政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/48957
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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/48957

    Title: 隔夜恐慌情緒對日內台指現貨波動度與成交量之間的影響探討
    The effect of overnight emotion on the intraday relationship between TAIEX volatility and trading volume
    Authors: 袁明道
    Contributors: 杜化宇
    Keywords: 波動度
    Date: 2009
    Issue Date: 2010-12-08 01:54:17 (UTC+8)
    Abstract: 本文主要針對隔夜情緒影響的不對稱性進行研究,本研究以今日開盤的波動率指數(VIX)與昨日收盤的VIX相減代表隔夜資訊,而波動率指數又稱為恐慌指數,就理論上而言,當市場出現恐慌時,波動率指數亦會上升,本文將以區分市場在恐慌普通與樂觀情緒下,波動度與成交量的關係是否有變化,其中成交量又細分為Total volume, Expected volume與Unexpected volume,此成交量分類的概念源自Illueca and Lafuente (2007),而波動度與交易量的關係則是參考Darrat et al.(2007)中VAR 的方法來探討。本文以台灣股價指數期貨與台灣股價指數作為研究標的。本文的實證結果顯示在不同的情況下,各種成交量與波動度的因果關係及影響方向均有變化,在隔夜有重要資訊發生時(恐慌或樂觀),開盤時的預期成交量與未預期成交量和波動度的因果關係會發生變化,若是普通情緒下,則各種成交量與波動度之間皆有雙向的因果關係,惟影響方向不同。開盤時段下,預期成交量除了在樂觀情緒下,會預期成交量使得波動度增加,恐慌與普通情緒下,預期成交量會使得波動度減少,類似提供流動性的角色,但極端情緒下,波動度卻無法對未預期成交量產生影響,代表在極端情緒下,波動度是由未預期成交量所導致,表示未預期成交量為波動的製造者,此與本研究推測未預期成交量帶有較大資訊含量相符。
    Reference: 陳榮逢(2008),「台股指數報酬波動性與異常交易量的關係」,國立政治大學國際經營與貿易研究所碩士論文。
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    Description: 碩士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0097357004
    Data Type: thesis
    Appears in Collections:[Department of Finance ] Theses

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