The Impact of Trading Volume on Returns and Volatility in Futures Market ─ An Analysis of Taiwan Stock Index Futures
碩士 === 國立高雄第一科技大學 === 金融營運所 === 91 === Abstract This paper uses the EGARCH model and Granger Causality to examine the effect of trading volume on returns and volatility by using daily of the Taiwan Stock Index Futures. This paper, following Lee and Rui ( 2002 ) , decomposes the trading volume...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2003
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| Online Access: | http://ndltd.ncl.edu.tw/handle/73476296614940397632 |