美國總體新聞對股市報酬和交易量間關係的影響：向量自我迴歸分析

The Impact of U.S. Macroeconomic News on the Relationship between Stock Returns and Trading Volume: An Analysis of a Vector Autoregression

黃嘉莉(Adelia Hilman)

指導教授 ： 牟萬馨

中原大學/商學院/國際商學碩士學位學程/碩士(2018年)

https://doi.org/10.6840/cycu201800123

摘要

本研究欲探討成熟經濟體與新興經濟體的股票市場價量關係與波動性和交易量的關係。對投資者而言，了解股市價量及波動性和交易量間的關係有助於擬定投資策略，本論文考量股市對於總體新聞之反應，特別是美國總體新聞為成熟經濟體和新興經濟體的股市帶來之影響。本論文使用向量自我回歸模型研究11個國家股票市場的價量及波動性和交易量間的關係，樣本期間從2004年10月初至2017年6月底。

關鍵字

交易量 ； 價格 ； 波動性 ； 總體新聞 ； 向量自我回歸

並列摘要

The research attempts to study the correlation between price-volume in both developed and emerging stock markets. Understanding the relationship is essential for investors in order to conduct appropriate investment strategy. In particular, the study accounts for the US macroeconomic news, specifically the response of the financial market in terms of stock price and stock volatility. The paper also focuses on the changing of the US macroeconomic news and how it will affect the financial market of both developed and emerging nations. The research uses the VAR to investigate these relationships in 11 countries. The sample data will cover the period of October 11th 2004 to June 29th 2017.

並列關鍵字

volume ； price ； volatility ； macroeconomic variable ； VAR

參考文獻

Van Aarle, B., H. Garretsen, and N. Gobbin. (2003). Monetary and fiscal policy transmission in the Euro-area: evidence from a structural VAR analysis, Journal of Economics and Business 55: 609-38.

Afonso, A and R. M. Sousa. (2011). What are the Effects of Fiscal Policy on Asset Markets?, Economic Modelling, 28: 1871-90.

Afonso, A. and R. M. Sousa. (2012). The Macroeconomic Effects of Fiscal Policy, Applied Economics, 44: 4439-4454.

Aggarwal, R. and D. C. Schirm. (1992). Balance of Trade Announcements and Asset Prices: Influence on Equity Prices, Exchange Rates, and Interest Rates, Journal of International Money and Finance, 11 (1), 80–95.

Aggarwal, R. and D. C. Schirm. (1998). Asymmetric Impact of Trade Balance News on Asset Prices, Journal of International Financial Markets, Institutions and Money 8 (1), 83–100.