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 en
ISSN 0379-7864
期刊性質 國外
收錄於
產學合作
通訊作者
審稿制度 是
國別 ROU
公開徵稿
出版型式 紙本
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/92791 )

機構典藏連結