The Return-Volume relationship in Taiwan stock Index Future

• Main Authors: Meng-chieh Lee, 李孟杰
• Other Authors: Ai-chi Hsu
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/46296373677015709243

碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 92 === This paper uses bivariate EGARCH-M model to discuss Taiwan stock index futures（TAIFEX）daily Return-Volume relationship and uses Granger Causality test to examine the lead/lag relationship between return and volume. The results are as follows：(1)return,volume ,and open interest all have a positive volatility deferred effect.（2）there is a positive volatility spillover effect between return and volume.（3）there is a asymmetric effect（leverage effect）in volatility spillovers of absolute return and volume（4）there is a feedback relationship between absolute return and volume.