The Effect for The Extreme Trading Volume in Returns and Volatility Processes for Various Stock Indexes

• Main Authors: Wei-Ling Yang, 楊緯綾
• Other Authors: Chun-chou Wu
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/86727050641389147505

碩士 === 國立高雄第一科技大學 === 財務管理所 === 98 === This study uses the extreme trading volume as a proxy for sentiment indicator, and then separates them into high and low sentiment ingredient. Meanwhile, we estimate the extreme trading volume on returns and volatility processes in Europe(include UK, Germany and France), Americas(include US and Canada), and Asia(Japan, Korea and Taiwan) through EGARCH(1,1)-M model. Based on the empirical results, high sentiment indicator is negatively correlated with Germany, France, US and Canada, conversely, it is positive correlated with Korea and Taiwan. Nevertheless, low sentiment indicator has positive influence only for UK, and negative influence for Korea and Taiwan. For conditional volatility, it is positively correlated with high sentiment indicator for all countries excluded France. Moreover, for low sentiment indicator, it has positive influence with condition volatility for UK, and negative influence for Canada and Japan.