The Impact of Trading Volume on Returns and Volatility in Futures Market ─ An Analysis of Taiwan Stock Index Futures

[[abstract]]摘要 本研究以台灣股價指數期貨為樣本，利用EGARCH模式與因果關係檢定，探討期貨市場成交量和報酬及其報酬波動性之關係；除此之外，本研究採用了Lee and Rui ( 2002 ) 所使用的估計模式，將成交量區分為預期成交量與未預期成交量，分別探討預期成交量、未預期成交量和報酬及預期成交量、未預期成交量和報酬波動性之關係。報酬波動性的估計，本研究是採用EGARCH ( 1, 1 ) 模式進行估算。 本研究的實證發現，在同時關係中，成交量與未預期成交量對報酬及報酬波動性有顯著正向的影響；就因果關係而言，成交量與預期成交量兩者分別和報酬具有因果關係，成交量與未預期成交量兩者分別和報酬波動性有因果關係存在；綜合Jennings, Starks and Fellingham ( 1981 ) 及Mcmillan and Speight ( 2002 ) 的觀點，本研究的實證結果支持序列資訊抵達假說。此外，本研究發現台灣股價指數期貨的報酬波動性具有不對稱性。 關鍵字：台灣股價指數期貨、成交量、報酬、波動性[[abstract]]Abstract This paper uses the EGARCH model and Granger Causality to examine the effect of trading volume on returns and volatility by using daily of the Taiwan Stock Index Futures. This paper, following Lee and Rui ( 2002 ) , decomposes the trading volume into expected and unexpected volume to examine the effect of trading volume on returns and volatility. Further, this paper uses the EGARCH ( 1, 1 ) model to estimate the volatility. In this paper, the empirical results can be summarized as follows：First, in the contemporaneous relationship, the trading volume and the unexpected trading volume have significant positive relationship on both returns and volatility in Taiwan Stock Index Futures. Second, in Granger Causality, the trading volume and the expected trading volume have significant causal relationship on return; the trading volume and the unexpected trading volume have significant causal relationship on volatility. According to the Jennings, Starks and Fellingham ( 1981 ) 、Mcmillan and Speight ( 2002 ) aspects, this paper supports sequential arrival of information hypothesis. Besides, this study finds that there exist asymmetric effects on volatility of Taiwan Stock Index Futures. Keyword：Taiwan Stock Index Futures、Trading Volume、Return、Volatilit