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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/18362

    Title: Studies on the Effect of Trading Volume and Return Volatility on Call Warrants and Underlying Stocks in Taiwan
    Authors: Chiu, Chien-liang;Lee, Ming-chih;Lin, Cho-min;Chen, Chun-da
    Contributors: 淡江大學財務金融學系
    Date: 2005-02-01
    Issue Date: 2009-08-26 15:36:58 (UTC+8)
    Publisher: University of Nebraska Press
    Abstract: This study selects ten call warrants on electronics stocks and utilizes the bivariate GARCH model to investigate the influence of return and expected and unexpected trading volume on the call warrants and underlying stocks. The results reveal that stocks and call warrants are correlated and function as leading factors for each other. The volatilities of underlying stock returns are positively influenced by the expected and unexpected trading volumes of the underlying stocks. The influence of expected and unexpected trading volumes of warrants on the volatility of target stock returns is also positively correlated. Expected and unexpected trading volumes of warrants as well as underlying stocks show a positive correlation with the return volatility of warrants.
    Relation: Quarterly Journal of Business and Economics 44(1-2), pp.29-43
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

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