Nonlinear Market Dynamics between Stock Returns and Trading Volume: Empirical Evidences from Asian Stock Markets

機構典藏 > College of Business and Management > Graduate Institute & Department of Banking and Finance > Journal Article > Item 987654321/92791

Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/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:	[Graduate Institute & Department of Banking and Finance] Journal Article

Files in This Item:

File	Description	Size	Format
index.html		0Kb	HTML	48	View/Open
Nonlinear Market Dynamics between Stock Returns and Trading Volume Empirical Evidences from Asian Stock Markets.pdf		290Kb	Adobe PDF	1	View/Open