本文重新檢視長期以來備受討論的價格與成交量的關係，回應兩項核心問題：「價量不對稱性」與「線性估計不穩定性」。傳統文獻多著重於樣本平均意義下的線性Granger因果檢定。因此對於價格是否解釋未來成交量、成交量是否具有預測後續報酬之能力，以及兩者同步關係有較多著墨，基於前兩項核心問題導致各自結論相左，缺乏統一的說法。本文主張，價量因果關係可能在本質上具有狀態依賴與非線性特徵，必須在分位數層次加以辨識與描述。實證結果顯示，成交量與報酬率大致呈現正向關係，主要反映「價量齊揚」現象，但對「價跌量縮」僅提供有限支持。相較之下，周轉率更能捕捉尾端市場狀態，在低報酬分位數下呈現「價跌量增」，在高報酬分位數下則呈現「價量齊揚」，說明臺灣股市價量關係具有非線性、狀態依賴與尾部不對稱特徵。

This study revisits the price–volume relationship by addressing two key issues: price–volume asymmetry and the limitations of linear estimation. Prior literature, largely based on linear Granger causality tests, has produced mixed and inconclusive results. We argue that the price–volume relationship is probably inherently nonlinear and state-dependent, and should be examined at the quantile level. Empirical results show that trading volume and returns are generally positively associated, reflecting price–volume co-movement in rising markets, with only limited support for declining prices accompanied by shrinking volume. Turnover more effectively captures tail behavior, exhibiting increased trading activity during price declines at lower return quantiles and strong co-movement at higher quantiles. These findings highlight the nonlinear, state-dependent, and asymmetric nature of the price–volume relationship in Taiwan’s stock market.

中文文獻
莊家彰、管中閔，2005。台灣與美國股市價量關係的分量迴歸分析，經濟論文，第34卷第4期，379 – 404頁。

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