本研究以不對稱雙變量GARCH為實證模型，分析亞洲五個股票市場中股價指數與成交量之間的關聯性。實證研究發現，在成交量對成交價之不對稱影響上，除新加坡市場外，其餘市場高變動率之成交量對成交價報酬有較強烈之正向影響。再者，在成交價報酬率對成交量變動率之影響上，證實五個國家之高、低報酬率對成交量之影響皆有顯著之差異性，高報酬率之影響皆較低報酬來得大。其中，韓國與新加坡市場之波動不對稱性最為明顯，台灣市場之波動性不對稱則相對較弱。
This article investigates the asymmetric effects between price returns and volume volatility on the five Asia stock markets, using asymmetric bivariate GARCH model. The empirical results show that high volume volatility are positively related to the price returns in the powerful way except for the Singapore stock market, indicating the asymmetric effects of volume volatility exist on the other four markets. Moreover, the asymmetric effects of price returns significantly exist on all five markets. The influences of higher price return are greater than lower returns. Finally, the stronger asymmetric effects on variance equations exist on the Korea and the Singapore markets, and the asymmetric effects on the Taiwan market is relative weaker.
