The Relationship Between Stock Return Volatility and Trading Volume: Evidence from the Investors in the Taiwan Stock Market

摘要：

This study investigates the relationship between intraday stock return volatility and trading volume using GARCH model for the Taiwan stock market. The empirical results show that the impact of trading volume on stock return volatility is stronger when stock price decreases than when stock price increases. In general, institutional trading is negatively associated with return volatility, while individual trading lead to an increase in return volatility. The foreign investors and dealers trading among institutional groups trading have statistically significant impacts on return volatility.

作者: Kuo Shewhuei Hsiao Junglieh Chan Huiju

作者单位: Department of Finance, National Yunlin University of Science and Technology, Douliou, Taiwan, P.R. Graduate Institute of International Business, National Taipei University, New Taipei City,Taiwan,

会议类型: 国际会议

会议名称: 2011 International Conference on Strategic Management(2011年战略管理国际会议 ICSM)

会议地点: 成都

会议语种:英文

页码: 956-959

在线出版日期: 2011-09-24（万方平台首次上网日期，不代表论文的发表时间）