| Abstract: | This study involved conducting a comparative analysis by using data on NASDAQ index futures, Dow Jones Industrial Average futures, Taiwan Stock Exchange Capitalization Weighted Stock index, and SGX MSCI Taiwan index futures invested in the Taiwanese stock market. Data on the opening price, closing price, return on investment (ROI), and trading volume during the sampled period were normally distributed.
Causality test results revealed that, of the four indices, the closing prices of the previous periods were significantly positively correlated with the opening prices of the present periods, suggesting that the greater the closing price of the previous period fluctuates, the greater the opening price of the present period fluctuates. Thus, the four futures indices from Taiwan and the United States indicated that the closing price of the previous period provides investors with crucial information on future investment portfolios. The results of price-volume relationship tests indicated that a significant correlation exists between price and volume in the Taiwan Stock Exchange Capitalization Weighted Stock index market and the U.S. futures market. In other words, the higher the ROI of SGX MSCI Taiwan index futures and Taiwan Stock Exchange Capitalization Weighted Stock index is, the higher the trading volume of Taiwan Stock Exchange Capitalization Weighted Stock index and the lower the trading volume of NASDAQ index futures. When the ROI of Dow Jones Industrial index futures and Taiwan Stock Exchange Capitalization Weighted Stock index rises, the trading volume of Dow Jones Industrial index futures drops significantly. Thus, the higher the ROI of Taiwan Stock Exchange Capitalization Weighted Stock index is, the greater the trading volume in the Taiwan Stock Exchange Capitalization Weighted Stock index market is. The trading volume in the U.S. futures market decreases on the same day. By contrast, when the ROI in the U.S. futures market rises, the trading volume of U.S. futures decreases, whereas the trading volume of Taiwan Stock Exchange Capitalization Weighted Stock index increases on the same day. In this study, an analysis of variance (ANOVA) was performed to test the weekday effect. The results indicated neither a higher ROI on Friday nor a lower ROI on Monday, suggesting that no significant weekday effect existed. In addition, the ANOVA results revealed no significant difference in the mean average ROI between weeks. The research results may be used as a reference for legislative purposes. |
