| Summary: | 碩士 === 國立臺灣科技大學 === 財務金融研究所 === 94 === After Osborne (1959) found the correlation between volume and the absolute value of price change is positive, the research of the price/volume relation is valued by the public, and extend to inquire into the cause relation between price and volume. In this paper, we examine the dynamic relation between stock return, trading volume, and volatility of domestic and cross-country stock market. The data we use come from Taiwan, the United States, Japan, Korea, Hong Kong, China, and Hong Kong. The data set comprises daily market price index and trading volume series for the six countries. The index covers the period from 1995/5/2 to 2005/9/8.
Empirical results are as follows: first, in each country, the sample analysis shows that the feedback effect between trading volume and return (and volatility) tends to be more significant after the 1997 Asian financial crisis period. And the predictive ability of trading volume becomes stronger. Second, regarding the cross-country relationships, the spillover effect becomes stronger. And the causal relationship between China and Taiwan (and Hong Kong) is close. Third, US financial market variables, especially US return, contain an extensive predictive ability for other country’s financial market variables. Besides, The information leadership of the Japan was relatively weak. Final, after Taiwan canceled the limit of foreign investors to hold the stock on 2001/1/1, the causal relations between the financial market of Taiwan variables and the financial market variables of other country become closer. And the influence of Korean stock market on Taiwan increases.
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