Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/73973
DC Field | Value | Language |
---|---|---|
dc.contributor | 金融系 | |
dc.creator | Shen, Chung-Hua;Wang, Lee-Rong | |
dc.creator | 沈中華 | zh_TW |
dc.date | 1998 | |
dc.date.accessioned | 2015-03-24T03:45:04Z | - |
dc.date.available | 2015-03-24T03:45:04Z | - |
dc.date.issued | 2015-03-24T03:45:04Z | - |
dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/73973 | - |
dc.description.abstract | 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. | |
dc.format.extent | 139398 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.relation | Pacific-basin Finance Journal - PAC-BASIN FINANC J , vol. 6, no. 3, pp. 251-273 | |
dc.subject | Daily stock autocorrelation; Stock trading volume; Price limits | |
dc.title | Daily serial correlation, trading volume and price limits: Evidence from the Taiwan stock market | |
dc.type | article | en |
dc.identifier.doi | 10.1016/S0927-538X(98)00011-0 | en_US |
dc.doi.uri | http://dx.doi.org/10.1016/S0927-538X(98)00011-0 | en_US |
item.openairetype | article | - |
item.cerifentitytype | Publications | - |
item.fulltext | With Fulltext | - |
item.grantfulltext | restricted | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
Appears in Collections: | 期刊論文 |
Files in This Item:
File | Description | Size | Format | |
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S0927538X98000110.pdf | 136.13 kB | Adobe PDF2 | View/Open |
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