Causality between returns and traded volumes in Taiwan futures market

• Main Authors: Kuan, Hsin, 官欣
• Other Authors: Kuo, Wei yu
• Format: Others
• Language: en_US
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/30592620573771489420

碩士 === 國立政治大學 === 國際經營與貿易研究所 === 96 === This paper follows Ghysels, Gourieroux, and Jasiak (1998), examines the causal relation between price and volume in Taiwan Futures Market. I use high frequency intraday data of Taiwan Stock Exchange Capitalization Weighted Stock Index in Taiwan Futures Exchange; and analyze the causality between returns and volume series, which are transformed into Markov chain, with Granger’s causal tests. I analyze the data with two different time category, trading time and calendar time. In our research we find out that Taiwan futures market has a bi-directional causality between price and volume in trading time analysis, as to the calendar time analysis, only price to volume unidirectional causality exists. Unlike the unidirectional causal relation that Ghysels, Gourieroux, and Jasiak (1998) observed in French security market.