臺灣股票市場交易值、交易量與發行量加權股價指數關係之實證研究－－光譜分析之應用

Relationship between Trading Volume,Trading Value and the Stock Index in Taiwan-An Application of Spectrum Analysis

本研究主要探討台灣股市的交易值（trading value）或交易量（trading volume）與加權股價指數（TAIEX）之間的關係。首先以單根檢定（unit root test）來檢驗時間數列是否穩定（stationary）；其次，以光譜分析（spectum analysis）來檢驗交易值、交易量與加權指數是否具有循環現象。最後，利用交叉光譜分析（cross-spectrum analysis）探討台灣股市之交易值或交易量與加權指數兩者間是否存在某種關係，能否領先或落後加權指數變動，以了解台灣股市是否存有「價量關係」或「量是價的先行指標」。實證結果顯示：台灣股票市場加權指數不具有循環的現象，但在交易值及成交量則有循環現象。其次，無論是交易值或交易量與加權指數皆呈現高度的相關性且領先加權指數，故支持台灣股票市場存有「價量關係」與「量是價的先行指標」。

This study investigates the interrelations between trading value, trading volume and stock index in Taiwan stock market. We employ spectrum analysis to examine if there exist cycling, leading or lagging price-volume relations. The major results indicate that there is no cycling relation for the stock index. However, the trading value and trading volume are found to be highly correlated with and lead the stock index. These results support the conventional stock price-volume relation, which general says that volume is a leading indicator of the price.