The Microstructure of the Price-Volume Relationship of the Constituent Stocks of the Taiwan 50 Index

Due to data concerns, the microstructure of the price-volume relationship is seldom explored in Taiwan. Through efforts to collect the data, we reveal two impressive findings to contribute to the literature. One is that declining share prices are followed by a burst in volume, especially at market close. The other is that total trading volume increased by foreign institutions boosts subsequent returns, whether the trading volume is increased by buying or selling. Both results are barely disclosed in previous studies.