The Relationship between Returns and Trading Volume: Preliminary Evidence Concerning Taiwan Index Futures Contracts_

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題名：	The Relationship between Returns and Trading Volume: Preliminary Evidence Concerning Taiwan Index Futures Contracts
書刊名：	Asia Pacific Management Review
作者：	Hsiao, Jung-lieh
出版日期：	2004
卷期：	9:4
頁次：	頁709-727
主題關鍵詞：	Causal relationship；Zero unconditional covariance；Zero conditional covariance
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:0 共同引用:7 點閱:47

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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期刊論文
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圖書
1.	DeMark, D. A.(1994)。The New Science of Technical Analysis。The New Science of Technical Analysis。New York, NY。
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