The Study of The Relationship Between The Return Rates and The Volume Change Rates in Taiwan Stock and Future Markets

• Main Authors: Li-Gong Chen, 陳立恭
• Other Authors: Min-Jiun Su
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/8ew6hh

碩士 === 國立中興大學 === 企業管理學系所 === 97 === The contemporaneous relationship between the return rates and the volume change rates in financial markets has been explored in many literatures, but the results are different. This study empirically tests if the trading volume exist of Stock Index, Finance Sector, and Electronics Sector in Taiwan stock and future markets are the proxies of information dissemination as the Mixture of Distributions Hypothesis. This study uses GARCH and GMM to examine the contemporaneous relationship between the return rates and the volume change rates of these six indices. The result shows that under the GARCH model, except TAIFEX, the positive contemporaneous relationships exist in the other indices. Further, under the GMM model, the positive contemporaneous relationships are significant in these six indices. Therefore, this study provides the support of information dissemination of Taiwan stock and future markets conform to the MDH.