A Quantile Regression Analysis of Return-Volume Relation: Evidence from the Three Major Index in Taiwan Stock Market

• Main Authors: Joyce Chang, 張秋蘭
• Other Authors: Lai, Hung-Pin
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/23479721854267249728

碩士 === 國立中正大學 === 國際經濟所 === 96 === We examine the relationship between the stock return and trading volume in the three major indexes in Taiwan Stock Exchange using quantile regression. The empirical results show that the return-volume relationships in these three major indexes are quite different. For Taiwan Weighted Stock Index and Electronic Index, there are significant positive return-volume relations across quantiles, showing that a large positive return is usually accompanied by a large trading volume and a large negative return with a small trading volume, yet the effect of the former is stronger. However, such relations change when returns approach the price limits. For Financial Index, return-volume relations exhibit symmetric V-shaped across quantiles, showing that a large return (in either sign) is usually accompanied by a large trading volume. On the other hand, linear regressions estimated by the ordinary least square method are unable to reveal such patterns.