摘要
本研究以台灣加權股價指數之交易量、期望報酬、偏態特性及波動性為研究標的，研究期間為2001 年1 月1 日至2010 年12 月31 日。採用單根檢定、VAR模型分析、Granger 因果關係檢定、衝擊反應函數分析等研究方法進行實證分析，以了解各變數間之關連性，並探討市場偏態特性是否為價格變動的重要考量因素。 研究結果顯示：1.支持隨機泡沫模型論點，當報酬率發生自發性衝擊時，對偏態影響為負向且持續性地反應。2.與 Hutson et al. 實證結果交易量增加，則報酬將呈現較大的負偏現象不一致，故不支持CHS 的論點。 關鍵字：VAR 模型、Granger 因果關係檢定、衝擊反應函數、偏態
並列摘要
This thesis aims to investigate the relationship between the trading volume, expected return, skewness, and volatility for Taiwan Stock Index market during Jan 1, 2001 to Dec. 31, 2010. The unit-root test, vector autoregressive model (VAR), Granger-causality test, and impulse response analysis are adopted for empirical study, with an emphasis on the dynamic correlation between skewness and returns. The empirical results find that, firstly, the theory of economic bubble is supported in that the skewness has negative impacts on the return. Secondly, no evidence shows that the return becomes more negatively skewed, followed by an increase in trading volume, as found in Hutson et al. (2008). Our results, therefore, contradict to Chen, Hong, and Stein (2001).