The Relationship Between Stock Return Volatility and Trading Volume: Evidence from the Investors in the Taiwan Stock Market

摘要

This study investigates the relationship between intraday stock return volatility and trading volume using GARCH model for the Taiwan stock market. The empirical results show that the impact of trading volume on stock return volatility is stronger when stock price decreases than when stock price increases. In general, institutional trading is negatively associated with return volatility, while individual trading lead to an increase in return volatility. The foreign investors and dealers trading among institutional groups trading have statistically significant impacts on return volatility.