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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/73961

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Title:	Price Common Volatility or Volume Common Volatility? Evidence from Taiwan`s Exchange Rate and Stock Markets
Authors:	Shen, Chung-Hua;Chen, Shyh-wei 沈中華
Contributors:	金融系
Keywords:	bivariate Markov-switching;common volatility ARCH model;trading volume
Date:	2004
Issue Date:	2015-03-23 18:19:41 (UTC+8)
Abstract:	This paper investigates the common volatility structure of stock and exchange rate markets of Taiwan. The two markets are often linked together and we are interested in knowing whether price or volume is a good proxy to pursue this issue. We claim that Taiwanese government interventions distort the timing of conventional price volatility clustering in the two markets. The unrestricted trading volumes reveal more information regarding the market than price. We find that common volatility does exist in the stock and exchange markets and this fact is uncovered more easily by using trading volume than by using prices. Copyright 2004 East Asian Economic Association.
Relation:	Asian Economic Journal, 18(2), 185-211
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1111/j.1467-8381.2004.00189.x
DOI:	10.1111/j.1467-8381.2004.00189.x
Appears in Collections:	[金融學系] 期刊論文

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