本文選取美國S&P 100之46家公司於1998年至2007年的日資料，透過Driscoll and Kraay標準誤估計法與分量迴歸法，探討股票報酬率與交易量變化率在股市週期下(熊/牛市)以及經濟景氣循環下(衰退/復甦期)的非對稱同期關係。
採用處理橫斷面相依性問題的Driscoll and Kraay標準誤估計法，檢定結果發現股票價量關係在熊/牛市之間有顯著非對稱的差異，而衰退/復甦期之間的差異並不顯著。而透過分量迴歸法來檢視價量關係在不同分量下的變化，檢定結果說明股票價量關係在熊/牛市下與衰退/復甦期下皆存在顯著非對稱的差異。本文並依據產業代碼作分類來探討不同產業的價量關係，有助於釐清個別產業之交易量與股票報酬的確切關係。

This paper mainly examines the contemporaneous relationship between stock returns and trading volume. Using daily data for S&P 100 stock price and trading volume from 1998 to 2007, I investigate whether the return-volume relations differs during different phases of stock market cycles and economic business cycles, i.e., whether or not the relationship is asymmetric in bull and bear stock markets as well as in the recovery and the recession. I apply two theories to my study: First, using Driscoll and Kraay standard errors for panel regression with cross sectional dependence. Second, I employ quantile regression model. In contrast, this paper finds that the return-volume relations across two methods are quite different.
In regard to using Driscoll and Kraay standard errors estimated method for panel regression with cross sectional dependence, test results illustrate an significantly asymmetric return-volume relation in bull and bear stock market, but the difference between the recovery and the recession is not statistically significant.
In terms of using quantile regression method, test results also illustrate an significantly asymmetric return-volume relation in stock market cycles and economic business cycles. Finally, in order to clarify the exactly relationship within different industries, this paper categorizes all industries into 22 groups to explore the return-volume relationship.

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