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• Main Authors: Szu-Yin Ho, 何思穎
• Other Authors: Hsi-Nan Hsu
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/64188824728907194980

碩士 === 國立成功大學 === 企業管理學系碩博士班 === 91 === This study used the model developed by Bessembinder and Sequin（1993）to test the volume-volatility relation in the Taiwan stock market using volume data categorized by types of trader. This research partitioned each trading activity volume series into expected and unexpected components. The sample period extends from 2 January 1998 to 14 March 2003. The government relaxed the restrictions on foreign investors in 2001. Therefore, the sample is divided into different periods to compare the difference between two periods. One is from 2 January 1998 to 12 December 2000, and the other is from 2 January 2001 to 14 March 2003. Results for the period prior to January 2001, when the regulation did not cancel confirm the findings by Bessembinder and Sequin（1993）. A significantly positive relation is found between the general public volume and volatility. The unexpected security dealer volume and the expected foreign investor volume are positive and significant. While in the period from 2 January 2001 to 14 March 2003, the unexpected foreign investor volume and the expected general public volume are positive and significant. These findings suggest that the general public are uninformed traders and institution investors are informed traders. In addition, the impact of foreign investors is larger than security dealer and mutual funds.