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https://ah.lib.nccu.edu.tw/handle/140.119/73973
題名: | Daily serial correlation, trading volume and price limits: Evidence from the Taiwan stock market | 作者: | Shen, Chung-Hua;Wang, Lee-Rong 沈中華 |
貢獻者: | 金融系 | 關鍵詞: | Daily stock autocorrelation; Stock trading volume; Price limits | 日期: | 1998 | 上傳時間: | 24-Mar-2015 | 摘要: | The relationship among daily stock return autocorrelation, trading volume, and price limits are investigated in this paper. Twenty-four Taiwan individual stocks are adopted here. We found that increasing the volume reduces the daily autocorrelation for nearly half of the stocks. This negative volume effect is contrary to the positive price-limit effect, which strengthens the autocorrelation. We use OLS, generalized autoregressive conditional heteroscedasticity (GARCH) and generalized method of moment (GMM) to investigate the sensitivity of the estimation results. Our results display robustness across estimation methods. | 關聯: | Pacific-basin Finance Journal - PAC-BASIN FINANC J , vol. 6, no. 3, pp. 251-273 | 資料類型: | article | DOI: | http://dx.doi.org/10.1016/S0927-538X(98)00011-0 |
Appears in Collections: | 期刊論文 |
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