| Summary: | 碩士 === 國立暨南國際大學 === 經濟學系 === 89 === In the literature on the relation between the volatility of stock returns and the trading volume, it was generally viewed that variations in stock price and trading volume are resulted by the arrival of the new information to the market, and thus, it yields a positive relation between the volatility and trading volume. Most empirical studies examined the unconditional correlation between the volatility and trading volume, based on theories of the Mixture of Distribution Hypothesis (MDH) or the Sequential Information Arrival Model (SIMA). This thesis, however, utilizes a new statistic, proposed by den Haan (2000), to investigate the relation between the volatility and trading volume in the long and short run, respectively. Employing absolute values of stock returns and total trading volume, from the S&P 500 index and TWI (Taiwan weighted stock index), this thesis analyzes the comovement and Granger causality between volatility and volume. Regarding the comovement, a negative relation in the short run and a positive relation in the long run are observed from the data of the S\&P 500. On the other hand, for the TWI data, a positive relation is obtained for both short and long terms. Moreover, on the Granger causality, the empirical results show that, for both cases of the S\&P 500 and TWI, there exists a bi-directional feedback effect between absolute values of stock returns and total trading volume. Based on the estimated coefficients in the VAR (vector autoregression), it also indicates that there exists a cross-period positive relation between absolute values of stock returns and total trading volume.
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