The Impact of Trading Volume on Returns and Volatility in Futures Market ─ An Analysis of Taiwan Stock Index Futures

• Main Authors: Hsiu-Chuan Lee, 李修全
• Other Authors: Shyan-Rong Chou
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/73476296614940397632

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 into expected and unexpected volume to examine the effect of trading volume on returns and volatility. Further, this paper uses the EGARCH ( 1, 1 ) model to estimate the volatility. In this paper, the empirical results can be summarized as follows：First, in the contemporaneous relationship, the trading volume and the unexpected trading volume have significant positive relationship on both returns and volatility in Taiwan Stock Index Futures. Second, in Granger Causality, the trading volume and the expected trading volume have significant causal relationship on return; the trading volume and the unexpected trading volume have significant causal relationship on volatility. According to the Jennings, Starks and Fellingham ( 1981 ) 、Mcmillan and Speight ( 2002 ) aspects, this paper supports sequential arrival of information hypothesis. Besides, this study finds that there exist asymmetric effects on volatility of Taiwan Stock Index Futures. Keyword：Taiwan Stock Index Futures、Trading Volume、Return、Volatility