自Osborne(1959) 研究發現交易量與股價變動絕對值為正相關之後，價量關係的研究越來越受到各界的重視，並延伸探討價量因果關係與跨國變數間之外溢效果。故本研究以台灣、美國、日本、韓國、香港、大陸與香港之股價指數報酬率、波動率與交易量研究對象，探討本國與跨國股票市場報酬率、交易量與波動率間之動態關係之關係；本研究所採用的樣本期間由1995年5月2日至2005年9月8日，模型變數資料來自台灣經濟新報資料庫、彭博資訊系統、雅虎財經與韓國交易所網頁。
實證結果顯示，在不同時期下各國股市變數之因果關係，可以發現金融風暴前大多為報酬率導致交易量、波動率導致交易量或變數間互為因果關係的情形存在；金融風暴之後，落後期交易量對其他變數的預測能力增加，各國本身變數間互為因果的情形更為顯著。由跨國股市變數間的關係來看，美國是最有影響力的國家，尤其是美國報酬率對其他國家股市變數；日本在亞洲區域領先地位，則無那麼顯著。日本與大陸、香港間無因果關係存在。其中大陸市場與台灣、香港間的因果關係較為密切。最後，在台灣解除外資持股限制之後，台灣與跨國變數間的因果關係更為密切。其中韓國股市對台灣的影響性更為增強。因此，本研究之實證結果支持價量因果關係與外溢效果。

After Osborne (1959) found the correlation between volume and the absolute value of price change is positive, the research of the price/volume relation is valued by the public, and extend to inquire into the cause relation between price and volume. In this paper, we examine the dynamic relation between stock return, trading volume, and volatility of domestic and cross-country stock market. The data we use come from Taiwan, the United States, Japan, Korea, Hong Kong, China, and Hong Kong. The data set comprises daily market price index and trading volume series for the six countries. The index covers the period from 1995/5/2 to 2005/9/8.
Empirical results are as follows: first, in each country, the sample analysis shows that the feedback effect between trading volume and return (and volatility) tends to be more significant after the 1997 Asian financial crisis period. And the predictive ability of trading volume becomes stronger. Second, regarding the cross-country relationships, the spillover effect becomes stronger. And the causal relationship between China and Taiwan (and Hong Kong) is close. Third, US financial market variables, especially US return, contain an extensive predictive ability for other country’s financial market variables. Besides, The information leadership of the Japan was relatively weak. Final, after Taiwan canceled the limit of foreign investors to hold the stock on 2001/1/1, the causal relations between the financial market of Taiwan variables and the financial market variables of other country become closer. And the influence of Korean stock market on Taiwan increases.

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9.廖佩真(1993)，「美、日、英、港、台五國股市報酬率多元時間數列關連性之研究」，國立台灣大學商學研究所碩士論文。
10.劉永欽 (1996)， 「台灣地區股票市場之線性及非線性Granger 因果關係之研究」，交通大學管理科學研究所碩士論文。
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