台灣期貨交易所於2002年7月29日將期貨市場之盤中交易方式由過去的集合競價改成連續競價。本研究以流動性比率分析與P-GARCH(1, 1)模型檢驗此次價格撮合制度的改變對市場環境品質的影響，並比較不同交易表現之期貨契約的最適價格撮合制度。同時，本研究遵從Bessmbinder and Seguin (1993)的研究方法分析台灣期貨市場之波動-成交量關係；並檢驗價格撮合制度的改變對此波動-成交量關係之影響。
　　研究結果發現，期貨市場改成連續競價後，台股指數期貨的市場流動性與訊息效率明顯改善，而日內波動則稍有下降，而電子指數期貨和金融指數期貨雖然流動性提高，日內波動降低，但其訊息效率的表現卻是明顯不如過去。這個結果顯示，對交易熱絡的期貨而言，連續競價乃最適的價格撮合制度，但對交易冷清的期貨來說，連續競價卻不一定是個較好的交易方式。
　　與過去相關研究的發現相同，台灣期貨市場的成交量與市場波動存在著正向關係，而未平倉數則與波動存在負向的關係。預期與非預期的成交量和未平倉數等交易活動變數，以非預期成份對報酬波動的影響較大。價格撮合制度對日報酬之波動-成交量關係造成的影響不大，這可能是價格撮合制度的改變只適用於盤中階段，而收盤時的價格撮合制度並未改變所致。
　　此外，電子指數期貨和金融指數期貨之波動-成交量關係比台股指數期貨來得強烈。相較於集合競價，台股指數期貨之預期成交量和非預期未平倉數對波動的效果，以及非預期未平倉數減緩非預期成交量對波動效果的程度在連續競價制度下比較大，非預期成交量相對預期成交量對波動效果的倍數則是比較小；而電子指數和金融指數二個期貨的情況卻剛好相反。這些證據顯示期貨契約之波動-成交量關係似乎與該契約的交易表現存在某種關係。

　The Taiwan futures market altered its price formation process of middle trading session from call auction to continuous auction on July 29, 2002. This dissertation investigates the effects of price formation process on the futures market quality by analyzing the liquidity ratio and P-GARCH (1, 1) model. Also, the optimal price formation processes for futures contracts with which trading performance are different are compared. Meanwhile, we use the method of Bessmbinder and Seguin (1993) to examine the volatility-volume relations for the Taiwan futures market, and investigate the effects of price formation process on the volatility-volume relations.
　The paper shows that for Taiwan Stock Index Futures (TX) liquidity and information efficiency are improved significantly, and the intraday volatility reduced, not significantly though, after transferring into the continuous auction. For the other two futures contracts, The Electronic Sector Index (TE) and the Banking and Insurance Sector Index (TF), continuous auction is helpful to increase liquidity and decrease volatility, but it is harmful to information efficiency. The results indicate that the continuous auction is optimal for the highly traded futures contracts, yet it may not for the thinly traded ones.
　Consistent with previous studies, we find that the trading volume is positively related to daily returns volatility, and the open interest is negatively related to volatility. The effects of unexpected components of trading volume and open interest on volatility are larger than those of expected components. The effect of price formation process on volatility-volume relations is not notable, which may because that the new price formation process is only applied to the middle trading session and remains the closing session unchanged.
　Besides, I found that the relations between volatility and trading activities are much stronger for TE and TF than for TX. Furthermore, under continuous auction the effects of expected trading volume and unexpected open interest on volatility and the magnitude of an increase in unexpected open interest lessens the impact of an unexpected trading volume on volatility is larger, and the ratio of unexpected volume effect on volatility to expected volume effect on volatility is smaller for TX, and all are reversed for TE and TF. The evidences show that an unknown linkage between the market performance and the volatility-volume relations exists.

李志宏 (1999)，「交易制度對價格執行及資訊解析之影響：以SIMEX及OSE為例」證券市場發展季刊，11卷，1期，1-24。
吳壽山、周賓凰 (1996)，「衡量漲跌幅限制對股票報酬與風險之影響」，證券市場發展季刊，8卷，1期，1-29。
周行一、劉玉珍、李志宏、李怡宗 (1999)，台灣證券交易所集合競價制度下二檔限制之影響，台灣證券交易所。
馬黛、廖怡玲 (2000)，「交易時間、交易行為與股市績效：臺灣股市隔週休二日之實證」，中國財務學刊，8卷，2期，79-105。
黃玉娟、李羿儒、陳百芳、張誌成 (2002)，「延長交易時間對市場績效之影響－以SGX-DT摩根台指期貨為例」，企銀季刊，25卷，2期，143-171。
詹場、胡星陽 (2001)，「流動性衡量方法之綜合評論」國家科學委員會研究彙刊：人文及社會科學，11卷，3期，205-211。
Amdmati, A. R., and P. Pfleiderer (1988), “A Theory of Intraday Patterns: Volume and Price Variability,” Review of Financial Studies, 1:1, 3-40.
Amihud, Y., and H. Mendelson (1986), “Asset Pricing and the Bid-Ask Spread,” Journal of Financial Economics, 17, 223-249.
Amihud, Y., and H. Mendelson (1987), “Trading Mechanisms and Stock Returns: An Empirical Investigation,” Journal of Finance, 42:3, 533-553.
Amihud, Y., and H. Mendelson (1988), “Liquidity, Volatility, and Exchange Automation,” Journal of Accounting, Auditing & Finance, 3:4, 369-395.
Amihud, Y., and H. Mendelson (1991), “Volatility, Efficiency, and Trading: Evidence from the Japanese Stock market,” Journal of Finance, 46:5, 1765-1789.
Amihud, Y., Mendelson, H., and H. Lauterbach (1997), “Market Microstructure and Securities Values: Evidence from the Tel Aviv Stock Exchange,” Journal of Financial Economics, 45, 365-390.
Andersen, T. G. (1996), “Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility,” Journal of Finance, 51:1, 169-204.
Andersen, T. G., and T. Bollerslev (1997), “Intraday Periodicity and Volatility Persistence in Financial Markets,” Journal of Empirical Finance, 4, 115-158.
Andersen, T. G., and T. Bollerslev (1998), “DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements and Longer Run Dependencies,” Journal of Finance, 53, 219-265.
Andersen, T. G., Bollerslev, T., Diebold, F. X., and H. Ebens (2001), “The Distribution of Stock Return Volatility,“ Journal of Financial Economics, 61:1, 43-76.
Antoniou, A., and P. Holmes (1995) “Futures Trading, Information and Spot Price Volatility: Evidence for the FTSE-100 Stock Index Futures Contract Using GARCH” Journal of Banking & Finance, 19, 117-129.
Barclay, M. J., Litzenberger, R. H., and J. B. Warner (1990), “Private Information, Trading Volume, and Stock-Return Variances,” Review of Financial Studies, 3:2, 233-254.
Bekaert, G., and G. Wu (2000), “Asymmetric Volatility and Risk in Equity Markets,“ Review of Financial Studies, 13, 1-42.
Bessembinder, H., and, P. J. Seguin (1992), “Futures-Trading Activity and Stock Price Volatility,” Journal of Finance, 47:5, 2015-2034.
Bessembinder, H., and P. J. Seguin (1993), “Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets,” Journal of Financial and Quantitative Analysis, 28:1, 21-39.
Black, F. (1976), “Studies of Stock Price Volatility Changes,” Proceedings of the 1976 Meetings of the American Statistical Association, Business and Economic Statistics, 177-181.
Bloomfeild, R., and M. O’Hara (1999), “Market Transparency－Who Wins and Who Loses?” Review of Financial Studies, 12:1, 5-35.
Bollerslev, T., and E. Ghysels (1996), “Periodic Autoregressive Conditional Heteroscedasticity,” Journal of Business & Economic Statistics, 14:2, 139-151.
Campbell, J. Y. and, L. Hentschel (1992), “No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns,” Journal of Financial Economics, 31, 281-331.
Chan, K., and W. M. Fong (2000), “Trade Size, Order Imbalance, and The Volatility-Volume Relation,” Journal of Financial Economics, 57, 247-273.
Christie, W. G., and R. D. Huang (1994) “Market Structures and Liquidity: A Transactions Data Study of Exchange Lisitings,” Journal of Financial Intermediation, 3, 300-326.
Christie, A. A. (1982), “The Stochastic Behavior of Common Stock Variances－Value, Leverage and Interest Rate Effects,” Journal of Financial Economics, 3, 145-166.
Christie, W. G., Corwin, S. A., and J. H. Harris (2002), “Nasdaq Trading Halts: The Impact of Market Mechanisms on Prices, Trading Activity, and Execution Costs,” Journal of Finance, 57:3, 1443-1478.
Ciner, C. (2002), “The Stock Price-Volume Linkage on the Toronto Stock Exchange: Before and After Automation,” Review of Quantitative Finance and Accounting, 19, 335-349.
Cornell, B. (1981), “The Relationship between Volume and Price Variability in Futures Markets,” Journal of Futures Markets, 1:3, 303-316.
Chang, R. P., Fukuda, T., Rhee, S. G., M. and Takano (1993), “Intraday and Interday Behavior of the TOPIX,” Pacific-Basin Finance Journal, 1, 67-95.
Chang R. P., Hsu, S. T., Huang, N. K., and S. G. Rhee (1999), “The Effects of Trading Methods on Volatility and Liquidity: Evidence from the Taiwan Stock Exchange,” Journal of Business Finance and Accounting, 26:1&2, 137-170.
Chang, R. P., Rhee, S. G., and S. Soedigno (1995), “Price Volatility of Indonesian Stocks,” Pacific-Basin Finance Journal, 3, 337-355.
Chen, H. (1998), “Price Limits, Overreaction, and Price Resolution in Futures Markets,” Journal of Futures Markets, 18:3, 243-263.
Chen, Y. M. (1993), “Price Limits and Stock Market Volatility in Taiwan,” Pacific- Basin Finance Journal, 1, 139-153.
Choe, H., and H. S. Shin (1993), “An Analysis of Interday and Intraday Return Volatility－Evidence from the Korea Stock Exchange,” Pacific-Basin Finance Journal, 1:2, 175-188.
Clark, P. K. (1973),” A Subordinated Stochastic Process Model with Finite Variance for Speculative Pries,” Econometrica, 41:1, 135-155.
Clements, M. P., and N. Taylor (2003), “Evaluating Interval Forecasts of High-Frequency Financial Data,” Journal of Applied Econometrics, 18, 445-456.
Corwin, S. A., and M. L. Lipson (2000), “Order Flow and Liquidity around NYSE Trading Halts,” Journal of Finance, 55:4, 1771-1801.
Daigler, R. T., and M. K. Wiley (1999), “The Impact of Trader Type on the Futures Volatility-Volume Relation,” Journal of Finance, 54:6, 2297-2316.
Dhillon, U. S., Lasser, D. J., and T. Watanabe (1997), “Volatility, Information, and Double versus Walrasian Auction Pricing in US and Japanese Futures Markets,” Journal of Banking & Finance, 21, 1045-1061.
Downing, C., and F. Zhang (2004), “Trading Activity and Price Volatility in the Municipal Bond Market,” Journal of Finance, 59:2, 899-931.
Drost, F. C., and T. E. Nijman (1993),” A Long Memory Property of Stock Market Returns and a New Model,” Journal of Empirical Finance, 1, 83-106.
Drost, F. C., and B. J. M. Werker (1996), “Closing the GARCH Gap: Continuous Time GARCH Modeling,” Journal of Econometrics, 74, 31-57.
Epps, T. W., and M. L. Epps (1976), “The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis,” Econometrica, 44:2, 305-321.
Fishe, R., and L. Goldberg (1986),” The Effects of Margins on Trading in Futures Markets,”Journal of Futures Markets, 6:2, 261-272.
Fishe, R., Goldberg, L., Gosnell, T., and S. Sinha (1990), “Margin Requirements, in Futures Markets; Their Relationship to Price Volatility,” Journal of Futures Markets, 10:5, 541-554.
Flood, M. D., Huisman, R., Koedijk. K. G., and R. J. Mahieu (1999), “Quote Disclosure and Price Discovery in Multiple-Dealer Financial Markets,” Review of Financial Studies, 12:1, 37-59.
Foster, F. D., and S. Vishwanathan (1990), “A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets,” Review of Financial Studies, 3:4, 593-624.
Gallant, A. R., Rossi, P. E., and G. Tauchen (1992), “Stock Prices and Volume,” Review of Financial Studies, 5:2, 199-242.
Garcia, P., Leuthold, R. M., and H. Zapata (1986), “Lead-Lag Relationships between Trading Volume and Price Variability: New Evidence,” Journal of Futures Markets, 6:1, 1-10.
Garbade, K. D., W. L. Silber (1979), “Structural Organization of Secondary Markets: Clearing Frequency, Dealer Activity and Liquidity Risk,” Journal of Finance, 34:3, 577-593.
Gau, Y. F., and M. Hau (2004),” Public Information, Private Information, Inventory Control, and Volatility of Intraday NTD/USD exchange rates,” Applied Economics Letters, 11, 263-266.
George, T. J., and C. Y. Hwang (1995), “Transitory Price Changes and Price-Limit Rules: Evidence from the Tokyo Stock Exchange,” Journal of Financial and Quantitative Analysis, 30:2, 313-327.
Gerety, M. S., and J. H. Mulherin (1994), “Price Formation on Stock Exchanges: The Evolution of Trading within the Day,” Review of Financial Studies, 7:3, 609-629.
Goldman, M. B., and H. B. Sosin (1979), “Information Dissemination, Market Efficiency and the Frequency of Transactions,” Journal of Financial Economics, 7, 29-61.
Grammatikos, T., and A. Saunders (1986), “Futures Price Variability: A Test of Maturity and Volume Effects,” Journal of Business, 59:2, 319-330.
Greenwald, B. C., and J. C. Stein (1988), “The Task Force Report: The Reasoning behind the Recommendations,” Journal of Economics Perspectives, 2, 3-23.
Greenwald, B. C., and J. C. Stein (1991), “Transactional Risk, Market Crashes, and the Role of Circuit Breakers,” Journal of Business, 64, 443-462.
Grundy, B. D., and M. McNichols (1989), “Trade and Revelation of Information through Prices and Direct Disclosure,” Review of Financial Studies, 2:4, 495-526.
Harris, L. (1986a), “A Transaction Data Study of Weekly and Intradaily Patterns in Stock Returns,” Journal of Financial Economics, 16, 99-117.
Harris, L. (1986b), “Cross-Security Tests of the Mixture of Distributions Hypothesis,” Journal of Financial and Quantitative Analysis, 21:1, 39-46.
Harris, L. (1987), “Transaction Data Tests of the Mixture of Distributions Hypothesis,” Journal of Financial and Quantitative Analysis, 22:2, 127-141.
Harris, M., and A. Raviv (1993), “Differences of Opinion Make a Horse Race,” Review of Financial Studies, 6:3, 473-506.
Hasbrouck, J. (1993), “Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement,” Review of Financial Studies, 6:1, 191-212.
Hasbrouck, J., and R. A. Schwartz (1988), “Liquidity and Execution Costs in Equity Markets,” Journal of Portfolio Management, 14, 10-16.
Hauser, S., and A. Levy (1998), “Efficiency of Price Discovery in Thinly Traded Stocks: Evidence from Dual Listings in Tel Aviv and the OTC,” Multinational Finance Journal, 2:2, 133-149.
Hauser, S., Levy, A., and Yaari, U. (2001), “Trading Frequency and the Efficiency of Price Discovery in A Non-Dealer Market,” European Journal of Finance, 7, 187-197.
Holden, C. W., and A. Subrahmanyam (1992), “Long-Lived Private Information and Imperfect Competition,” Journal of Finance, 47:1, 247-270.
Holthausen, R. W., and R. E. Verrecchia (1990), “The Effect of Informedness and Consensus on Price and Volume Behavior,” Accounting Review, 65:1, 191-208.
Houston, J. F., and M. D. Ryngaert (1992), “The Links between Trading Time and Market Volatility,” Journal of Financial Research, 15:2, 91-100.
Hsieh, D., and M. Miller (1990), “Margin Regulation and Stock Market Volatility,” Journal of Finance, 45:1, 3-30.
Huang, Y. H., Fu, T. W., and M. C. Ke (2001), “Daily Price Limits and Stock Price Behavior: Evidence from the Taiwan Stock Exchange,” International Review of Economics and Finance, 10, 163-288.
Huang, Y. S., Liu, D. Y., and T. W. Fu (2000), “Stock Price Behavior over Trading and Non-trading periods: Evidence from the Taiwan Stock Exchange,” Journal of Business Finance and Accounting, 27:5&6, 575-602.
Huang, R., and H. Stoll (1996), “Dealer versus Auction Markets: a paired comparison of Execution Costs on NASDAQ and the NYSE,” Journal of Finance, 40:1, 21-42.
Jacquier, E., Polson, N. G., and P. E. Rossi (1994), “Bayesian Analysis of Stochastic Volatility Models,” Journal of Business & Economic Statistics, 12, 371-390.
Jones, C. M., Kaul, G., and M. L. Lipson (1994), “Transactions, Volume and Volatility,” Review of Financial Studies, 7:4, 631-651.
Kairys, J. P., Kruza, R., and R. Kumpins (2000), “Winners and Losers from the Introduction of Continuous Variable Price Trading: Evidence from the Riga Stock Exchange,” Journal of Banking and Finance, 24, 603-624.
Kalay, A., Wei, L., and A. Wohl (2002), “Continuous Trading or Call Auctions: Revealed Preferences of Investors at the Tel Aviv Stock Exchange,” Journal of Finance, 57:1, 523-542.
Karpoff, J. M. (1987), “The Relation between Price Changes and Trading Volume: A Survey,” Journal of Financial and Quantitative Analysis, 22:1, 109-126.
Khan, A. W., and H. K. Baker (1993), “Unlisted Trading Privileges, Liquidity, and Stock Returns,” Journal of Financial Research, 16:3, 221-236.
Kim, D., and S. J. Kon (1994), “Alternative Models for the Conditional Heteroskedasticity of Stock Returns,” Journal of Business, 67, 563-598.
Kim, K. A., and S. G. Rhee (1997), “Price Limit Performance: Evidence from the Tokyo Stock Exchange,” Journal of Finance, 52:2, 885-901.
Kim, O., and R. E. Verrecchia (1991), “Market Reaction to Anticipated Announcements,” Journal of Financial Economics, 30, 273-309.
Kupiec, P. H. (1993), “Futures Margins and Stock Price Volatility: Is There Any Link?” Journal of Futures Markets, 13:6, 677-691.
Kyle, A. S. (1985), “Continuous Auctions and Insider Trading,” Econometrica, 53:6, 1315-1335.
Lam, P. H. L., and W. H. S. Tong (1999), “Interdaily Volatility in a Continuous Order- Driven Market,” Journal of Business Finance and Accounting, 26:7&8, 1013-1036.
Lamoureux, C., and W. Lastrapes (1990), “Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects,” Journal of Finance, 45, 221-229.
Lang, L. H. P., and Y. T. Lee (1999), “Performance of Various Transaction Frequencies under Call Markets: The Case of Taiwan,” Pacific-Basin Finance Journal, 7, 23-39.
Lauterbach, B. (2001), “A Note on Trading Mechanism and Securities’ Value: The Analysis of Rejects from Continuous Trade,” Journal of Banking and Finance, 25, 419-430.
Lee, C. M. C., Ready, M. J., and P. J. Seguin (1994), “Volume, Volatility, and New York Stock Exchange Trading Halts,” Journal of Finance, 49:1, 183-1214.
Ma, C. K., Rao R. P., and R. S. Sears (1989), “Volatility, Price Resolution, and the Effectiveness of Price Limits,” Journal of Financial Services Research, 3, 165-199.
Madhavan, A. (1992), “Trading Mechanisms in Securities Markets,” Journal of Finance, 47:2, 607-641.
Madhavan, A. (1996), “Security Prices and Market Transparency,” Journal of Financial Intermediation, 5:3, 255-283.
Madhavan, A., and V. Panchapagesan (2000), “Price Discovery in Auction Markets: A Look Inside the Black Box,” Review of Financial Studies, 13:3, 627-658.
Malliaris, A. G., and J. L. Urrutia (1998), “Volume and Price Relationships: Hypotheses and Testing for Agricultural Futures,” Journal of Futures Markets, 18:1, 53-72.
Martens, M., Chang, Y. C., and Taylor, S. J. (2002), “A Comparison of Seasonal Adjustment Methods when Forecasting Intraday Volatility,” Journal of Financial Research, 25:2, 283-299.
McMillan, D. G., and A. E. H. Speight (2004), “Intraday Periodicity, Temporal Aggregation and Time-to-maturity in FTSE-100 Index Futures Volatility,” Applied Financial Economics, 14, 253-263.
Mendelson, H. (1982), “Market Behavior in a Clearing House,” Econometrica, 50, 1505-1524.
Mian, G. M., and C. M. Adam (2001), “Volatility Dynamics in High Frequency Financial Data: An Empirical Investigation of the Australian Equity Returns,” Applied Financial Economics, 11, 341-352.
Morgan, I. G. (1976), “Stock Prices and Heteroskedasticity,” Journal of Business, 49, 496-508.
Moosa, I. A., and P. Silvapulle (2000), “The Price-Volume Relationship in the Crude Oil Futures Market: Some Results Based on Linear and Nonlinear Causality Testing,” International Review of Economics and Finance, 9, 11-30.
Muscarella, C. J., and M. S. Piwowar (2001), “Market Microstructure and Securities Values: Evidence from the Paris Bourse,” Journal of Financial Markets, 4, 209-229.
Pagano, M., and A. Roell (1992), “Auction and Dealership Markets: What is the Difference?” European Economic Review, 36:2&3, 613-623
Pagano, M., and A. Roell (1996), “Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading,” Journal of Finance, 51:2, 579-611.
Ragunathan, V., and A. Peker (1997), “Price Volatility, Trading Volume, and Market Depth: Evidence from the Australian Futures Market,” Applied Financial Economics, 7, 447-454.
Reinganum, M. (1990), “Market Microstructure and Asset Pricing,” Journal of Financial Economics, 28:2, 127-147.
Rhee, S. G., and R. P. Chang (1993), “The Microstructure of Asian Equity Markets,” Journal of Financial Services Research, 6:4, 437-454.
Ronen, T. (1997), “Tests and Properties of Variance Ratios in Microstructure Studies,” Journal of Financial and Quantitative Analysis, 32, 183-204.
Ronen, T. (1998), “Trading Structure and Overnight Information: A Natural Experiment from the Tel-Aviv Stock Exchange,” Journal of Banking and Finance, 22, 489-512.
Salinger, M. (1989), “Stock Market Margin Requirements and Volatility: Implications for Regulation of Stock Index Futures,” Journal of Financial Services Research, 3:2&3, 121-138.
Shalen, C. T. (1993), “Volume, Volatility, and the Dispersion of Beliefs,” Review of Financial Studies, 6:2, 405-434.
Schnitzlein, C. (1996), “Call and Continuous Trading Mechanisms under Asymmetric Information: An Experimental Investigation,” Journal of Finance, 51:2, 613-636.
Schwert, G. W. (1990), “Stock Volatility and the Crash of ’87,” Review of Financial Studies, 3:1, 77-102.
Schwert, G. W., and P. J. Seguin (1990),“ Heteroskedasticity in Stock Returns,“ Journal of Finance, 45:4, 1129-155.
Schwert, G. W. (1989), “Why Does Stock Market Volatility Change over Time?” Journal of Finance, 44:5, 1115-1153.
Shanker, L., and N. Balakrishnan (2005), “Optimal clearing margin, Capital and Price Limits for Futures Clearinghouses,” Journal of Banking & Finance, 29:7, 1611-1644.
Shastri, K. A., Shastri, K., and K. Sirodom (1995), “Trading Mechanisms and Return Volatility: An Empirical Analysis of the Stock Exchange of Thailand,” Pacific-Basin Finance Journal, 3, 357-370.
Stoll, H. R. (1992), “Principles of Trading Market Structure,” Journal of Financial Services Research, 6, 75-107.
Stoll, H. R., and R. E. Whaley (1990), “Stock Market Structure and Volatility,” Review of Financial Studies, 3:1, 37-71.
Tauchen, G., Zhang, H., and M. Liu (1996), ”Volume, Volatility and Leverage: A Dynamic Analysis,“ Journal of Econometrics, 74, 177-208.
Tauchen, G. E., and M. Pitts (1983), “The Price Variability-Volume Relationship on Speculative Markets,” Econometrica, 51:2, 485-505.
Taylor, N. (2004), “Modeling Discontinuous Periodic Conditional Volatility: Evidence from the commodity Futures Market,” Journal of Futures Markets, 24:9, 805-834.
Theisen, E. (2000), “Market Structure, Informational Efficiency and Liquidity: An Experimental Comparison of Auction and Dealer Markets,” Journal of Financial Market, 3, 333-363.
Van Boening, M., Williams, A., and S. LaMaster (1993), “Price Bubbles and Crashes in Experimental Call Markets,” Economics Letters, 41, 179-185.
Watanabe, T. (2000), “Bayesian Analysis of Dynamic Bivariate Mixture Models: Can They Explain the Behavior of Returns and Trading Volume?” Journal of Business & Economic Statistics, 18:2, 199-210.
Watanabe, T. (2001), “Price Volatility, Trading Volume, and Market Depth: Evidence from the Japanese Stock Index Futures Market,” Applied Financial Economics, 11, 651-658.
Westerfield, R. (1977), “The Distribution of Common Stock Price Changes: An Application of Transactions Time and Subordinated Stochastic Models,” Journal of Financial and Quantitative Analysis, 12, 743-765.
Wood, R. A., McInish, T. H., Ord, J. K., and G. Tauchen (1985), “An investigation of transaction data for NYSE stocks, Journal of Finance, 40:3, 723-739
Wu, C. (2004), “Information Flow, Volatility and Spreads of Infrequently Traded Nasdaq Stocks,” Quarterly Review of Economics and Finance, 44:1, 20-43.
Wu, G. (2001), “The Determinants of Asymmetric Volatility,” Review of Financial Studies, 14, 837-859.