| Summary: | 碩士 === 嶺東科技大學 === 財務金融系碩士班 === 106 === This study uses Vector Autoregression model to study the correlation between TAIEX and trading volume as well as between TAIEX and trading amount. The data contains TAIEX, electronic stock index, financial stock index, and construction stock index from TEJ database. The number of sample is 3194 and the sample period is from January 3, 2005 to November 24, 2017.
Granger causality test, VAR Model and co-integration relationship verification are used in this article to analyses the relationship between TAIEX, trading volume, and trading amount. Volume and Price Relationship Analysis is usually used in judging the relationship between stock price and trading volume. This study shows that the prices of TAIEX, Electronic stock index, and Construction stock index granger cause trading volume and trading amount. The price and trading amount of Financial stock index have bi-directional causality.
|
|---|
