The Kinetics of the Stock Markets

Hsinan Hsu ； Bin-Juin Lin

《Asia Pacific Management Review》 7卷1期 (2002/03) Pp. 1-24

並列摘要

This paper applies the kinematic and kinetic theories of physics to derive two important price behavior equations for the stock markets: the equation of motion and the work-energy equation. Daily data of the Taiwan Stock Exchange index, trading values, and total units of buy and sale orders are used to test the theories. Empirical results indicate that these two equations provide a powerful and good description of the behavior of stock prices. The contribution of this paper is to formally theorize some phenomena that are often heard from the practitioners of stock markets.

並列關鍵字

the equation of motion of the stock prices ； the work-energy equation of the stock prices ； kinetic energy of stock markets ； excess demand ； trading values

參考文獻

Bollerslev, T.(1986).Generalized Autoregressive Conditional Heteroskedasticity.Journal of Econometrics.31(3)

Bollerslve, T., 周雨田 Chou, Ray Yeu-Tien, Kroner, K. F.(1992).ARCH Modeling in Finance.Journal of Econometrics.52

Das, B., Kassimali, A., Sami, S.(1994).Engineering Mechanics-Dynamics.Irwin.

Glejser, H.(1969).A New Test for Homoscedasticity.Journal of American Statistical Association.

Maddala, G. S.(1992).Introduction to Econometrics.New York:Prentice Hall.