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|Other Titles: ||The relationship between credit transaction and stock returns|
|Authors: ||楊昇翰;Yang, Sheng-han|
|Keywords: ||向量自我迴歸模型;共整合;信用交易;雙變量GARCH;VAR;ECM;Bivariate Garch Models|
|Issue Date: ||2010-01-11 03:02:21 (UTC+8)|
Taiwan Stock markets are blooming in recent year. The trading amounts of margin trading and short selling deemed as investment instruments by Individual Investors also increase in recent year. Thus, the relationships among stock index, margin trading and short selling seem to be a worthwhile topic to investigate. This thesis is divided into three subjects. One is to study the relationships between stock index and margin trading, another is to examine the relationships between stock index and short selling, and the other is to find the relationships between margin trading and short selling. In addition, and the data employed by this paper is from 2002/1/2~2005/12/30, and the nineteen industrial stock indexes created by TSE are also investigated individually in this paper.
The empirical results are not the same while employing different industrial stock indexes in this paper. For example, the rising of stock indexes do not uplift margin trading, and the falling of stock indexes also do not uplift short selling. The possible reasons might be explained the above phenomena in the context of this paper. Besides, while the stock index is at the peak, the margin trading isn’t; however, the margin is at the peak, the stock index has declined already.
As for the co-integration analysis, our empirical results reveal that long run equilibrium relationships might exist between stock index and credit transaction. Therefore, investors might forecast the trend of stock indexes by the information of credit transactions. Besides, while there is a shock in stock market, the volatilities of credit transaction might increase later, as showed by Bivariate GARCH Models
|Appears in Collections:||[管理科學學系暨研究所] 學位論文|
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