English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 91280/121421 (75%)
Visitors : 25424883      Online Users : 102
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
    政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 >  Item 140.119/78491
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/78491


    Title: The Effects of 'Fear' on Volatility-Trading Volume Relationship: Evidence from Taiwan's Markets during the Financial Tsunami
    Authors: Chang, Matthew C.;Tu, Anthony H.
    杜化宇
    Contributors: 財管系
    Date: 2011-03
    Issue Date: 2015-09-15 14:52:24 (UTC+8)
    Abstract: In this paper, we investigate the relationship between volatility and trading volume in panic, normal, and optimistic situations in the Taiwan market during the financial tsunami. We apply the changes of Taiwan Volatility Index (TVIX) to distinguish different market emotions and Vector Autoregression (VAR) to decompose total volume into expected and unexpected volume to further explore possible different relationship. By studying the period from 2007 through 2009, including important events during the financial tsunami, we find that there is bi-directional Granger causality between total trading volume in general and volatility and asymmetric relationship between expected trading volume and volatility for different emotions. During market opening hours, market reacts to overnight emotional change. Furthermore, we find that the relationship between volatility and trading volume is not always positive. For panic and optimistic emotion, volatility does not raise total trading volume, and expected trading volume stabilizes volatility. On the other hand, unexpected trading volume raises volatility positively for panic and normal emotion. In addition to source of volatility, it implies more information content for unexpected trading volume (Lee and Rui, 2002; Speight et al., 2000). After market opening hour, overnight emotion is digested, and volatility lowers total (expected, unexpected) trading volume, while (expected, unexpected) trading volume raises volatility (Darrat et al., 2007). It is consistent with Sequential Information Arrival Hypothesis (SIAH, Copeland, 1976) if the changes of TVIX imply overnight information. Since total trading volume and unexpected volume Granger cause volatility for normal emotion, SIAH is not totally sustained.
    Relation: International Research Journal of Applied Finance, 2(3), 302-325
    Data Type: article
    Appears in Collections:[財務管理學系] 期刊論文

    Files in This Item:

    File Description SizeFormat
    index.html0KbHTML553View/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