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.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0095351011 |
| Creators | 楊立吉, Yang, Li ji |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 英文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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