頁籤選單縮合
題名 | The Relationship between Returns and Trading Volume: Preliminary Evidence Concerning Taiwan Index Futures Contracts= |
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作者 | Hsiao, Jung-lieh; |
期刊 | Asia Pacific Management Review |
出版日期 | 20040800 |
卷期 | 9:4 民93.08 |
頁次 | 頁709-727 |
分類號 | 562.192 |
語文 | eng |
關鍵詞 | Causal relationship; Zero unconditional covariance; Zero conditional covariance; |
英文摘要 | This paper examines the causal relationship between returns and volume for four Taiwanrelated futures contracts and the co-movement between returns and volume. The findings were as follows: First, past returns could predict the volume for the SIMEX-TW contract; however, a significant lagged volume Granger-caused returns for TF contracts. Second, regarding trading period returns and volume, it was found that volume could be used to forecast returns for TE contracts. There exists a feedback relationship for TF contracts. Third, the study found evidence of significant transitory and permanent covariances except in the case of TX contracts when the close-to-close returns were considered. Fourth, results concerning the covariance between day-time returns and volume corresponded to rejection of the null hypotheses of a zero unconditional covariance (ZUC) and a zero conditional covariance (ZCC); but only in the case of the TE contracts did the author find evidence of ZUC. |
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