金融商品的價格變動是投資人用以判斷獲利與否的重要工具，因為價格變動不易精確預測，所以常利用其他變數輔助預測價格變動，其中以交易量最常被投資人用來分析價格變動。本文是利用台灣首檔指數型股票基金「台灣50指數股票型基金，簡稱TTT」，分析基金的價格變動與交易量之間的關係。
由於TTT具有「實物申購╱買回」機制，當TTT發生折溢價現象時，投資者會利用此機制進行策略性的投資。因此，「實物申購╱買回」機制使用，會對TTT交易量產生影響，並且使得基金淨值與價格更為貼進。所以本文也將分析TTT折溢價與交易量之間的關係。
本研究利用Granger因果關係理論檢測變數之間的因果關係，實證結果發現，TTT的交易量與價格變動呈現雙向因果關係，且折溢價對於交易量具有單向因果關係，即折溢價可以解釋和預測交易量變動，並且折溢價偏離的現象在半天之內會消失。因此，歸論「實物申購╱買回」機制能有效發揮其作用。

This study examines intraday patterns of the Taiwan Top 50 Tracker Fund (TTT), with special emphasis on the causal relationship between trading volume and return, and the causal relationship between trading volume and deviation ratio. We find strong intraday seasonality, namely the W-shaped trading pattern which appeared to be caused by the so-called lunch-break effect. After accounting for this apparent seasonality, and by employing the Granger causality test, we find that there is a causal bi-direction relationship between trading volume and absolute return. However, there only exists a uni-directional causal relationship from the deviation ratio to trading volume, but not vice versa. Also, the deviation is disappeared within half day.

一、英文部份
Bhagat, S., and S. Bhatia (1996), “Trading Volume and Price Variability: Evidence on Lead-Lag Relations from Granger-Causality Tests," Working paper, Leeds School of Business.
Clark, P. K. (1973), “A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices,” Econometrica, 41, 135-155.
Crouch, R. L. (1970), “The Volume of Transaction and Price Changes on the New York Stock Exchange,” Financial Analysis Journal, 26, 104-109.
Curio, R. J., J. M. Lipka, and J. H. Jr. Thornton (2004), "Cubes and the Individual Investor,” Financial Services Review, 13, 123-138.
Epps, T. W., and M. L. Epps (1976), “The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distribution Hypothesis,” Econometrica, 44, 305-321.
Fan, X., N. Groenewold, and Y. Wu (2003), “The Stock Return-Volume Relation and Policy Effects: The Case of the Chinese Energy Sector,” Proceeding of the 15th Annual Conference of the Association for Chinese Economics Studies Australia (ACESA).
Gallant, A. R., P. E. Rossi, and G. Tauchen (1992), “Stock Prices and Volume,” The Review of Financial Studies, 5, 199-242.
Grammatikos, T., and A. Saunders (1986), “Futures Price Variability: A Test of Maturity and Volume Effects,” Journal of Business, 59, 319-330.
Granger, C. W. J., and O. Morgenstern (1963), “Spectral Analysis of New York Stock Market Prices,” Kyklos, 16, 1-27.
Granger, C. W. J., M. D. Godfrey, O. Morgenstern (1964), “The Random-Walk Hypothesis of Stock Market Behavior,” Kyklos, 17, 1-30.
Granger, C. W. J. (1969), “Investigating Causal Relations by Econometric Models and Cross-spectral Methods,” Econometrica, 37, 424-438.
Hiemstra, C., and J. D. Jones (1994), “Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation,” Journal of Finance, 49, 1639-1644.
Jain, P. C., and G. H. Joh (1988), “The Dependence between Hourly Prices and Trading Volume,” Journal of Financial and Quantitative Analysis, 23, 269-283.
Locke, P. R., and C. L. Sayers （1993）, “Intra-Day Futures Price Volatility: Information Effects and Variance Persistence,” Journal of Applied Econometrics, 8, 15-30.
Martikainen, T., V. Puttonen, M. Luoma, and T. Rothovius (1994), “The Linear and Non-linear Dependence of Stock Returns and Trading Volume in the Finnish Stock Market,” Applied Financial Economics, 4, 159-169.
Osborne, M. F. M. (1950), “Brownian Motion in the Stock Market,” Operations Research, 7, 145-173.
Rogalski, R. J. (1978), “The Dependence of Prices and Volume,” The Review of Economics and Statistics, 60, 268-274.
Smirlock, M., and L. Starks (1988), “An Empirical Analysis of the Stock Price-Volume Relationship,” Journal of Banking and Finance, 12, 31-41.
Tauchen, G., and M. Pitts (1983), “The Price Variability-Volume Relationship on Speculative Markets,” Econometrica, 51, 485-505.
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.
Ying, C. C. (1966), “Stock Market Prices and Volumes of Sales,” Econometrica, 34, 676-685.
Wang, H. （2004）, “Dynamic Volume-Volatility Relation,” Working Paper, School of Economics and Finance, University of Hong Kong.

二、中文部分
王韻晴（2004），“我國指數股票型基金上市後之績效分析，＂　政治大學財務 管理研究所，未出版碩士論文。
何峻銘（2004），“台灣指數股票型基金（ETFs）：追蹤誤差、折溢價與交易現 況，＂　中正大學企業管理學研究所，未出版碩士論文。
洪文琪（2004）, “臺灣50指數期貨與基金上市後臺灣期貨與現貨市場之分析,” 政治大學經濟學研究所，未出版碩士論文。
游英裕（2004）， “股價與成交量因果關係之研究-台灣股市的實証，＂　義守 大學管理研究所，未出版碩士論文。
陳怡伶（2004）, "台灣50 ETF與台灣加權股價指數現貨與台指期貨間的價格關 聯性研究,” 成功大學企業管理學研究所，未出版碩士論文。