分量迴歸模型於台指期貨報酬率與成交量、未平倉量關係之再驗證

Re-examine the Relationship among Future Market Return Rate, Trading Volume and Open Interest via Quantile Regression Model

李沃牆(Wo-Chiang Lee) ； 許維哲(Wei-Jhe Syu)

《輔仁管理評論》 18卷2期 (2011/05) Pp. 75-102

https://doi.org/10.29698/FJMR.201105.0004

摘要

本文應用Koenker and Bassett (1978)所提出的分量迴歸模型(quantile regression)再驗證期貨價格報酬率與成交量、未平倉量的關係。實證上採用2001年至2009年的的台指期貨相關量價變數，並將樣本分成全部樣本、次級房貸前後並進行比較。同時亦將量價關係區分爲三個模型進行比較。實證結果顯示：報酬率與成交量的關係，大致呈現非對稱V字型的價量關係；而報酬率與未平倉量呈非對稱倒V字型的價量關係。但在次級房貸後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，本文的結果亦可供做理論研究或實務應用上的參考。

關鍵字

未平倉量 ； 分量迴歸 ； 對稱性檢定 ； 拔靴複製法

並列摘要

study applies quantile regression model which provided by Koenker and Bassett (1978) to re-examine the relationship between the future market return rate, trading volume and the open interest. In empirical study, we divided the data set which include year 2001 to 2009 from Taiwan future market into three parts, which are all sample, half sample, before and during the subprime mortgage, respectively. There are a total of three models used to compare the different data sets mentioned above. Results showed an asymmetric V-shaped relationship between 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.

並列關鍵字

quantile regression ； test for symmetry ； bootstrap ； open interest

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