本文探討期貨價格報酬率與成交量、未平倉量的關係。在實證上，我們將樣本分成三個部分進行，即(一)全部樣本、(二)資料折半、(三)多頭、空頭，另外，我們也考慮拔靴複製10000、100000次來檢驗參數估計的合理性。同時亦區分為三個模型進行比較，實證結果報酬率與成交量的關係，大致呈現非對稱V字價量關係；而報酬率與未平倉量呈非對稱倒V字價量關係。但在空頭的樣本下會使得報酬率與成交量、未平倉量在各分量呈現不顯著的結果，扭曲變數之間的關係。而本文的研究結果可供理論或實務上參考。 This study applies quantile regression model to investigate the relationship between the TX market return rate, the trading volume and the open interest. In empirical study, we divided the data set into three parts, which are (1) all sample, (2) half sample, (3) bull markets and bear markets, respectively. We further used a bootstrap method to test the robustness of parameters. There are a total of three models used to compare the different data sets mentioned above. Results showed an asymmetric V-shaped relationship between TX market return rate and trading volumes.. However, in the bear market condition, the result of the return rate, trading volumes and open interest is not significant. These results can provide a reference for the theory and empirical study.
