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The impact of speculative trading on stock return volatility: the evidence from Taiwan

  • Hsin, Chin-Wen
  • Guo, Wen-Chung
  • Tseng, Seng-Su
  • Luo, Wen-Chih
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    File URL: http://www.sciencedirect.com/science/article/B6W4F-4B29TJC-1/2/ad3cb62e422214b59541b739efdd53fa
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    Article provided by Elsevier in its journal Global Finance Journal.

    Volume (Year): 14 (2003)
    Issue (Month): 3 (December)
    Pages: 243-270

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    Handle: RePEc:eee:glofin:v:14:y:2003:i:3:p:243-270
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620162

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    1. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
    2. John Y. Campbell & Albert S. Kyle, 1988. "Smart Money, Noise Trading and Stock Price Behavior," NBER Technical Working Papers 0071, National Bureau of Economic Research, Inc.
    3. Schwert, G William, 1990. "Stock Volatility and the Crash of '87," Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 77-102.
    4. Paul Kupiec & Steve Sharpe, 1989. "Animal spirits, margin requirements, and stock price volatility," Finance and Economics Discussion Series 91, Board of Governors of the Federal Reserve System (U.S.).
    5. De Long, J Bradford, et al, 1990. " Positive Feedback Investment Strategies and Destabilizing Rational Speculation," Journal of Finance, American Finance Association, vol. 45(2), pages 379-95, June.
    6. Bamber, Linda Smith & Barron, Orie E. & Stober, Thomas L., 1999. "Differential Interpretations and Trading Volume," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(03), pages 369-386, September.
    7. Hart, Oliver D. & Kreps, David M., 1986. "Price Destabilizing Speculation," Scholarly Articles 3448679, Harvard University Department of Economics.
    8. Nelson, Daniel B & Cao, Charles Q, 1992. "Inequality Constraints in the Univariate GARCH Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(2), pages 229-35, April.
    9. Hsieh, David A & Miller, Merton H, 1990. " Margin Regulation and Stock Market Volatility," Journal of Finance, American Finance Association, vol. 45(1), pages 3-29, March.
    10. Gikas A. Hardouvelis, 1988. "Margin requirements, volatility, and the transitory component of stock prices," Research Paper 8818, Federal Reserve Bank of New York.
    11. Figlewski, Stephen, 1979. "Subjective Information and Market Efficiency in a Betting Market," Journal of Political Economy, University of Chicago Press, vol. 87(1), pages 75-88, February.
    12. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
    13. Hardouvelis, Gikas A & Peristiani, Stavros, 1992. "Margin Requirements, Speculative Trading, and Stock Price Fluctuations: The Case of Japan," The Quarterly Journal of Economics, MIT Press, vol. 107(4), pages 1333-70, November.
    14. Longin, Francois M, 1997. "The Threshold Effect in Expected Volatility: A Model Based on Asymmetric Information," Review of Financial Studies, Society for Financial Studies, vol. 10(3), pages 837-69.
    15. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
    16. Stein, Jeremy C., 1987. "Informational Externalities and Welfare-Reducing Speculation," Scholarly Articles 3660740, Harvard University Department of Economics.
    17. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
    18. Wiggins, James B, 1991. "Empirical Tests of the Bias and Efficiency of the Extreme-Value Variance Estimator for Common Stocks," The Journal of Business, University of Chicago Press, vol. 64(3), pages 417-32, July.
    19. Hardouvelis, Gikas A & Kim, Dongcheol, 1995. "Margin Requirements, Price Fluctuations, and Market Participation in Metal Futures," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(3), pages 659-71, August.
    20. Fama, Eugene F & French, Kenneth R, 1996. " Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
    21. Conrad, Jennifer & Gultekin, Mustafa N & Kaul, Gautam, 1991. "Asymmetric Predictability of Conditional Variances," Review of Financial Studies, Society for Financial Studies, vol. 4(4), pages 597-622.
    22. Goldberg, Michael A, 1985. "The Relevance of Margin Regulations: A Note," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 17(4), pages 521-27, November.
    23. Choe, Hyuk & Kho, Bong-Chan & Stulz, Rene M., 1999. "Do foreign investors destabilize stock markets? The Korean experience in 1997," Journal of Financial Economics, Elsevier, vol. 54(2), pages 227-264, October.
    24. Rabemananjara, R & Zakoian, J M, 1993. "Threshold Arch Models and Asymmetries in Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(1), pages 31-49, Jan.-Marc.
    25. Seguin, Paul J., 1990. "Stock volatility and margin trading," Journal of Monetary Economics, Elsevier, vol. 26(1), pages 101-121, August.
    26. Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1992. "Stock Prices and Volume," Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 199-242.
    27. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(01), pages 109-126, March.
    28. Hartzmark, Michael L, 1986. "The Effects of Changing Margin Levels on Futures Market Activity, the Composition of Traders in the Market, and Price Performance," The Journal of Business, University of Chicago Press, vol. 59(2), pages S147-80, April.
    29. Hart, Oliver D, 1977. "On the Profitability of Speculation," The Quarterly Journal of Economics, MIT Press, vol. 91(4), pages 579-97, November.
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