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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/92791


    Title: Nonlinear Market Dynamics between Stock Returns and Trading Volume: Empirical Evidences from Asian Stock Markets
    Authors: Chuang, Wu-Jen;Ou-Yang, Liang-Yuh;Lo, Wen-Chen
    Contributors: 淡江大學財務金融學系
    Keywords: Nonlinear dynamics;Cyclical behavior;Stock market returns;Trading volume;STAR models
    Date: 2009
    Issue Date: 2013-10-22 17:06:07 (UTC+8)
    Publisher: Iasi: Universitatea "Alexandru Ioan Cuza" din Iasi * Editura Universitatii
    Abstract: 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.
    Relation: Scientific Annals of the “Alexandru Ioan Cuza” University of Iasi: Economic Sciences Series 2009(LVI), pp.621-634
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

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