英文摘要 |
This paper investigates the unexpected impulse of open interest and trading volume to volatility and related asymmetric effects in Taiwan Stock Exchange Capitalization Weighted Stock Index Futures (TAIEX). Data include daily closing prices, trading volumes and open interests from 1999 to 2009. We use EGARCH and GJR-GARCH models, outstanding open interests and trading volumes partitioned into expected and unexpected ones. We find that trading volumes is significant positive relation to volatility and open interests are significant negative relation. In the asymmetric effect, the impacts of bad news are greater than those of good news. Empirical results are consistent with the expectation theory. |