The purpose of this study is to research the volume-price relationship and information transmission among Taiwan Stock Index, Electronic Industry Index, Financial Industry Index and Plastic Industry Index. This study uses the time series methods of ADF unit root test, variance decomposition, Granger causality and impulse response analysis to proceed empirical research. It covers the period June 2, 2003, through December 29, 2006 and uses the daily data for sample. The empirical results can be summarized as follows¡G
(1) All the trading volume and stock return series are trend stationary at level, therefore, they are integrated of order 0 ~ I (0).
(2) The variance decomposition shows that the major change of every variable comes from by itself. The explanatory power of trading volume is higher than stock returns. Among the stock returns of Taiwan Stock Index, Electronic Industry Index, Financial Industry Index and Plastic Industry Index, Taiwan Stock Index has the highest explanatory power.
(3) According to the Granger causality test, it expresses that trading volume leads stock returns. Taiwan Stock Index is the leading indicator of the Electronic Industry Index and Financial Industry Index.
(4) As to the impulse response functions, neither persistent nor overall. The effect of shocks on all variables is transitory.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0820107-211113 |
| Date | 20 August 2007 |
| Creators | Chang, Chen-wei |
| Contributors | none, none, none |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0820107-211113 |
| Rights | not_available, Copyright information available at source archive |
Page generated in 0.0024 seconds