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.