| Summary: | 博士 === 國立雲林科技大學 === 管理研究所博士班 === 94 === It has been laid much emphasis on price-volume relationship of stock markets, and there are many empirical studies using GARCH models. Although most empirical results supported that there are some causal relationships between stock price and trading volume, they assumed constant correlation between price and volume series. It’s been called CCC mode. We apply a bivariate dynamic conditional correlation GARCH model (DCC model) to investigate the price-volume relationship of ten East-Asia stock markets, which includes Japan, South Korea, China, Taiwan, Singapore, Hong Kong, Thailand, Philippine, Malaysia and Indonesian.
We survey some theoretical and empirical studies to study the price-volume relationship, and then use daily stock index and trading volume of ten markets to do our empirical study. According the empirical results of daily data from 1994 to 2003, the price-volume relationship is significant for ten markets. The influence of price to volume is stronger than the influence of volume to price. The conditional correlation seems not be constant, it’s highly dynamic. The properties of price and volume volatility for each market are different, but the higher economic development markets have the low persistency on price-volume relationship.
Most researches indicated that the East-Asia flu induced structure change on financial markets. We also investigate the price-volume relationships for Pre and Post flu. The results show that the dynamic conditional correlation setting is more reasonable. Our empirical results can be a reference for other empirical study as well as the government policy or investment decision.
|
|---|
