臺灣股票市場價量之線性與非線性Granger因果關係之研究

Abstract

我國證券市場自民國50年成立以來,迄今民國85年悠悠已過30餘載,市場規 模不斷地擴大,而 證券市場發展之榮枯常被視為經濟景氣與否的指標。也就因為證券市場所 扮演特殊的角色, 因此吸引了眾多的學者投入價量的研究,冀望有更深入 的了解。 而國內針對相關主題的研究,大都 集中在探討價量之線性因果關係,所得到的實證結果指出, 台灣股票市場 價量之間的確有相關性存在。而本研究從不同以往的角度出發,探討價量 之間 除了線性的因果關係之外,是否還存在顯著的非線性因果關係。 本研究選取兩種期間內三種不同的資料型態,分別為1995年1月初到1996 年3月底,及1990年1 月初到1995年12月底,股票交易之個股.分類產業及 總體市場的價量資料,進行線性與非線性 Granger因果關係實證研究。研 究結果指出: 一. 台灣地 區股票市場價量之間存在有線性Granger因果關係。 二. 對線性的Granger因果關係而言,短期內,存在的Granger因果關係為價 影響量,但是 長期來看,則是價量互相影響。 三. 台灣地區股票市場價量之間存在有非線性Granger因果關係。 四. 對非線性的Granger因果關係而言,不論研究期間的長短,存在的非線 性Granger因果 關係皆為價量互相影響。 The Taiwan stock market has been established for more than 30 years. The size of the market scale has become larger and larger, and the level of prosperity of stock market is often regarded as an index of economic development. Due to this, there are many studies trying to find out the relationship between price and volume of the stock market. Many studies about the Taiwan stock market have found out that there indeed exists linear causality between price and volume. The purpose of this study is to test if there exists nonlinear causality between price and volume besides linear causality. Two periods and three patterns of the price-volume data have been gathered to proceed empirical linear and nonlinear Granger causality test. Our major results are summarized as follows : 1. There exists linear Granger causality between price and volume of Taiwan stock market. 2. As for linear Granger causality, the relationship between price and volume is price cause volume in show term, and feedback in the long term. 3. There exists nonlinear Granger causality between price and volume of Taiwan stock market. 4. As for nonlinear Granger causality, the relationship between price and volume is feedback regardless of the length of study period.