| dc.creator (作者) | Chow, Edward H. ; Hsiao, Ping ; Liu, Yu-Jane | en_US |
| dc.creator (作者) | 周行一;劉玉珍 | - |
| dc.date (日期) | 2001-02 | en_US |
| dc.date.accessioned | 5-Nov-2008 16:57:01 (UTC+8) | - |
| dc.date.available | 5-Nov-2008 16:57:01 (UTC+8) | - |
| dc.date.issued (上傳時間) | 5-Nov-2008 16:57:01 (UTC+8) | - |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/6109 | - |
| dc.description.abstract (摘要) | 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. | en_US |
| dc.format | application/ | en_US |
| dc.language | en | en_US |
| dc.language | en-US | en_US |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Pacific Economics Review, 6(1), 111-128 | en_US |
| dc.title (題名) | Trading Behavior and Asset Returns: Evidence from the Interday Serial Correlations of Intraday-to-Intraday Daily Returns of Taiwan | en_US |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1111/1468-0106.00121 | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1111/1468-0106.00121 | en_US |
