The Return-Volume relationship in Taiwan Index Future

• Main Authors: Tsai Chung Shu, 蔡昌書
• Other Authors: William T. Lin
• Format: Others
• Language: zh-TW
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/n68c6w

碩士 === 淡江大學 === 財務金融學系 === 90 === According the Return-Volume relationship model（MDH model）is builded by Epps and Epps（1976）which is the investment behavior in financial market. We applied the GARCH model to fit the MDH model by Lamoureux and Lastrapes（1990）。In order to discuss trading volume is an appropriate proxy agent in the market. And the causality relationship between return and volume is the another point which we want to know. The empirical report is that lagged trading volume is an appropriate proxy agent for information flow and there is a feedback relationship between return and volume.