The nonlinear structure in Taiwan''s money market

• Main Authors: Ding-Li Cheng, 鄭鼎立
• Other Authors: Tsung Heng Liu
• Format: Others
• Language: zh-TW
• Published: 1995
• Online Access: http://ndltd.ncl.edu.tw/handle/99644243360036795259

碩士 === 淡江大學 === 金融研究所 === 83 === Price and Volume are two important variables in the theory of economic analysis Ying(1966) thinks that these two variables are joint products of a single market mechanism and this opinion could be applied to speculative market.The previous emperical studies about price-volume relationchip in Taiwan speculative market are mostly emphasized on stock market, however , bondarket is also one of speculative market. So,this research concentrates on the relationship between price and volume of government bond market in Taiwan. Thomas W. Epps(1975) has developed an asymmetric model which implies that the ratio of volume to price change for upticks exceeds the absolute value of this ration on downticks. The first goal of this thesis is to test if this theory could bepplied to the study of the Taiwan government bond market. The second goal of this thesis is to investigate the causality of price change and trading volume. The source of the data is the government bond choosed from the center of OTC(over-the-counter). The study interval is fromhe beginning of Nov.1992 to the end of Feb.1995. The methodology for testing asymmetric model adopts Willcoxon rank-sum test snd the Granger''s causality theory(1969) is adopted to test the causality of price change and trading volume. From the empericalesult, we do not find evidence which supports asymmetric model. We do not find evidence which supports Granger''s causality,either We have tried to explain it and there still exit some problem which would be left to future researchers.