| dc.contributor | 金融系 | |
| dc.creator (作者) | Shen, Chung-Hua;Wang, Lee-Rong | |
| dc.creator (作者) | 沈中華 | zh_TW |
| dc.date (日期) | 1998 | |
| dc.date.accessioned | 24-Mar-2015 11:45:04 (UTC+8) | - |
| dc.date.available | 24-Mar-2015 11:45:04 (UTC+8) | - |
| dc.date.issued (上傳時間) | 24-Mar-2015 11:45:04 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/73973 | - |
| dc.description.abstract (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. | |
| dc.format.extent | 139398 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Pacific-basin Finance Journal - PAC-BASIN FINANC J , vol. 6, no. 3, pp. 251-273 | |
| dc.subject (關鍵詞) | Daily stock autocorrelation; Stock trading volume; Price limits | |
| dc.title (題名) | Daily serial correlation, trading volume and price limits: Evidence from the Taiwan stock market | |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1016/S0927-538X(98)00011-0 | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1016/S0927-538X(98)00011-0 | en_US |
