Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/73961
DC Field | Value | Language |
---|---|---|
dc.contributor | 金融系 | |
dc.creator | Shen, Chung-Hua;Chen, Shyh-wei | |
dc.creator | 沈中華 | zh_TW |
dc.date | 2004 | |
dc.date.accessioned | 2015-03-23T10:19:41Z | - |
dc.date.available | 2015-03-23T10:19:41Z | - |
dc.date.issued | 2015-03-23T10:19:41Z | - |
dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/73961 | - |
dc.description.abstract | This paper investigates the common volatility structure of stock and exchange rate markets of Taiwan. The two markets are often linked together and we are interested in knowing whether price or volume is a good proxy to pursue this issue. We claim that Taiwanese government interventions distort the timing of conventional price volatility clustering in the two markets. The unrestricted trading volumes reveal more information regarding the market than price. We find that common volatility does exist in the stock and exchange markets and this fact is uncovered more easily by using trading volume than by using prices. Copyright 2004 East Asian Economic Association. | |
dc.format.extent | 21824690 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.relation | Asian Economic Journal, 18(2), 185-211 | |
dc.subject | bivariate Markov-switching;common volatility ARCH model;trading volume | |
dc.title | Price Common Volatility or Volume Common Volatility? Evidence from Taiwan`s Exchange Rate and Stock Markets | |
dc.type | article | en |
dc.identifier.doi | 10.1111/j.1467-8381.2004.00189.x | en_US |
dc.doi.uri | http://dx.doi.org/10.1111/j.1467-8381.2004.00189.x | en_US |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.fulltext | With Fulltext | - |
item.openairetype | article | - |
item.grantfulltext | restricted | - |
item.cerifentitytype | Publications | - |
Appears in Collections: | 期刊論文 |
Files in This Item:
File | Description | Size | Format | |
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Chen_et_al-2004-Asian_Economic_Journal.pdf | 21.31 MB | Adobe PDF2 | View/Open |
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