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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/6109

    Title: Trading Behavior and Asset Returns: Evidence from the Interday Serial Correlations of Intraday-to-Intraday Daily Returns of Taiwan
    Authors: Chow, Edward H.;Hsiao, Ping;Liu, Yu-Jane
    Date: 2001-02
    Issue Date: 2008-11-05 16:57:01 (UTC+8)
    Abstract: This paper sheds light on the importance of trading behavior in the determination of asset prices by examining the interday serial correlations of intraday?to?intraday daily returns of the Taiwan Stock Exchange (TSEC). The TSEC exhibits positive serial correlation in the beginning and the end of the week and negative serial correlation in the middle of the week. The interday serial correlation is not a result of non?synchronous trading, bid?ask bounce in transaction price, or price limits. The serial correlation is positively related to trading volume and similar to the pattern in the US. We suggest that trading behavior seems to be an important determinant of asset prices.
    Relation: Pacific Economics Review, 6(1), 111-128
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1111/1468-0106.00121
    DOI: 10.1111/1468-0106.00121
    Appears in Collections:[財務管理學系] 期刊論文

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