Chung-Hua University Repository:Item 987654321/28713
English  |  正體中文  |  简体中文  |  Items with full text/Total items : 8557/14866 (58%)
Visitors : 1990679      Online Users : 1173
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version
    CHUR > College of Management > Department of Finance > Seminar Papers >  Item 987654321/28713


    Please use this identifier to cite or link to this item: http://chur.chu.edu.tw/handle/987654321/28713


    Title: Trading volume and return volatility between informed and uninformed traders
    Authors: 陳怡璇
    Chen, Yi-Hsuan
    Contributors: 財務管理學系
    Finance
    Keywords: 波動性;GARCH;VAR;Granger因果關係
    Date: 2009
    Issue Date: 2014-06-27 00:06:31 (UTC+8)
    Abstract: 本文研究台灣加權股價指數日資料之波動性模型，分別探討現貨及期貨交易量對於現貨報酬波動性之影響。研究期間為2002年至2008年，利用GARCH模型、向量自我迴歸模型(VAR)、Granger因果關係檢定，研究它們之間的關係。同時將交易量變數進一步分為資訊交易者（三大法人）與非資訊交易者（一般投資人），探討其波動性與交易量之關係。實證結果如下:(1)現貨及期貨交易量正向顯著影響台股指數日報酬波動；(2)當同時探討資訊與非資訊交易者的交易量與報酬波動性之關係，資訊交易者的交易量對報酬波動性有顯著影響，非資訊交
    Appears in Collections:[Department of Finance] Seminar Papers

    Files in This Item:

    File Description SizeFormat
    s_m333_0180.pdf48KbAdobe PDF161View/Open


    All items in CHUR are protected by copyright, with all rights reserved.

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback