Testing for Nonlinear Granger Causality in the Price-Volume Relations of Taiwan's Stock and Foreign Exchange Markets
AbstractThis paper investigates the price-volume relationships of Taiwan's stock and foreign exchange markets. We first adopt the traditional linear Granger causality test to achieve this goal. In addition, the nonlinearity feature is also taken into account. We employ the nonlinear Granger causality test, championed by Hiemstra and Jones (1994), to detect the nonlinear relationships among stock and foreign exchange markets. The empirical results show that there do exist nonlinear price-volume relationships in Taiwan's stock and foreign exchange markets. The conditional heteroscedasticity feature plays an important role in this nonlinear relationship.
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Bibliographic InfoArticle provided by College of Business, Feng Chia University, Taiwan in its journal Journal of Economics and Management.
Volume (Year): 2 (2006)
Issue (Month): 1 (January)
stock market; foreign exchange market; nonlinear Granger causality; heteroscedasticity;
Find related papers by JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
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- Shyh-Wei Chen, 2008. "Untangling the nexus of stock price and trading volume: evidence from the Chinese stock market," Economics Bulletin, AccessEcon, vol. 7(15), pages 1-16.
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