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台北外匯市場交易量與波動性關係之實證分析 / An Empirical study of the relation between trading volume and volatility in the Taipei foreign exchange market

本篇研究利用2004年1月至2007年12月的日資料探討台北外匯市場的波動性與交易量關係,實證結果與過去的研究相符,本文發現交易量與波動性呈現正的關係。本文亦將交易量拆成「預期到」與「未預期到」的部分,實證結果發現未預期到的交易量與波動性呈現正的關係,此結果與混合分配假說的預期相符,表示當新的資訊流入市場時,交易量與波動性會同時受到衝擊;此外,預期到的交易量與波動性的關係不顯著,因此沒有證據可推測台北外匯市場是否有效率。 / In this study, I examine the interaction of volume and volatility in the Taipei foreign exchange market over January 2004 to December 2007. Consistent with empirical results of previous research, I find a positive relation between total trading volume and volatility. I also decompose total volume into expected and unexpected components. I find a positive relation between unexpected volume and volatility. This result is consistent with MDH, which supposes that volume and volatility are both driven by a common and unobservable factor that reflects the arrival of new public information. Regarding the expected volume, a weakly positive correlation with the volatility was observed. There is weak evidence that the Taipei foreign exchange market is efficient.

Identiferoai:union.ndltd.org:CHENGCHI/G0095351011
Creators楊立吉, Yang, Li ji
Publisher國立政治大學
Source SetsNational Chengchi University Libraries
Language英文
Detected LanguageEnglish
Typetext
RightsCopyright © nccu library on behalf of the copyright holders

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