English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 93779/124226 (75%)
Visitors : 28861493      Online Users : 416
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/61064

    Title: Causality in Quantiles and Dynamic Stock Return-Volume Relations
    Authors: Chuang,Chia-Chang;Kuan,Chung-Ming;Lin,Hsin-yi
    Contributors: 政大經濟系
    Keywords: Granger non-causality;Quantile causal effect;Quantile regression;Return–volume relation;Sup-Wald test
    Date: 2009-02
    Issue Date: 2013-09-17 15:26:11 (UTC+8)
    Abstract: 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.
    Relation: Journal of Bankig and Finance, 33, 1351-1360
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1016/j.jbankfin.2009.02.013
    DOI: 10.1016/j.jbankfin.2009.02.013
    Appears in Collections:[經濟學系] 期刊論文

    Files in This Item:

    File Description SizeFormat
    1351.pdf920KbAdobe PDF1157View/Open

    All items in 政大典藏 are protected by copyright, with all rights reserved.

    社群 sharing

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback