股票市場價量因果關係之檢定：美國、法國及日本的實證研究

Examining the causality between stock prices and trading volume: Evidence from the US, France and Japan

劉塘宸(Tang-Chen Liu)

指導教授 ： 陳仕偉

中原大學/商學院/國際經營與貿易研究所/碩士(2013年)

https://doi.org/10.6840/cycu201300222

摘要

本文旨在探討股票市場的價格及交易量是否存在不對稱性價量因果關係，本文針對三個國際股票市場 (CAC 40, Nikkei 225, S&P 500) 進行實證研究。探討股票市場是否存在不對稱性價量因果關係，以便探究到底何種理論模型最適合解釋該國的價量行為。實證結果顯示，除了Nikkei 225，其它兩個股票交易量的歷史資料有助於預測股票的未來價格，隱含市場是無效率的。DeLong et al. (1990) 所提出的雜訊交易模型能夠解釋 CAC 40 的價量關係。S&P 500 指數的價量關係存在反饋效果，因此序列訊息到達模型及雜訊交易模型能夠解釋此指數背後的價量關係。

關鍵字

股票價格 ； 交易量 ； 不對稱性因果關係

並列摘要

This paper studies the presence of the causal relationship between price and volume in three international stock markets. The econometric methodology used in this paper allows us to determine the symmetric and asymmetric Granger causality between the price index and the trading volume and it helps us to distinguish between competing theories on how information is disseminated in the stock markets. Among the main results, obtained, with the exception of the Nikkei 225, the past information on trading volume is helpful in predicting the behavior of the stock price, indicating that stock markets are inefficient. DeLong et al. (1990) noise-trader model is applicable to the CAC 40 index. For S&P 500 index, the results reveal evidence that the stock prices and trading volume of the market are subject to the influences of the sequential information arrival model and the noise-trader model simultaneously, a feedback loop will prevail with an arbitrary sign of correlation between price and volume.

並列關鍵字

Price-volume relationship ； Asymmetric causality ； Stock market

參考文獻

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