本研究目的在於探討已開發國家及新興市場國家的股市是否存在價量不對稱性，而形成價量間不對稱的原因是否為投資人的行為偏誤所導致。實證上分別探討已開發國家的美國股市以及新興市場的中國股市，本研究透過GARCH(1, 1)-X、EGARCH(1, 1)-X及GJR-GARCH(1, 1)-X模型對樣本國家進行價量不對稱性的分析，接著再更進一步探討造成價量不對稱的原因是否為從眾行為及過度自信行為所致。實證結果顯示: 一、透過GARCH、EGARCH及GJR-GARCH模型檢測本研究中的樣本國家，結果顯示已開發國家及新興市場國家皆存在價量的不對稱性。 二、股市存在價量的不對稱性並進一步以行為財務(如從眾行為及過度自信等)探討導致價量不對稱性的因素，結果發現無論已開發國家或新興市場國家從眾行為及過度自信皆為造成價量不對稱性的原因。 This research aims to investigate if stock market in developed countries and emerging market countries exist the asymmetry of price-volume relationship, and if herd behavior and overconfidence is the cause of price and volume asymmetry. Empirically investigate separately the US stock market and Chinese stock market. In this study, we adapt GARCH(1, 1)-X、EGARCH(1, 1)-X and GJR-GARCH(1, 1)-X models to analysis asymmetry of price-volume relationship, and then further investigate the cause of price and volume asymmetry whether herd behavior and overconfidence caused. The empirical results found that, (1)Using GARCH(1, 1)-X、EGARCH(1, 1)-X and GJR-GARCH(1, 1)-X models to analyze asymmetry of price-volume relationship found that the US stock market and Chinese stock market exist the asymmetry of price-volume relationship. (2)We further investigate the cause of price and volume asymmetry whether herd behavior and overconfidence caused. We found that both developed countries and emerging market countries herd behavior and overconfidence are cause of price and volume asymmetry.
