| Summary: | 碩士 === 淡江大學 === 財務金融學系 === 87 === Price and volume are two important variables of stock market, they are also noticed by the investors. Price-Volume relationship is an important subject. This paper examines the interaction between trading volume and stock price in OTC with error correction model (Engle and Granger, 1987). The sample is collected daily data from June 1, 1996 to March 31, 1999.
Apply Johansen maximum Likelihood method and error correction models, we found that there exist cointegration among stock price and trading volume in OTC. Results also show that stock price cause trading volume in OTC.
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