本論文以台灣加權股價指數與指數期貨為主要研究對象，研究期間取自2008年1月2日至2009年9月30日，每5分鐘與每15分鐘之成交價和成交量等日內資料。透過線性迴歸、GJR-GARCH(1,1)、GJR-GARCH-X(1,1)等模型，檢測台灣加權股價指數正負報酬對於期貨指數成交賣量之影響，是否存在價量不對稱效果。 實證結果發現:1.當台灣加權股價指數報酬率下跌時，指數期貨之成交量增加，顯示兩者間具有價量不對稱關係；2. 此價量不對稱關係，在台灣加權股價指數為負報酬時，較為顯著；3.價量不對稱效果亦存在於自營、投信、外資三大法人和自然人之間，且正、負現貨報酬率對於自然人和外資等成交賣量之影響，具有存在不對稱效果。 由於台灣加權股價指數正負報酬對於期貨指數成交賣量存在不對稱效果，且在現貨負報酬的情況下較正報酬明顯，主要原因可能來自於在權益市場中，交易人認為放空成本高於多頭部位的成本，因此放空限制增加了不對稱性；而在期貨市場中，價量不對稱關係可能來自於不對稱的交易者資訊問題。 This study demonstrates that intraday volume and return on stock index and index future in Taiwan exhibit an asymmetric volume-return relationship characterized by significantly larger volume associated with negative returns than with non-negative returns. The sample period of Taiwan stock index and index future covers from 1/2/2008 to 9/30/2009, and GJR-GARCH(1,1) model is applied. The major finding of this study are described as follows: 1.The volume of index future increases while the return of the stock price decreasing , this confirms that there lies the asymmetric volume-return relation。 2.The asymmetric volume-return relation is obvious while Taiwan stock index presents negative returns. 3.The asymmetric volume-return relation is also existing among dealers, securities investment trust companies, foreign investors and individual traders. To sum up, there is the asymmetric volume-return relation between futures market and equity market, which is more significant on non-negative returns rather than on positive return due to the fact that traders are inclined to believe that the costly short sale is higher than the cost of long-sale so that the short-sale restriction increases the asymmetric relation in equity market. In addition to that, the asymmetric volume-return relation maybe is derived from the information problem of asymmetric dealers.
