| Summary: | 碩士 === 僑光科技大學 === 財務金融研究所 === 102 === This essay used daily and monthly trading volume as threshold variables, and aimed to discuss possible time-series relationships of Taiwan Exchange Index, abbreviated as TAIEX, and more-overly the interaction relationships between trade volumes and TAIEX corresponding to the threshold values. For these purposes, this essay collected daily data from January 2nd, 2002 to December 31th, 2013 and cumulated daily values as monthly data. Based on the 2984 daily data, this essay employed the threshold regression model and the threshold vector autoregression model to explore the aimed relationships separately. The empirical results shows that (1).under the threshold regression model, TAIEX exhibiting distinct time-series relationships corresponding the levels of observed trading volumes; and (2)under the threshold vector autoregression model, there are different causalities between TAIEX and trading volumes due to three specified zones.
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