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標題:Nonlinear Market Dynamics between Stock Returns and Trading Volume: Empirical Evidences from Asian Stock Markets
學年97
學期1
出版(發表)日期2009/01/01
作品名稱Nonlinear Market Dynamics between Stock Returns and Trading Volume: Empirical Evidences from Asian Stock Markets
作品名稱(其他語言)
著者Chuang, Wu-Jen; Ou-Yang, Liang-Yuh; Lo, Wen-Chen
單位淡江大學財務金融學系
出版者Iasi: Universitatea "Alexandru Ioan Cuza" din Iasi * Editura Universitatii
著錄名稱、卷期、頁數Scientific Annals of the “Alexandru Ioan Cuza” University of Iasi: Economic Sciences Series 2009(LVI), pp.621-634
摘要Recent empirical researches report that nonlinear dynamics is present in asset returns because of noise traders involved in the market. This study examines whether there exists any nonlinear dynamics in Asian stock markets. We employ the smooth transition autoregressive model with the percentage change in trading volume as the transition variable to capture the nonlinear movement between stock returns and trading volume in Taiwan, Hong Kong, Singapore, and Korea stock markets. The results show nonlinear dynamics exist between stock returns and trading volume in the stock market. Moreover, trading volume plays an important role for the cyclical movements in the stock market.
關鍵字Nonlinear dynamics; Cyclical behavior; Stock market returns; Trading volume; STAR models
語言英文
ISSN0379-7864
期刊性質國外
收錄於
產學合作
通訊作者
審稿制度
國別羅馬尼亞
公開徵稿
出版型式紙本
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