淡江大學機構典藏:Item 987654321/18362
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    题名: Studies on the Effect of Trading Volume and Return Volatility on Call Warrants and Underlying Stocks in Taiwan
    作者: Chiu, Chien-liang;Lee, Ming-chih;Lin, Cho-min;Chen, Chun-da
    贡献者: 淡江大學財務金融學系
    日期: 2005-02-01
    上传时间: 2009-08-26 15:36:58 (UTC+8)
    出版者: University of Nebraska Press
    摘要: 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.
    關聯: Quarterly Journal of Business and Economics 44(1-2), pp.29-43
    显示于类别:[財務金融學系暨研究所] 期刊論文

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