English  |  正體中文  |  简体中文  |  Post-Print筆數 : 11 |  Items with full text/Total items : 89686/119522 (75%)
Visitors : 23947586      Online Users : 133
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/140.119/68735


    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

    Files in This Item:

    File Description SizeFormat
    0428.pdf735KbAdobe PDF1139View/Open


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


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback