股票報酬率與交易量的關係，不僅僅說明了股票市場的動態結構以及效率性，同時說明內部訊息對於整體市場的影響。而討論股價波動究是由何種交易型態所推動的相關文獻中，提出了理論上的證據，即中額交易、交易頻繁市場可能包含內部訊息交易，因此推動股價變動，但尚未有學者將股價的波動情形區分為向上、向下、無方向，本篇論文與之前文獻最大不同之處，即是先將股價波動區分為上述三種類型，再分析該波動主要係由何種交易所推動。

　　本研究參考Barclay and Warner(1993)驗證之隱藏性交易假說之方法，並比較分析美國S&P100樣本公司之累積股價波動比例與累積交易次數比例。實證結果發現，在股價波動屬於有方向性的樣本(向上方向性樣本與向下方向性樣本)中，股價波動主要都是由中額交易搭配交易頻繁市場所推動，與過去相關文獻相符合。本篇論文研究樣本並不侷限於股價報酬高於市場報酬的公司(隱含有內部交易存在)，因此結論更具一般性。

　The relationship between stock return and volume not only shows the dynamic structure of the stock market, but also illustrates the influence of inside information on the market. Related to what kinds of trades drive stock price, literature has already provided theoretical evidence that medium-size trades and thick-market period may contain inside trading and may in turn move the price. However, little literature talks about the impact of types of trades on different directional volatility, so we first classify price volatility into upward, downward and unidirectional categories and try to find out what kind of trades drive stock price in different categories of price volatility.

　We follow the method of Barclay and Warner (1993) and compare the proportion of cumulative price change with the proportion of the cumulative trades. Consistent with previous studies, our results reveal that medium-size coupled with thick-market trades display the most disproportionately largest percentage of cumulative price changes relative to their percentage of all trades both in the upward trend of volatility and in the downward trend of volatility. Since we use S&P100 companies, our findings are more generalized and can be applied to all the listed firms on NYSE.

1.Admati, A. R., and P. Pfleiderer, “A Theory of Intraday Trading Patterns: Volume and Price Variability.” Review of Financial Studies, 1998, Vol.1, 3-40.
2.Andersen, T. G., “Return olatility and Trading Volume：An Information Flow Interpretation of Stochastic Volatility,” Journal of Finance, 1996, Vol.51, 170-204.
3.Barclay, M. J., C. G. Dunbar, and J. B. Warner, “Stealth and Volatility: Which Trades Move Prices?”, Journal of Financial Economics, 1993, Vol.34, 281-306.
4.Chakravarty, S., “Stealth-trading: Which Traders’ Trades Move Stock Prices?”, Journal of Financial and Quantitative Analysis, 1999, Vol.34, 191-209.
5.Chan, K., and W. Fong, “Trading Size, Order Imbalance, and the Volatility-Volume Relation”, Journal of Financial Economics, 2000, Vol.57, 247-273.
6.Cornell, Rick, “ANOVA and Regression: Practical Applications Course Notes”, SAS Institute Inc.
7.Easley, D., and M. O’Hara, “Price, Trade Size and Information in Securities Market”, Journal of Financial Economics, 1987, Vol.19, 69-90.
8.Easley, D., and M. O’Hara, “Time and Process of Security Price Adjustment”, Journal of Finance, 1992, Vol.47, 577-605.
9.Easley, D. N., M. Kiefer, M. O’Hara, and J. B. Paperman, “Liquidity, Information, and Infrequently Traded Stocks”, Journal of Finance, 1987, Vol.51, 1405-1436.
10.Epps, Thomas W., and Mary Lee Epps, “The Stochastic Dependence of Security Price Change and Transaction Volumes: Implication for the Mixture-of-Distribution Hypothesis”, Econometrica, 1976, Vol.44, no.2, 305-321.
11.Glosten, Lawrence R., and Paul R. Milgrom, “Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders”, Journal of Financial Economics, 1985, Vol. 14, 71-100.
12.Grossman, Sanford J., and Joseph E. Stiglitz, “On the Impossibility of Informationally Efficient Markets”, The American Economic Review, 1980, Vol. 70, 393.
13.Harris, L., “Transaction Data Test of the Mixture of Distributions Hypothesis”, Journal Financial and Quantitative Analysis, 1987, Vol.22, no.2, 127-141.
14.Jones, C. M., G. Kaul, and M. L. Lipson, “Information, Trading, and Volatility”, Journal of Finance Economics, 1994, Vol.36, 127-154.
15.Kyle, Albert S., “Continuous auctions and insider trading”, Econometrica, 1985, Vol.53, 1315-1335.
16.Rutherford, Andrew, “Introducing ANOVA and ANCOVA-a GLM Approach”, SAGE Publications.
17.Tay, Anthoy, Christopher Ting, Yiu-Kuen Tse, and Mitch Warachka, “Transaction-Data Analysis of Marked Durations and Their Implications for Market Microstructure”, Working Paper, 2004.
18.Tauchen, George E., and Mark Pitts, “The Price Variability-Volume Relationship on Speculative Markets”, Econometrica, 1983, Vol.51, no.2, 485-505.