淡江大學機構典藏:Item 987654321/31772
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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/31772


    Title: 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
    Other Titles: The relationship between trading volume and stock price in smooth transition error correction model.
    Authors: 顏治華;Yen, Chih-hua
    Contributors: 淡江大學財務金融學系碩士班
    莊武仁;Chuang, Wu-jen
    Keywords: 價量關係;共積關係;弱外生;非線性平滑轉換誤差修正模型;the relationship between stock price and trading volume;Cointegration;Nonlinear Smooth Transition Error Correction Model
    Date: 2008
    Issue Date: 2010-01-11 01:14:57 (UTC+8)
    Abstract: 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。
    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.
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Thesis

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