An Empirical Analysis of the Taiwan Institutional Trading Volume Volatility Spillover on Stock Market Index Return

Ching-Chun Wei ()
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Ching-Chun Wei: Department of Finance, Providence University

Economics Bulletin, 2009, vol. 29, issue 2, 1264-1275

Abstract: This paper provides interesting empirical evidence on the relation between the volatility impact effect of the Taiwan institutional trading volume and the stock market index by using the MEGARCH model. We found a significant autoregressive coefficient of institutional trading volume and stock market index. The cross-volatility spillover effect, asymmetric leverage effect, and persistence of volatility effect are statistically significant. The feedback and lead-lag relationship between trading volume and stock index return are also statistically significant. Therefore, Taiwan¡¦s institutional trading volume can affect the stock market index through volatility effect and causality.

JEL-codes: G1 (search for similar items in EconPapers)
Date: 2009-06-05
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