出版品

YU-MIN WANG   Professor, Graduate Institute of Business Administration, National Chiayi.
SU-LIEN LU   Assistant Professor, Department of Finance, National United University.
VHIA-MING YANG   Doctoral Student, Department and Graduate Institute of Finance, National Yunlin University of Science and Technology.

　　The purpose of this paper is to examine the relationship between stock price and futures volume. This paper contributes to previous studies of price-volume relationship and the determinants of futures volume by postulating three hypotheses and testing them with data for four stock index futures in Taiwan. The model developed in this article formalizes the price-volume elationship by stochastic calculus and Ito? process. First, we find a long-run relationship between stock price and futures volume by cointegration test. If the cointegarted relationship exists, stock price and futures volume are non-stationary in level but stationary in the first differences. That is, stock price and futures volume follow a random-walk process. On the other hand, we extract the short-run and long-run impacts by vector error correction model. Furthermore, we consider three measures for stock price volatility to test the determinants of change and volatility of futures volume. Although the determinant of change and volatility of futures volume are sensitive to the volatility estimate used, we find that absolute stock price change is a more suitable measure for stock index price volatility.