Summary: | 碩士 === 國立高雄第一科技大學 === 財務管理所 === 98 === This study investigates the asymmetric effects of open interest and trading volume on TAIFEX return and volatility. Data including daily closing prices, trading volumes and open interests from July 21, 1998 to December 31, 2009 were gathered. In order to explore the impact on return and volatility, this researcher used GARCH and EGARCH models, with outstanding open interests and trading volumes partitioned into expected and unexpected groups.
Some findings can be confirmed. First of all, the results indicate that unexpected open interests. achieved significantly negative correlation to return. Unexpected trading volumes are positively correlated to volatility, which has negative correlation with open interests. In addition, unexpected impulse on volatility definitely displays asymmetric effect. The impacts of bad news appear to be greater than that of good news. As a whole, these empirical results are consistent with the expectation theory.
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