The Investigation of Price-Volume Relationship in Stock Market：Comparison with Ten Countries

• Main Authors: Pi-Ching Kuo, 郭璧菁
• Other Authors: Ai-Chi Hsu
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/68004664043093387325

碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 91 === This article examines the relationship of daily stock returns and volume of ten countries. By applying Nelson’s bivariate EGARCH-M model, we explore the volatility spillovers between stock returns and volume. The empirical result shows there is causality between stock returns and volume in Taiwan and the sustained volatility of stock returns/volume in most stock markets exist. Besides, the volatility of stock returns/volume affects returns significantly in Taiwan, Singapore, Thailand, and Japan; affects volume in other six Asian countries. And the volatility spillovers between stock returns and volume exist in Taiwan, Singapore, Thailand, Philippines, and Japan; the volatility spillover from stock returns to volume exists in China; the volatility spillovers from volume to stock returns exist in Canada and France. In addition, there are asymmetric effects (leverage effects) of the volatility spillovers in Philippines and China.