The causality of hourly price-volume relationship: An empirical study of mini Taiwan exchange futures

Authors:
Hui-Miao Cheng;Kuo-Ching Ying
Affiliations:
Department of Information Management, China University of Technology, Taipei 116, Taiwan;Department of Industrial Management and Management Information, Huafan University, No. 1, Huafan Road, Taipei, Taiwan
Venue:
Expert Systems with Applications: An International Journal
Year:
2009

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Abstract

This study empirically investigates the causality between prices and volume in mini Taiwan exchange (MiNi-TAIEX) futures. Using hourly data from the MiNi-TAIEX futures prices and trading volume, the Granger causality test was applied to examine the price-volume relationship. The results show that there is a significant long-run and bidirectional causality between hourly prices and trading volume. The finding of this study can provide a future expert system with useful information about whether the knowledge of past future price movements can improve the short-run forecasts of current and future movements of trading volume, and vice versa. In addition, the analytical results may prove useful for future theoretical and empirical work on the future market.