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政大機構典藏 > 社會科學學院 > 經濟學系 > 期刊論文 > Item 140.119/68735

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/68735

Title:	Dynamic stock return-volume relation: Evidence from emerging Asian markets
Authors:	林馨怡 Lin, Hsin-Yi
Contributors:	經濟系
Keywords:	Asian stock market;causality;emerging market;quantile regression;return–volume relation
Date:	2011-09
Issue Date:	2014-08-14 15:01:49 (UTC+8)
Abstract:	This paper empirically examines the dynamic stock return–volume relations for six emerging Asian markets: Indonesia, Malaysia, Singapore, South Korea, Taiwan, and Thailand. Evidence is found that trading volume Granger causes stock return in quantiles and the causal effects of volume are heterogeneous across quantiles. This shows that volume carries some information to the return and could be interpreted in light of theoretical models. In addition, we find that there is bi-directional causality between stock return and trading volume in most of the markets. The finding indicates that those Asian emerging markets with different institutions and information flows than more mature markets have present similar causal effects on the stock return–volume relation. Furthermore, the cross-country evidence shows that the US market helps to predict the returns of the emerging Asian markets.
Relation:	Bulletin of Economic Research,(0), 1-20(本論著未刊登但已被接受)
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1111/j.1467-8586.2011.00428.x
DOI:	10.1111/j.1467-8586.2011.00428.x
Appears in Collections:	[經濟學系] 期刊論文

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