以往有關股市報酬率之研究，均偏重於集中市場，而近年來隨著國內經濟成長，店頭市場迅速的發展使其重要性大為增加，並受到投資大眾的關住。本研究以四種不同的時間數列--週轉率、成交量(千股)/百萬股、成交筆數(筆)/千筆、成交值、代表成交量，探討台灣股票店頭市場報酬率與成交量之因果關係，資料來源為台灣經濟新報資料庫(Taiwan Economic Journal)，資料期間是從2000年1月到2002年1月，採取日資料進行分析。以ADF單根檢定，檢驗時間數列是否為定態數列；而價量因果關係之研究方法則採用Granger causality testing (1969)。實證結果顯示，台灣股票店頭市場的報酬率和成交量之間存在單正向因果關係，報酬率領先成交量。亦即店頭市場之成交量，無論在何種定義下皆會隨著報酬率而變化，呈現齊漲齊跌的現象，然而成交量則不會影響報酬率。

A study about stock return of the stock market, stressing more on the Taiwan Securities Exchange company (TSEC). In recent years, with the development of domestic economy, the over-the counter (OTC) is fast development and more and more important. In this paper, we will define four variable -turnover ratio, trading volume, number of trades, trading dollar volume, to representative of trading volume. The purpose of this paper is to examine the Granger causality between price and volume. The daily closing prices and trading volumes data during 2000/01-2002/01 are provided by Taiwan Economic Journal. With Unit root test for stationary. And with Granger causality test, we examine the lead-lag relationship between stock return and trading volume. The results of this empirical test are that stock return positive causal relationship to change the trading volume, but trading volume does not affect stock return.