股價指數報酬率和不同交易者的特性，並分析不同的委託買入單及委託賣出單來做為隱性大額交易者的代理變數。資料期間取自2001年10月至2008年2月，使用的是因果關係及向量自我迴歸模型。實證結果顯示，成交金額是影響股價指數報酬率的關鍵因素，且成交金額導致其他變數影響的期間變長。　　In this thesis, we study the relationships between the returns of Taiwan Weighted Stock Index and the behavior of different-typed traders. We proxy the recessive large traders by analyzing the difference between the amount of the buying order and the amount of the selling order. The data period is from October 2001 to February 2008 . The methods we used are Granger causality and Vector Autoregressive Model. The empirical results show that the trading volume is a key factor and the influences on the return of stock index and the trading volume caused by other variables have longer effects than other variables.
Appears in Collections:	[Department of Finance, The M.A. Program of Financial Management] Disserations and Theses

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