Price Volatility﹐Numbers of Transaction﹐and Transaction Size：Evidence From Taiwan Stock Exchange

• Main Authors: Bang-Jye Liu, 劉邦杰
• Other Authors: Horace Chueh
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/07145562479887258036

碩士 === 國立高雄第一科技大學 === 金融營運所 === 91 === Price Volatility﹐Numbers of Transaction﹐and Transaction Size：Evidence fromTaiwan Stock Exchange ABSTRACT Most of the empirical studies show that there does exist a positive relationship between trading volume and volatility of stock price. However﹐trading volume is a compound variable that can be decomposed into trading frequence and average volume per transaction. The study conduct further research to see which one will contribute more to the stock price fluctuation？and examines relation between among trads﹐information flow and volatility of stock price.The data derive from Taiwan Sstock Exchange markets during the time period from January 1997 to December 2001 . The results shows： 1. In Taiwan stock market, the main factor of affecting stock fluctuation is stock frequency trading. 2. In Taiwan stock market,the number of trades for large firms is positively associated with marketwide and firm-specific information. The number of trades for small and medium firms is positively associated with firm-specific information and negatively associated with marketwide. 3. In Taiwan stock market, the number of transactions to be negatively related to the bid-ask spread for small and medium firms. In stock trading of large high value firms, bid-ask spread price shows positive or negative relations with bid-ask spread price in different years.