Nonlinear Market Dynamics Between Stock Returns And Trading Volume: Empirical Evidences From Asian Stock Markets
AbstractRecent empirical researches report that nonlinear dynamics is present in asset returns because of noise traders involved in the market. This study examines whether there exists any nonlinear dynamics in Asian stock markets. We employ the smooth transition autoregressive model with the percentage change in trading volume as the transition variable to capture the nonlinear movement between stock returns and trading volume in Taiwan, Hong Kong, Singapore, and Korea stock markets. The results show nonlinear dynamics exist between stock returns and trading volume in the stock market. Moreover, trading volume plays an important role for the cyclical movements in the stock market.
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Bibliographic InfoArticle provided by Alexandru Ioan Cuza University, Faculty of Economics and Business Administration in its journal Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi.
Volume (Year): 56 (2009)
Issue (Month): (November)
Contact details of provider:
Postal: Universitatea Al. I. Cuza; B-dul Carol I nr. 22; Iasi
Phone: 004 0232 201070
Fax: 004 0232 217000
Web page: http://anale.feaa.uaic.ro/anale/
More information through EDIRC
Nonlinear dynamics; Cyclical behavior; Stock market returns; Trading volume; STAR models;
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