| Summary: | 碩士 === 中國文化大學 === 國際貿易學系碩士班 === 92 === This study use univariate GARCH model and SUR model. We choose Taiwan Weighted Index and Taiwan Electronic Index. Samples from domestic stock market over the 1995 to 2003. We examine that factors affect return autocorrelation in Taiwan stock market. The empirical study shows:
Taiwan Weighted Index and Taiwan Electronic Index have first-order conditional return autocorrelation.
On the other hand, return volatility has a positive and statistically significant ef-fect on return autocorrelation. Second, trading volume variable is significant and nega-tive effect. Third, during bear and bull market, bull market indicates lower index return autocorrelation. Fourth, in day-of-the-week, Friday has higher return autocorrelation than other days of the week.
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