A Study on Departure from the Volume and Price in Taiwan Stock Market

• Main Authors: Yen, Hueiting, 顏慧婷
• Other Authors: Lin, Chaujuan
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/58019491849885226890

碩士 === 大葉大學 === 工業工程與科技管理學系 === 100 === Security technical analysis is widely used to forecast the direction of prices through the study of past market data, primarily price and volume. However, there is no general consensus on whether there exist causal relations between price and volume and many investors sell their stocks just in case of departure from volume and price. . This study seeks to clarify relationships between price and volume and to explore the advantages and the disadvantages of volume and price departures. And thus, this study, based on price and volume, can afford an easy way to confirm an up-trend or down-trend. . This study investigated 33 stocks with good liquidity in addition to the Taiwan Capitalization Weighted Stock Index and the related period covered 10 years from 2000 to 2009. . The significant findings are shown as follows : . 1. There is no causal relation between volume and price : . (a) Volume doesn’t necessarily precede price. Very often huge trading volume appears after top price. In other words, climactic volume can occur both in an up-trend and down-trend. . (b) Intraday rising price with rising volume doesn’t appear more often than rising price with falling volume (16.72% : 19.15%). . 2. Departure from volume and price means nothing bad: . (a) Both rising price with falling volume and falling price with rising volume are technically defined as volume and price departure, which is a perilous signal. However, this study shows their following day’s advance decline ration are 99.60% and 100.5%, respectively, much better than that of rising price with rising volume (90.22%). . (b) Falling price with rising volume often occurs near the lowest price. So it is a near-bottom indicator. . 3. Huge trading volume is a very significant signal. It can be used as a leading indicator which confirms the future trend . (a) If it occurs with high price, the price movement may reverse. (b) If it takes place in a rebound stage, the price movement may fall again. (c) If it appears in the recovery period, the bullish market may start. .