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    题名: Causality in Quantiles and Dynamic Stock Return-Volume Relations
    作者: Chuang,Chia-Chang;Kuan,Chung-Ming;Lin,Hsin-yi
    贡献者: 政大經濟系
    关键词: Granger non-causality;Quantile causal effect;Quantile regression;Return–volume relation;Sup-Wald test
    日期: 2009-02
    上传时间: 2013-09-17 15:26:11 (UTC+8)
    摘要: This paper investigates the causal relations between stock return and volume based on quantile regressions. We first define Granger non-causality in all quantiles and propose testing non-causality by a sup-Wald test. Such a test is consistent against any deviation from non-causality in distribution, as opposed to the existing tests that check only non-causality in certain moment. This test is readily extended to test non-causality in different quantile ranges. In the empirical studies of three major stock market indices, we find that the causal effects of volume on return are usually heterogeneous across quantiles and those of return on volume are more stable. In particular, the quantile causal effects of volume on return exhibit a spectrum of (symmetric) V-shape relations so that the dispersion of return distribution increases with lagged volume. This is an alternative evidence that volume has a positive effect on return volatility. Moreover, the inclusion of the squares of lagged returns in the model may weaken the quantile causal effects of volume on return but does not affect the causality per se.
    關聯: Journal of Bankig and Finance, 33, 1351-1360
    数据类型: article
    DOI 連結: http://dx.doi.org/10.1016/j.jbankfin.2009.02.013
    DOI: 10.1016/j.jbankfin.2009.02.013
    显示于类别:[經濟學系] 期刊論文

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