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Firm Size Transmission Effect and Price-Volume Relationship Analysis During Financial Tsunami Periods

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  • Shih-Yung Wei

    (National Yunlin University of Science & Technology, Taiwan)

  • Wei-Chiang Samuelson Hong

    (Oriental Institute of Technology, Taiwan)

  • Kai Wang

    (China University of Technology, Taiwan)

Abstract

Investors attend importance to forecast the price of financial assets, thus, the factors affecting the stock price are usually the focus of financial research in the field, in which the most important factors to scholars are firm size transmission effect and price-volume relationship. In this study, the analysis of these two items in the Taiwan stock market is conducted. The results indicate that the firm size transmission effect is almost significant, and the reversal phenomenon also exists. However, before the financial tsunami, the firm size transmission effect does not significantly exist; this result also indirectly proves the directional asymmetry of the market returns, proposed by McQueen, Pinegar, and Thorley (1996). For price and volume relationship, big cap index reveals that volume leads to price before the financial tsunami, and small cap index appears that price leads to volume in 2010.

Suggested Citation

  • Shih-Yung Wei & Wei-Chiang Samuelson Hong & Kai Wang, 2011. "Firm Size Transmission Effect and Price-Volume Relationship Analysis During Financial Tsunami Periods," International Journal of Applied Evolutionary Computation (IJAEC), IGI Global, vol. 2(3), pages 59-78, July.
    • Handle: RePEc:igg:jaec00:v:2:y:2011:i:3:p:59-78
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    Cited by:

    1. Shih-Yung Wei & Li-Wei Lin & Surong Yan & Lu-jie Zhu, 2019. "Empirical Analysis on Price-Volume Relation in the Stock Market of China," International Journal of Economics and Financial Issues, Econjournals, vol. 9(5), pages 94-103.

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