Asymmetric Volume-Return Relation in Future Market with Taiwan Case

• Main Authors: Ya-Chien Chang, 張雅倩
• Other Authors: Dr. Chien-Liang Chiu
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/58381374156341483245

碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 99 === This study demonstrates that intraday volume and return on stock index and index future in Taiwan exhibit an asymmetric volume-return relationship characterized by significantly larger volume associated with negative returns than with non-negative returns. The sample period of Taiwan stock index and index future covers from 1/2/2008 to 9/30/2009, and GJR-GARCH(1,1) model is applied. The major finding of this study are described as follows: 1.The volume of index future increases while the return of the stock price decreasing , this confirms that there lies the asymmetric volume-return relation。 2.The asymmetric volume-return relation is obvious while Taiwan stock index presents negative returns. 3.The asymmetric volume-return relation is also existing among dealers, securities investment trust companies, foreign investors and individual traders. To sum up, there is the asymmetric volume-return relation between futures market and equity market, which is more significant on non-negative returns rather than on positive return due to the fact that traders are inclined to believe that the costly short sale is higher than the cost of long-sale so that the short-sale restriction increases the asymmetric relation in equity market. In addition to that, the asymmetric volume-return relation maybe is derived from the information problem of asymmetric dealers.