| Summary: | 碩士 === 國防管理學院 === 國防財務資源研究所 === 93 === The prior literature concerning the price-volume relationship almost focuses on the daily dataset of the individual market, lack of studying the interactions across different financial markets. Instead, this study applied VAR model and GARCH model to explore the intraday price-volume linear and non-linear causal relationships across the Taiwanese stock market indices and indices futures. By examining high-frequency data, this study examines the intraday price-volume relations over the full sample period of the year 2002, and over two sub-sample periods: the period from 1 Jan. 2002 to 30 June, 2002 and the period from 1 July, 2002 to 31 December, 2002.
The empirical results show that for 5-minute interval, there exist significant bi-directional linear causality and unidirectional non-linear causality running from spot returns to spot volumes. However, the bi-directional linear and non-linear causality relationship can be found in the 15-minute-interval data. In addition, such price-volume relationships could be affected by the chosen sub-periods. On the other hand, no causal relationships between price and volume are found in the futures market, irrespective of the data frequency and sample period, suggesting the market efficiency in the futures market.
The results also show that there exists a unidirectional linear and non-linear causality in the cross-market running from futures prices to the spot volumes. This results provides evidence against market efficiency hypothesis.
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