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    题名: The Effects of `Fear` on Volatility-Trading Volume Relationship: Evidence from Taiwan`s Markets during the Financial Tsunami
    作者: Chang, Matthew C.;Tu, Anthony H.
    杜化宇
    贡献者: 財管系
    日期: 2011-03
    上传时间: 2015-09-15 14:52:24 (UTC+8)
    摘要: 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.
    關聯: International Research Journal of Applied Finance, 2(3), 302-325
    数据类型: article
    显示于类别:[財務管理學系] 期刊論文

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