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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/51540


    Title: 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
    Other Titles: Application of quantile regression model : the empirical examination for the relationship among TX market return rate, trading volume and open interest
    Authors: 許維哲;Syu, Wei-jhe
    Contributors: 淡江大學財務金融學系碩士班
    李沃牆;Lee, Wo-chiang
    Keywords: 分量迴歸;對稱性的檢定;拔靴複製;未平倉合約;Quantile Regression;Test for symmetry;Bootstrap;open interest
    Date: 2010
    Issue Date: 2010-09-23 15:24:53 (UTC+8)
    Abstract: 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。
    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.
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Thesis

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