Dissertations / Theses on the topic 'Volume and price relationship'
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Ho, Man-suen. "The price-volume relationship in Hong Kong's residential market." Click to view the E-thesis via HKUTO, 2004. http://sunzi.lib.hku.hk/hkuto/record/B30710212.
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Ho, Man-suen, and 何敏璇. "The price-volume relationship in Hong Kong's residential market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2004. http://hub.hku.hk/bib/B30710212.
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Llorente-Alvarez, Jesús-Guillermo. "Price-volume relationships in financial markets." Thesis, Massachusetts Institute of Technology, 1995. http://hdl.handle.net/1721.1/11900.
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OH, Natalie Yoon-na Banking & Finance Australian School of Business UNSW. "Essays on the dynamic relationship between different types of investment flow and prices." Awarded by:University of New South Wales. Banking and Finance, 2005. http://handle.unsw.edu.au/1959.4/22041.
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This thesis presents three related essays on the dynamic relationship between different types of investment flow and prices in the equity market. These studies attempt to provide greater insight into the evolution of prices by investigating not ???what moves prices??? but ???who moves prices??? by utilising a unique database from the Korean Stock Exchange. The first essay investigates the trading behaviour and performance of online equity investors in comparison to other investors on the Korean stock market. Whilst the usage of online resources for trading is becoming more and more prevalent in financial markets, the literature on the role of online investors and their impact on prices is limited. The main finding arising from this essay supports the claim that online investors are noise traders at an aggregate level. Whereas foreigners show distinct trading patterns as a group in terms of consensus on the direction of market movements, online investors do not show such distinct trading patterns. The essay concludes that online investors do not trade on clear information signals and introduce noise into the market. Direct performance and market timing ability measures further show that online investors are the worst performers and market timers whereas foreign investors consistently show outstanding performance and market timing ability. Domestic mutual funds in Korea have not been extensively researched. The second essay analyses mutual fund activity and relations between stock market returns and mutual fund flows in Korea. Although regulatory authorities have been cautious about introducing competing funds, contractual-type mutual funds have not been cannibalized by the US-style corporate mutual funds that started trading in 1998. Negative feedback trading activity is observed between stock market returns and mutual fund flows, measured as net trading volumes using stock purchases and sales volume. It is predominantly returns that drive flows, although stock purchases contain information about returns, partially supporting the price pressure hypothesis. After controlling for declining markets, the results suggest Korean equity fund managers tend to swing indiscriminately between increasing purchases and increasing sales in times of rising market volatility, possibly viewing volatility as an opportunity to profit and defying the mean-variance framework that predicts investors should retract from the market as volatility increases. Mutual funds respond indifferently to wide dispersions in investor beliefs. The third essay focuses on the conflicting issue of home bias by looking at the impact on domestic prices of foreign trades relative to locals using high frequency data from the Korean Stock Exchange (KSE). This essay extends the work of Choe, Kho and Stulz (2004) (CKS) in three ways. First, it analyses the post-Asian financial crisis period, whereas CKS (2004) analyse the crisis (1996-98) period. Second, this essay adopts a modified version of the CKS method to better capture the aggregate behaviour of each investor-type by utilising the participation ratio in comparison to the CKS method. Third, this essay does not limit investigation to intra-day analysis but extends to daily analysis up to 50 days to observe the effect of intensive trading activity in a longer horizon than the CKS study. In contrast to the CKS findings, this paper finds that foreigners have a short-lived private information advantage over locals and trades by foreigners have a larger impact on prices using intra-day data. However, assuming investors buy-hold for up to 50 days, the local individuals provide a greater impact and more profitable returns than foreigners. Superior performance is documented for buys rather than sells.
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Weigand, Robert Alan. "The cointegrating relationship between stock prices and trading volume: Evidence regarding the predictability of security returns." Diss., The University of Arizona, 1993. http://hdl.handle.net/10150/186294.
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This study develops and tests the hypothesis that stock prices and trading volume are influenced by the same set of fundamental forces. The implications of this hypothesis for modeling and forecasting stock returns are also explored. Part 1 identifies several effects likely to contribute to the observed positive correlation between stock prices and trading volume. Among these are the various constraints that prohibit certain classes of investors from short selling; the disposition effect, which is the tendency for investors to hold losing investments too long and sell winners too early; and the prevalence of positive feedback trading strategies in financial markets. Part 1 also presents a simple supply and demand example which demonstrates that both asset prices and trading volume are influenced by the information signals received by traders in efficient markets. Part 2 presents empirical tests of the hypothesis that stock prices and trading volume are determined by a set of common factors. The presence of a common stochastic trend (cointegration) is shown to be consistent with the above hypothesis. Stock prices and trading volume are found to be cointegrated, which is interpreted as evidence in support of the common factor hypothesis. The theoretically correct method for modeling cointegrated variables, known as an error-correction model (ECM), explains over 4% of the variability in monthly stock returns from 1962-1991. An index of the total dividends paid to the Standard and Poor's 500 is included as an instrument for the information set hypothesized to be a common factor in stock prices and trading volume. After demonstrating that stock prices, trading volume and the dividend index are part of a trivariate cointegrated system, the dividend index is included into the ECM of stock prices. The explanatory power of the ECM rises to 6.5% due to the inclusion of the dividend index. Part 3 develops a forecasting model of monthly stock returns based on the ECM presented in Part 2. Out-of-sample forecasts of monthly stock returns are generated from this model, as well as other forecasting models chosen from the literature on the predictability of security returns. Under a variety of conditions, both with and without transactions costs, trading rules generated by the forecasting model of Conrad and Kaul (1989) consistently outperform a buy and hold strategy. The ECM forecasting model performs no better than a macroeconomic or random walk model, and underperforms a buy and hold strategy in the presence of transactions costs. The overall finding from Part 3 is that the simple time series model of Conrad and Kaul generates forecasts which beat the market conclusively for the thirteen year period spanning January, 1978 to December, 1990.
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Huguet, Marius. "Volume-outcome relationship in health, inequalities in access to care and referral of patients for specialized care." Thesis, Lyon, 2020. http://www.theses.fr/2020LYSE2012.
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Cette thèse de doctorat étudie la question de la centralisation des soins pour le traitement du cancer, et apporte des preuves empiriques sur de nombreux aspects liés à cette problématique. Le chapitre 1 explore la relation entre le volume d’activité des hôpitaux et la qualité des soins pour le traitement du cancer de l’ovaire. L’exploitation d’une base de données comprenant des informations très détaillées sur le degré de sévérité du cancer nous a permis de mettre en évidence de très fortes disparités de survie en fonction du volume d’activité de l’établissement de prise en charge. Le deuxième chapitre de cette thèse vise à identifier les mécanismes soutenant cette relation, et plus particulièrement la contribution du choix du traitement par les cliniciens dans l’effet causal du volume d’activité sur la qualité des soins. Les résultats confirment la contribution du processus de sélection du traitement par les cliniciens dans l’effet causal du volume d’activité sur la qualité des soins, et apportent ainsi de nouveaux éléments permettant caractériser l’effet d’apprentissage induit par le volume d’activité. Le chapitre 3 a pour objectif d’évaluer l'impact d'une centralisation des soins pour le traitement du cancer du sein et de l’ovaire sur les inégalités spatiales et socioéconomiques d'accès aux soins spécialisés. En exploitant une base de données administrative nationale, nos résultats indiquent une forte détérioration de l’accès aux soins spécialisés si une telle réforme était appliquée, ainsi qu’une répartition territoriale et socioéconomique très inégale du fardeau de la centralisation. Dans une perspective plus large, il est primordial de mieux comprendre les mécanismes liés à l’adressage des patients vers les hôpitaux, afin de mieux saisir la nécessité - ou non - de centraliser les soins. L’objectif du quatrième chapitre de cette thèse est d’identifier les préférences des patients dans le choix de leur établissement de prise en charge pour le traitement du cancer, en tenant compte du rôle du médecin traitant dans l’adressage. Nos résultats soulignent le rôle central du médecin traitant dans le processus de d’adressage, et mettent en évidence des facteurs limitant le libre choix de l’établissement de prise en chargeThis PhD dissertation provides empirical evidence on many aspects of the volume-outcome relationship with regard to cancer care. In the first chapter, we explore the relationship between hospital volume activities and patient outcomes for ovarian cancer care. Using a wide-ranging set of clinical characteristics depicting patients’ degree of illness, we identified a strong volume-outcome relationship, with substantial differences in survival between patients treated in high volume and in low volume hospitals. In the second chapter, we look in more depth into what underlies the observed hospital volume-outcome relationship. More specifically, we provide evidence on the contribution of clinician decisions (i.e., which drive patient care pathways) to the causal impact of hospital volume on patient outcomes. Our findings substantiate the contribution of clinician decisions regarding the treatment option to the causal impact of hospital volume on patient outcomes, thereby offering a better understanding of this complex relationship. In chapter 3, we use a nationwide administrative dataset to evaluate the impact that centralization of care for breast cancer and ovarian cancer treatment has on spatial and socioeconomic inequalities in access to specialized care. Our findings indicate a strong and highly unequally distributed deterioration in patient access to specialized care, which highlights a major adverse consequence of such a policy. From a broader perspective, there is a need to understand the mechanisms of patient referral to hospitals to better understand the potential necessity of centralized care. The fourth chapter of this thesis provides evidence of patient preferences for cancer care using a revealed preferences framework, taking into account that patient choice sets are actually unobserved. Our findings highlight the importance of the choice set preselection, which could be related to the role of general practitioners in the referral process and substantiate several barriers to patient choice
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Rebelo, Paulo Tomaz. "Price moving average and volume." Master's thesis, Instituto Superior de Economia e Gestão, 2012. http://hdl.handle.net/10400.5/10394.
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Mestrado em FinançasEste trabalho pretende testar uma das mais simples e populares ferramentas de análise técnica, as médias móveis, e a sua relação com o volume e as rendibilidades utilizando dados do índice PSI 20 desde 1992 até 2012. Os resultados sobre as rendibilidades suportam a eficácia da utilização desta estratégia mostrando que são estatisticamente superiores às da estratégia buy-and-hold, e ainda, que sinais de compra geram rendibilidades consistentemente superiores às que se seguem aos sinais de venda. Em suma, os resultados mostram que podem ser obtidas rendibilidades adicionais através de estratégias baseadas nas médias móveis sobre os preços. Este estudo tenta ainda investigar a relação entre volume e as rendibilidades diárias no mercado acionista português. Os resultados da regressão mostram que tanto os sinais de compra ou venda da estratégia de médias móveis como o volume têm pouco poder explicativo sobre as rendibilidades das ações. Esta conclusão parece não ser consistente com os resultados da análise sobre as rendibilidades.
This work tests one of the simplest and most popular trading rules, moving average, and the relationship with trading volume by utilizing the PSI 20 Index from 1992 to 2012. In the returns scope, our results provide strong support for this technical strategy. The returns obtained from this strategy are statistically higher than the simple buy-and-hold policy, and further, buy signals consistently generate higher returns than sell signals. Overall, our results show that additional returns can be obtained from a trading strategy based on this technical rule. This study also attempts to investigate the relationship between trading volume and daily stock returns. The results obtained from the regression show that both moving average signals and volume have little explanatory power on returns in the Portuguese stock market. This conclusion brings shy support to the trading efficacy that resulted from the returns analysis.
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Pfister, Matthias. "Delistings of Secondary Listings Price and Volume Effects /." St. Gallen, 2009. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/04604765002/$FILE/04604765002.pdf.
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Dodd, Olga. "Price, liquidity, volatility, and volume of cross-listed stocks." Thesis, Durham University, 2011. http://etheses.dur.ac.uk/867/.
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This thesis examines the possible implications of international cross-listings for the wealth of shareholders, for stock liquidity and volatility, and for the distribution of trading volumes across both the domestic and foreign stock markets where the shares are traded. For the purpose of clarity, these three issues are analysed in three empirical chapters in the thesis. The first empirical issue examined in this thesis is the effects of international cross-listings on shareholders’ wealth. This is discussed in chapter 2. The chapter compares the gains in shareholders’ wealth that result from cross-listing in the American, British, and European stock exchanges and then evaluates their determinants by applying various theories on the wealth effects of cross-listing. Moreover, it evaluates how the wealth effect of cross-listing has changed over time reflecting the implications of the significant developments in capital markets that have taken place in recent years. In particular, the effects of the introduction of the Euro in Europe and the adoption of the Sarbanes-Oxley Act in the US are analysed. The findings suggest that, on average, cross-listing of stocks enhances shareholders’ wealth but the gains are dependent on the destination market. In addition, the regulatory and economic changes in the listing environment not only alter the wealth effects of cross-listings, but also affect the sources of value creation. Overall, this chapter provides in-depth insights into the motivations for, and the benefits of, cross-listings across different host markets in changing market conditions. The second empirical issue examined is the impact of cross-listing and multimarket trading on stock liquidity and volatility (chapter 3). Cross-listing leads to additional mandatory disclosure in order to comply with the requirements of the host market. Such requirements are expected to reduce information asymmetry among various market participants (corporate managers, stock dealers, and investors). An enhanced information environment, in turn, should increase stock liquidity and reduce stock return volatility. The findings of this study suggest that the stock liquidity and volatility improves after cross-listing on a foreign stock exchange. Moreover, this study distinguishes between cross-listing and cross-trading. The distinction is important because cross-trading, unlike cross-listing, does not require the disclosing of additional information. Although such a distinction means there is a variation in the information environment of cross-listed and cross-traded stocks, the results do not reveal any significant difference in the liquidity and volatility of the stocks that are cross-listed and cross-traded. This evidence suggests that the improvement in the liquidity and volatility of cross-listed/traded stocks comes primarily from the intensified competition among traders rather than from mandatory disclosure requirements. The final empirical issue investigated in this thesis (chapter 4) is the identification of the determinants of the distribution of equity trading volume from both stock exchange and firm specific perspectives. From a stock exchange perspective, exchange level analysis focuses on the stock exchange characteristics that determine the ability of a stock exchange to attract trading of foreign stocks. While from a firm perspective, firm level analysis focuses on firm specific characteristics that affect the distribution of foreign trading. The results show that a stock exchange’s ability to attract trading volumes of foreign equity is positively associated with a stock exchange’s organizational efficiency, market liquidity, and also the quality of investor protection and insider trading regulations. Analysis also reveals the superior ability of American stock exchanges to attract trading of European stocks. Moreover, there is strong evidence suggesting that regulated stock exchanges are more successful in attracting trading of foreign stocks than non-regulated markets, such as OTC and alternative markets and trading platforms. From a firm perspective, the proportion of trading on a foreign exchange is higher for smaller and riskier companies, and for companies that exhibit lower correlation of returns with market index returns in the host market. Also this proportion is higher when foreign trading takes place in the same currency as trading in the firm’s home market and increases with the duration of a listing. Finally, the study provides separate evidence on the expected levels of trading activity on various stock exchanges for a stock with particular characteristics. Overall, the findings of this thesis suggest that international cross-listing is beneficial for both firms and their shareholders but the findings also suggest that there are significant variations in the implications of cross-listings for different firms and from listing in different destination foreign markets. Finally, these implications are not static and respond to changes and reforms in listing and trading conditions.
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Rougier, Jonathan. "Price change and trading volume in a speculative market." Thesis, Durham University, 1996. http://etheses.dur.ac.uk/5347/.
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This thesis is concerned with the daily dynamics of price change and trading volume in a speculative market. The first part examines the news-driven model of Tauchen and Pitts (1983), and develops this model to the point where it is directly testable. In order to implement the test a new method for creating a price index from futures contracts is proposed. It is found that news effects can explain some but not all of the structure of the daily price/volume relationship. An alternative explanation is presented, in which the model of Tauchen and Pitts is generalized in a non-linear fashion. In the second part of the thesis, the presence of a small amount of positive autocorrelation in daily returns is exploited through the development of a timing rule. This timing rule applies to investors who are committed to a purchase but flexible about the precise timing. The computation of the timing rule is discussed in detail. In practice it is found that this timing rule is unlikely to generate sufficiently large returns to be of interest to investors in a typical stock market, supporting the hypothesis of market efficiency. However, the incorporation of extra information regarding price/volume dynamics, as suggested by the analysis of Part I, might lead to a much improved rule.
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Kao, Shih-Hsuan, and 高士軒. "Price-Volume Relationship: Is Volume a Leading Indicator of Price Discovery." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/85055679510533105472.
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碩士逢甲大學
財務金融學所
96
Stock is one of the popular instruments in financial markets. The purpose for investors to invest in stocks is to obtain profit. The price-volume relationship is often used as an important indicator of investment decision making for the investors. There are many scholars investigating the price-volume relationship in the past, but these models did not say how the stock prices behaved, reverse or rebound, when the volume dramatically boost. The purpose of this thesis is to explore the price-volume relationship, especially focusing on whether volume can be used as a leading indicator of price discovery. The data cover the period from 2005 to 2007 in the Taiwan stock market. This thesis uses the OLS regression and t-test to observe the relationship between price and volume. I find that when the volume boosts dramatically, the probability that reverses or rebounds of stock prices become increased. The inverse of this statement is also true, i.e., reverses or rebounds of stock prices are often companied by volume boosts. These results will provide the important and useful information for the investors when they make trading decisions.
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Lin, kevin, and 林智仁. "Price-volume Relationship and Effecient Market." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/23392624340149023424.
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Lee, Cheng-Yi, and 李正屹. "Revisit Price-Volume relationship in OTC." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/50122260448033607005.
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碩士淡江大學
財務金融學系
87
Price and volume are two important variables of stock market, they are also noticed by the investors. Price-Volume relationship is an important subject. This paper examines the interaction between trading volume and stock price in OTC with error correction model (Engle and Granger, 1987). The sample is collected daily data from June 1, 1996 to March 31, 1999. Apply Johansen maximum Likelihood method and error correction models, we found that there exist cointegration among stock price and trading volume in OTC. Results also show that stock price cause trading volume in OTC.
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Hua, Ching-Chun, and 花敬群. "The Price-Volume Relationship in Housing Market." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/35378369146819382731.
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博士國立政治大學
地政學系
87
ABSTRACT This dissertation combined by three relative essays. In the first paper I analyze the relationship between price and volume of housing market in Taiwan. The analysis suggests a counter-clock cyclical pattern of housing price and volume in the standard price-quantity plane. Empirical results through cointegration tests confirm our analysis that, in the long run, the fluctuation of Taipei''s housing transaction volume causes the housing price to fluctuate. In the second paper I discusses the relationship between existing and pre-sales housing market. Basically, existing housing market is similar as spot market, pre-sales housing market is similar to futures or forwards market (Chang & Ward, 1993). Restated, the goods of pre-sales housing market are the housing units under construction. We modify the stock-flow model of Fisher(1992) and DiPasquale & Wheaton(1992, 1994) to analyze the price-volume relationship between existing housing market and pre-sales housing market. By the empirical test of Taiwan''s housing market, the consequences imply that pre-sales market price adjustment rate to the long-run equilibrium price is rapid than the price adjustment rate in existing housing market. In other words, the pre-sales system can improve the market efficiency. The result of supply adjustment rate is insignificant, which implying that housing market is basically influenced by price not by volume in Taiwan. The final paper established the price, volume and mutual interrelation basis through the housing price ratio and market size to provide housing market framework researchers a new point. Then I conducted an empirical analysis of the Taipei City and Taipei County housing markets. Finding that the competition between the two sub-markets is low. Furthermore, there is a signification correlation between market size and price ratio fluctuation, and the price ratio is a better of market economical cycle indicator than price fluctuation. Keywords: Housing market, Submarkets, Price-volume Relationship, Pre-sales Housing Market,
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Chen, Kun-Shi, and 陳昆晞. "Revisit Price-Volume relationship in Taiwan Stock Market." Thesis, 1996. http://ndltd.ncl.edu.tw/handle/43106162189189411810.
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Yeh, Ya-Ling, and 葉雅玲. "Testing price-volume relationship of industrial stock in Taiwan." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/51367510224245890975.
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碩士淡江大學
財務金融學系碩士在職專班
98
In the technical method, we can see that the volume often goes before the stock price, and investors may understand why the stock price goes up and down by observing the changes in volume. According to the relevant empirical studies, the relation between the volume and the price can be three types：1. the volume and the price go up at the same time 2. the price goes down while the volume decreases 3. the volume departures from the price, but there were not many studies about the price volatility among industries. So here we take the electronic and the financial stock from the Taiwan 50 Index as examples, and use the stock price, volume and volume turnover rate as variables to discuss the relation between the volume and the price in different industries, also to observe the incremental changes between the volume and the price volatility so that can provide investors to predict the stock price from the historical empirical studies of the relation between the volume and the price. The main empirical finding as below： 1.The financial stock price and the volume have structural changes when the turnover rate is 2.5374. When the financial stock volume is staying low, there is a negative correlation between the volume and the price；and when the turnover rate become adjustable, the volume and the price will go up at the same time in the stock market. 2.The electronic stock price and the volume have structural changes when the turnover rate is 0.9748. When the electronic stock volume is staying low, there is a negative correlation between the volume and the price；and when the turnover rate become adjustable, the volume and the price will go up at the same time in the stock market. 3.There is a non-linear relationship between the turnover rate and the return among the financial and the electronic stock. 4.Among the financial and the electronic stock, when the turnover rate is low, it is negatively related to the return；and when the turnover rate raises, it becomes positively related to the return.
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Lin, Fang-Chun, and 林芳君. "The Research on Price-Volume Relationship of daily return in Taiwan stock price index." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/zekhkt.
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碩士銘傳大學
經濟學系碩士在職專班
97
Because there are not the same tendencies at any period of every day on TWSE stock price market, it is extremely possible to produce different rate of returns because trading volume is different. This research especially choose the opening day of trade market of stock during the 1st of January, 1994 to December of 1996, regarding the trading volume and stock price index of every minute as the database calculated the rate of returns fluctuates for every minute. Regard trading volume as parameters, probe into the result that the trading volume change causes the rate of returns to fluctuate. Combine GARCH model, EGARCH model and Vector Autoregression Escimates model and carry on the real example to the price- volume relationship of the daily return in Taiwan stock price index. Discover it as follows importantly: 1. The rate of returns of Taiwan stock price index fluctuation has unsymmetry, namely spot market is easy to overreaction on the bad news which causes fluctuates violently in Taiwan stock price index. 2. The trading volume change is the important factor causing the remuneration changed, and the standard deviation of rate of returns and trading volume are both as causality.
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Liu, Shu-Hua, and 劉淑華. "The relationship between price and volume offuturesin Taiwan stock exchange index." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/34051316454277712212.
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碩士銘傳大學
財務金融學系碩士在職專班
100
This study takes the financial tsunami in 2008 as watershed to analyze the relationship of TAIEX Futures and Taiwan Stock Index with regard to price and volume plus the consequence of leading and lagging in the periods from July to December 2008, and from January to June 2010. The evidence has demonstrated 1) TAIEX Futures and Taiwan weighted stock index are mutually independent to each other without cause and effect relationship. Meanwhile, with regard to price and volume, there is a feed-back relationship either between the price of future market and the volume on spot market, or between the price of spot market and the volume on future market. 2) There is no significant retrospective relationship between the price and volume on both future market and spot market in the second half of 2008. It is estimated that this could be related to the higher systematic risk by the great volatility during financial tsunami. 3) Both dealers and foreign capitals have increased exchange scale significantly on both future market and spot market. Obviously their strategies take consideration of allocation on both future market and spot market. As a result we have also found there is a significant feed-back relationship.
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Wen, Ya, and 游雅雯. "The dynamic causality relationship between the trading volume and stock price." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/08465044832198159268.
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碩士國立中正大學
國際經濟所
93
We use the arranged regression model developed by Tsay(1989) to test the threshold variable, trading volume, whether it is nonlinear or not. Second, we will discuss dynamic causality relationship between the volume and stock price. The idea that the extreme trading activities suggest that the volume can predict stock price is investigated. We also defined the extreme trading volume as the top 5% or bottom 5% of trading volume. We argue that the extreme volume can predict stock price cannot be explained by systematic risk. Our linear result is similar to Hiemstra and Jones (1994) and nonlinear result is same Gervais et al. (2001) who demonstrated that stocks experiencing unusually high (low) trading volume tend to larger (small) return. Gervais et al. (2001) also showed that systematic is not related to High Volume Return Premium.
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Yu, Ya Wen, and 游雅雯. "The dynamic causality relationship between the trading volume and stock price." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/40439584268874313517.
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碩士國立中正大學
國際經濟研究所
93
We use the arranged regression model developed by Tsay(1989) to test the threshold variable, trading volume, whether it is nonlinear or not. Second, we will discuss dynamic causality relationship between the volume and stock price. The idea that the extreme trading activities suggest that the volume can predict stock price is investigated. We also defined the extreme trading volume as the top 5% or bottom 5% of trading volume. We argue that the extreme volume can predict stock price cannot be explained by systematic risk. Our linear result is similar to Hiemstra and Jones (1994) and nonlinear result is same Gervais et al. (2001) who demonstrated that stocks experiencing unusually high (low) trading volume tend to larger (small) return. Gervais et al. (2001) also showed that systematic is not related to High Volume Return Premium
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Wu, Ching-feng, and 吳清豐. "A Study on Price-Volume Relationship of East-Asia Stock Markets." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/03301525679658428457.
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博士國立雲林科技大學
管理研究所博士班
94
It has been laid much emphasis on price-volume relationship of stock markets, and there are many empirical studies using GARCH models. Although most empirical results supported that there are some causal relationships between stock price and trading volume, they assumed constant correlation between price and volume series. It’s been called CCC mode. We apply a bivariate dynamic conditional correlation GARCH model (DCC model) to investigate the price-volume relationship of ten East-Asia stock markets, which includes Japan, South Korea, China, Taiwan, Singapore, Hong Kong, Thailand, Philippine, Malaysia and Indonesian. We survey some theoretical and empirical studies to study the price-volume relationship, and then use daily stock index and trading volume of ten markets to do our empirical study. According the empirical results of daily data from 1994 to 2003, the price-volume relationship is significant for ten markets. The influence of price to volume is stronger than the influence of volume to price. The conditional correlation seems not be constant, it’s highly dynamic. The properties of price and volume volatility for each market are different, but the higher economic development markets have the low persistency on price-volume relationship. Most researches indicated that the East-Asia flu induced structure change on financial markets. We also investigate the price-volume relationships for Pre and Post flu. The results show that the dynamic conditional correlation setting is more reasonable. Our empirical results can be a reference for other empirical study as well as the government policy or investment decision.
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Hu, Tzu-Fei, and 胡姿妃. "The Study for the Price-Volume Relationship of Taiwan Futures Market." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/44235826675142762432.
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Wang, Wen-Fang, and 王文芳. "The Relationship between Inventory Control and Foreign Exchange Intraday Volume-price." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/53906204693170248364.
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碩士國立暨南國際大學
國際企業學系
89
Important contributions in the market microstructure literature that seek to explain the similar U-shaped pattern in stock markets typically attribute the pattern to the existence of asymmetric information among traders. However asymmetric information is unlikely to be an important factor in the foreign exchange market. And the studies about inventory effect always focus on the affect of price setting, less focus on the influence of trading volume. And the data from customer market often can’t reveal each dealer’s order flow and the price. It can’t reveal the true information about the price and trading volume that form the inter-dealer’s trading through the broker. So in this study, we’ll follow the empirical model of Gerety and Mukherin(1992) and use the NT-US exchange rate data and trading volume from broker at Taipei Foreign Exchange Market to examine the foreign exchange volatility if can be explained by inventory control effect, and the empirical model will be the GARCH model. Because the limit for data available, the data will be the every fifteen minutes data within a day form the January 17, 1996 to August 31, 2000. The results find, the foreign exchange volatility including the volume and return would be the U-shaped pattern, and this pattern can be explained by inventory control effect. Variations in legal restrictions or capital constraints might induce investor heterogeneity in the ability to bear overnight risk. If the investors differ in their willingness and/or ability to hold positions overnight. The market maker would exchange their specialized holdings at the end of the day for a more diversified market basket. Those investors having relatively less ability to bear overnight risk will exchange their positions with investors having a greater ability for overnight risk bearing, creating above-average volume at the close, and reacquire positions when a continuous market becomes available. So the trading through the inventory control would affect the volatility during the opening and closing time.
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Chen, Pei-keng, and 陳焙焿. "The Study of Price-Volume Relationship in Taiwan Stock Index Futures." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/zczkh4.
Full textAbstract:
碩士南華大學
財務管理研究所
95
Majority of the previous studies about stock index futures were focused on their relationship with price of stock index, seldomly touched on the volatility spillover effect between profit return rate and trade volume. This research used bivariate EGARCH-M model and Granger Causality test to analyze the compiled data of Taiwan stock index futures from January 3, 2003 to June 30, 2006 for examing the relationship of daily return and daily volume in Taiwan stock index futures (TAIFEX). The empirical conclusions are as follows：(1) return, volume and open interest all have a positive volatility deferred effect; (2) there is a positive volatility spillover effect between return and volume; (3) there is an asymmetric effect（leverage effect）in volatility spillovers of absolute return and volume; and (4) Granger Causality test reveals that there is a feedback relationship between absolute return and volume.
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Lee, Yin-yao, and 李盈瑤. "The Relationship Between Trade Price and Volume in China's Stock Market." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/90111766614600555917.
Full textAbstract:
碩士世新大學
財務金融學研究所(含碩專班)
99
In technical analyses, the relationship between trade price and volume has always been the topic that scholars and investors pay attention to. Some people believe that quantity is the leading indicator of price. Price occurs after quantity takes place. Others believe that price occurs before quantity and quantity will not appear if there is no price. To provide insights into this controversy, we examine the relationship between trade price and volume in Shanghai Stock Exchange classified by industry index. This study has the following findings. First, the rate of returns and trade of value have already exhibited I (0) properties. Secondly, according to the Granger causality test, except for the real estate industry index in which the rate of returns leads the trade of value, all other indexes exhibit two-way causality. Finally, the results from variance decomposition and impulse response analyses show that the variance affects themselves most and all five indexes exhibit a greater impact of price on quantity .
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Lay, Chien-Chou, and 賴建州. "An Empirical Analysis of The Stock Price - Volume Relationship ainland China." Thesis, 1996. http://ndltd.ncl.edu.tw/handle/39467409542999356980.
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Lin, Hui-Wen, and 林慧紋. "Study on the Price-Volume Relationship with The Genetic programming Master Curve for price-impact function." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/89527331791825210889.
Full textAbstract:
碩士淡江大學
財務金融學系碩士在職專班
102
This study analyzes price and volume relations of top ten industrial sub-indices in the Taiwan Stock Exchange Index through the correlation coefficient, and then to identify the price of top ten industrial sub-indices impact function (or a function of the relationship between price and volume) by genetic programming, and adding market capitalization, exchange rates, interest rates to explore the top ten industrial sub-indices price correlation use of regression analysis. Conclusions obtained are as follows: (1) the correlation coefficient analysis results, the top ten stock index in each time interval part presents a negative relationship, but the top ten industrial sub-indices in the whole period were highly positive relationship between price and volume relationship, the long-term trend showing that a large return is usually accompanied by a large trading volume. (2) find out the price impact function through genetic programming, and found that within sample the minimum mean square error of top ten industrial sub-indices is Electric Machinery, in out-sample the minimum mean square error is the Iron and Steel, which means that Iron and Steel has the best prediction. (3) Regression analysis found that the market capitalization change rate and the price movements of top ten industrial sub-indices were highly positive relationship, between exchange rate changes and price changes in addition to food and Iron and Steel relationship is not significant, the other eight industrial sub-indices are negative, the relationship between interest rates and the prices of the top ten industrial sub-indices are less significant relationship.
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Chang, Ya-Hui, and 張雅惠. "A New Theory of Price-Volume Relationship: Volume Acts as a Proxy of Heterogeneity of Trading Information." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/32402168973365869911.
Full textAbstract:
碩士台南科技大學
商學與管理研究所
95
There are five hypotheses regarding price-volume relationship for securities in the previous literature. However, there is no consensus among these five theories. In particular, they cannot explain why the trading volume is always abruptly increasing several times even hundred times in the stock price rebounds or reversals. The main purpose of this thesis is to propose a new hypothesis for price-volume relationship: In general, the stock trading volume represents a signal of heterogeneity of trading information on stock trends. Specifically, “other things being equal, an increase in stock trading volume represents an increase in heterogeneity of investor trading information on stock trends, the more trading volume the more heterogeneous for the trading information on stock trends; conversely, a decrease in stock trading volume represents an increase in homogeneity of investor trading information on stock trends, the less trading volume the more homogeneity for the trading information on stock trends.” The empirical evidences strongly support the theoretical hypothesis this thesis proposed. First of all, the trading volume abruptly increases several times to hundred times as stock price rebounds or reversals. Next, the multiple of stock trading volume increased as stock price rebounds from the bottom is positively related to the amplitude of rebound; however, the multiple of stock trading volume increased as stock price reverses from the peak is not necessarily correlated with the amplitude of reversal. And finally, in the processes of stock price increasing or decreasing, the stock trading volume is all increasing, indicating that a signal of increasing heterogeneity of trading information on stock trends. The significance of this study is as follows: This thesis is the first one that proposes the price-volume relationship hypothesis that the stock trading volume represents a signal of heterogeneity of trading information on stock trends. This theory is helpful to explain why the trading volume is always abruptly increasing several times even hundred times in the stock price rebounds or reversals, which is not easily explained by other theories. Thus, the theory and results of this thesis not only contribute to the academics, but are also useful to the practices.
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Liu, Cheng-Rui, and 劉程睿. "The Relationship among Turnover Ratio, Trading Volume Volatility and Stock Price Volatility." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/99179065514691273066.
Full textAbstract:
碩士淡江大學
管理科學研究所碩士班
96
Most domestic and foreign literatures involve the behavior between quantity and price volatilities. This research investigates the relationships between price volatilities trading volume volatilities instead of quantity in order to expand the scope of this research. In addition, high turnover ratio is the characteristic of Taiwan stock market, and it means that investors prefer short term investment instead of holding stocks in the long run. Thus, whether the high turnover ratio will cause stock price volatilities is another issue we concern. By employing Fubon ETF underlying stocks from the data period form 2006/09/29 to 7007/09/29, the following empirical results are found as follow: 1.The turnover ratio Granger-cause stock price volatilities positively. It means that high turnover ratio means investors change stocks very often, and then it might lift up the volatilities of share price. 2.Trading volume volatilities will Granger-cause stock price volatilities positively. It means that while trading volume is going up, the stock price volatilities will rise up later. Investors might be careful to trade stocks with higher turnover ratio, since higher trading volume might be involved by huge trading of investment institution, and investors with lots of money. The possible reasons of this kind involving are inside information, and speculation trading, investors should careful in trading higher turnover stocks in order to prevent loss by asymmetric information be.
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KAI, WANG YU, and 王宥凱. "The Price-Volume Relationship between the Taiwan Stock Index and Index Futures." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/11868316793790251331.
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Wu, Pei-Chin, and 吳培菁. "The relationship of intraday price and volume in Taipei foreign exchange market." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/26075859622574146649.
Full textAbstract:
碩士國立中興大學
財務金融系所
94
By observing the intraday data of the Taipei foreign exchange rate market, to discover the price has seasonal effect. When the market starts to trade at nine o´clock, the exchange rate is significant appreciation, but when the market is close to close, the exchange rate is depreciation. To inference this phenomenon, by asking the trader, get the answer is that branches of the bank can not hold the position overnight. This thesis focuses on discussing the relationship between intraday price and volume of the foreign exchange market. I attempt to find some meaning through observing seasonal volatilities in the foreign exchange market and how would the market react to the information. In order to show how discrepancies between perspectives of traders affect foreign price and volume, I choose the modified average high-low price as its variable index, and use Vector autoregresstion model to discuss their relationship. Finally, it comes to a conclusion that discrepancies between perspectives of traders have significant influences on intraday price in the foreign exchange market. The more discrepancies exist, the more volatilities of price and volume increase.
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Kuo, Pi-Ching, and 郭璧菁. "The Investigation of Price-Volume Relationship in Stock Market：Comparison with Ten Countries." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/68004664043093387325.
Full textAbstract:
碩士國立雲林科技大學
財務金融系碩士班
91
This article examines the relationship of daily stock returns and volume of ten countries. By applying Nelson’s bivariate EGARCH-M model, we explore the volatility spillovers between stock returns and volume. The empirical result shows there is causality between stock returns and volume in Taiwan and the sustained volatility of stock returns/volume in most stock markets exist. Besides, the volatility of stock returns/volume affects returns significantly in Taiwan, Singapore, Thailand, and Japan; affects volume in other six Asian countries. And the volatility spillovers between stock returns and volume exist in Taiwan, Singapore, Thailand, Philippines, and Japan; the volatility spillover from stock returns to volume exists in China; the volatility spillovers from volume to stock returns exist in Canada and France. In addition, there are asymmetric effects (leverage effects) of the volatility spillovers in Philippines and China.
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Peng, Wen-Liang, and 彭文良. "The Study of Price-Volume Relationship and Firm Characteristics in Taiwan Stock Market." Thesis, 1997. http://ndltd.ncl.edu.tw/handle/88566839468157029691.
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Chen, Li Kou, and 陳立國. "Emperical Study for the Price - Volume Relationship of the Stock Market in Taiwan." Thesis, 1993. http://ndltd.ncl.edu.tw/handle/22594051886965369497.
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Lin, Jia-Wei, and 林家威. "Data mining on the relationship between price and volume in Taiwan stock market." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/00739168780586762953.
Full textAbstract:
碩士國立中興大學
財務金融學系所
104
In this study, 2005 to 2012 all of Taiwan''s listed stocks as samples, to explore for the following situations: We find stocks that the sum of shares volume in a day are more than the average of monthly shares volume plus a half times of the standard deviation of the average of monthly shares volume. We use the Apriori Algorithm to find the relationship between these stocks and another stock which the limit-up price will more than 6% times. Try to find information in an abnormal increase in the volume of information so that the next day if there is implicit limit related companies have more than 6%. We were further study and then the following two methods if you use a lot of explosion and the next day the stock price limit more than 6% correlation between the two as an investment strategy whether to invest can have a good performance. First, we look for 2005 to 2012 all stocka in Taiwan, which defined the date of the explosion of a large number of the company''s stock price limit in this study and every other association of more than 6% of the company''s stock. Then we analysis all the stocks from 2005 to 2012 listed in our study in 2013, 2014 and 2015, and observe how is the performance we use these relationship to invest the marker of Taiwan stock. Second, the correlation analysis every five years, and then every other year to all listed companies in Taiwan stocks, as with the aforementioned way to observe the return of investment performance.
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Lo, Chih Chi, and 羅志吉. "The Emperical Study of Price Change-Volume Relationship in Taiwan Govenment Bond Market." Thesis, 1995. http://ndltd.ncl.edu.tw/handle/96618032462345853177.
Full textAbstract:
碩士淡江大學
金融研究所
83
Price and Volume are two important variables in the theory of economic analysis Ying(1966) thinks that these two variables are joint products of a single market mechanism and this opinion could be applied to speculative market.The previous emperical studies about price-volume relationchip in Taiwan speculative market are mostly emphasized on stock market, however , bondarket is also one of speculative market. So,this research concentrates on the relationship between price and volume of government bond market in Taiwan. Thomas W. Epps(1975) has developed an asymmetric model which implies that the ratio of volume to price change for upticks exceeds the absolute value of this ration on downticks. The first goal of this thesis is to test if this theory could bepplied to the study of the Taiwan government bond market. The second goal of this thesis is to investigate the causality of price change and trading volume. The source of the data is the government bond choosed from the center of OTC(over-the-counter). The study interval is fromhe beginning of Nov.1992 to the end of Feb.1995. The methodology for testing asymmetric model adopts Willcoxon rank-sum test snd the Granger's causality theory(1969) is adopted to test the causality of price change and trading volume. From the empericalesult, we do not find evidence which supports asymmetric model. We do not find evidence which supports Granger's causality,either We have tried to explain it and there still exit some problem which would be left to future researchers.
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Yen, Chih-Hua, and 顏治華. "The relationship between Trading Volume and Stock Price in Smooth Transition Error Correction Model." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/13847712959329560246.
Full textAbstract:
碩士淡江大學
財務金融學系碩士班
96
In the latter technical analysis, the study investigates the relationship between stock price and trading volume is exercised very extensively. As the advance of the stock market and the research of professional, a different background usually results in the difference of the relationship between stock price and trading volume. Some statement such as “trading volume lead price” or “the aversion between trading volume and price”, but that seems to be divergent. The purpose of this paper is to discuss the cointegrated relationship between trading volume and price of stock market in America (Nasdaq index). That is the regulative process from short-run to long-run. And the model used in this paper is non-linear Smooth Transition Regression Model. The empirical results show that the stock price and trading volume in America cointegrated and negatively associated with each other. But the stability of the long-run relationship is deficient. Among the two variables, stock price index is a weak-exogenous variables. The evidence suggest that the regulative process of trading volume formed as exponential non-symmetry flame.
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Wang, Yi-hsin, and 王宜信. "A new technical indicator considers the relationship between price and volume of stock market." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/29979673431686157909.
Full textAbstract:
碩士南華大學
資訊管理學系
100
The two things equity investors are most concerned with are: 1) stock picking - finding a good investment target, and 2) timing of purchase and sale. That said, these two things will be the main theme of this research. Although common technical indicators are being widely used by investors to determine time to enter market, these techniques have been used by too many, obtaining these information have been made relatively easy, thus making these references less valuable. In addition, past technical indicators did not take into consideration the relationship between stock prices and trading volume. Many researches have shown that using a single variable as the basis of investment is insufficient and unwise. In view of the above, this research will propose a new technical indicator that takes into consideration both stock price and trading volume at the same time, thus making it superior in terms of investment timing. This research involves seven scenarios of the price-volume relationship, converts the daily transaction data of individual stocks into daily scores, then takes the scores and transforms those into short-term, as well as long-term moving averages. The crossing of the two averages will be used to predict the trend of the stock prices in the future, thus indicating the timing of investments. For example, when short-term moving average line breaks above the long-term moving average, it indicates a buy; when short-term moving average falls below the long-term moving average, it indicates a sell. Based on the empirical test results, the performance of the strategy discussed in this research was comparable with historical records, but involves less transactions while being easy to use. We can conclude from this that the new technique can provide investors a more valuable market reference.
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Hsieh, Chia-hsin, and 謝家欣. "AN EMPIRICAL STUDY OF THE RELATIONSHIP BETWEEN MONETARY PRICE-VOLUME FACTORS AND STOCK INDEX." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/42162150485246825918.
Full textAbstract:
碩士南華大學
財務管理研究所
91
The study investigates the long-term interrelationships between stock index and monetary factors, by the cointegration analysis. Vector Autoregression (VAR) is first estimated, from which yields forecast error variance decomposition and impulse response function to captures their dynamic characteristics. This paper uses monthly data from 1995 to 2001. The empirical results indicate: (1) By Johansen's estimation method, it is found that stock index has no stable long-term relationship with monetary variables. (2) According to its forecast error variance decomposition from the VAR model, we find that M1B has a closer short-term dynamic relationship with the monetary variables of concern. (3)Based on impulse response function, we conclude that a short-term change in the money supply has a positive effect on stock index returns, and over-night rate has a negative effect on stock index returns.
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Huang, Ching Kuang, and 黃慶光. "An Analysis of Contrarian Strategy, Volume-Price Relationship On the Taiwan Stock Market Index." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/36172053111671022703.
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Ling, Lo, and 駱綾. "The Emperical Study of Price Change-Volume Relationship in Shanghai and Shenzhen Stock Market." Thesis, 1995. http://ndltd.ncl.edu.tw/handle/81840320895369574350.
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碩士淡江大學
大陸研究所
83
This thesis investigates the quantitative relation betweenstock market in the Shanghai and the market in Shenzhen.mainland China made animportant decision in 1984,that is,will perform the planned economical policy in thealistic system. In order to borrow a large amount of money,opened two stock markets in Shanghai and Shanzhen which isfirst will-established economical area in China.The purposehis thesis will study these two markets in detail and findrelationship between the price and quantity.e data of this research is provided by the Nationalrities corporation in Taiwan.The sample are collected fromJuly 3,1993 to December 30,1995,including the tendency ofstock price and the total amount money.We mainly use thele- variabl model proposed by the Granger to investigate thetionship bbbetween the price and quantity.ter applying this model,we conclude that the pricetity of the stock markets in Shanghai and Shenzhen bothsfies the bi-directional relation fefined by Grahger.over,our research results have shown that there exists aback relation in both markets during this period.
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Wang, Tzu-Wen, and 王姿文. "A Study on the Effect of Options Volume Trading on Volume and Price Relationship of the Taiwan Stock Index Futures." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/uw4q3v.
Full textAbstract:
碩士東海大學
企業管理學系碩士班
94
Investing in the financial market, it is quite important to observe the change between the price and volume, the relations extend from stock market to the derivative financial market, financial goods market because low transaction cost and the lever, offer stock one of investor best to avoid dangerous channel, can solve the atmosphere of speculating of stock market, domestic research, divide trading volume into positive trading volume and negative trading volume , by the past reference, the positive trading volume would have influence on as a positive effect, negative trading volume have one defeating by price influence, so research this is it mean with platform that Taiwan issue options trading volume and trading volume of the futures as the research object to plan relative, and divide trading volume into positive trading volume and negative trading volume, the relation that research futures and trading volume of options fluctuate to the price of the futures, if we can fluctuate to the price of the forward market understand the relation changed with the futures, trading volume of options to some extent, will contribute to investor's grasping the arbitrage chance and avoiding the dangerous opportunity. The impact on price of the futures of the trading volume of the futures, there are the positive futures amount at the same time a positive price is influenced, the negative futures amount have a relative one to defeated by the price and influenced, acting as the trading volume of a issue of positive futures will have apparent influence on price of the futures, mean every 100 contracts will make the price of the futures increase to count by 1.33; Similarly, have as issues of negative futures trading volume apparent defeat to influence, lag 0 coefficient is -1.26; Positive futures trading volume lag1 and lag2 apparent , show price is it present phenomenon of overturning and is it can up to one minute to influence to begin; In a trading volume with presenting positive correlation at the price of a issue of futures, lagged behind a trading volume to acting , the price of a issue of futures was not influenced, can find out, the impact on price of the futures of the trading volume of the futures is the information effect. The respect of price of the futures relevantly with the date due, near from now to the date due, lagging behind the trading volume of the first stage of positive futures will influence price of the futures, but the farther from the date due, lag behind the trading volume of a issue of futures and have no effect on price of the futures; Many bear markets, the impact on price of the futures of the trading volume of the futures, trading volume lag 0 coefficient of positive futures is 1.55 in the bull, but reduce and become 0.27 in the shortseller; Under the bull market situation, lagging behind the trading volume of the first stage of positive futures will influence price of the futures, but the trading volume of the negative futures lags behind six issues were not influenced. It influences the price of the futures for being apparent that the lags options behind a trading volume, infer that options is the liquidity effect; The factor is influenced on date due, no matter the distance on date due, lagging behind the trading volume of a options will influence price of the futures; Bull market and bear markets, net put volume in the bear market and total trading volume of positive options volume of the bull market accords with the liquidity effect hypothesis. And still find the appropriate one of trading volume of the options is not influenced so big like that as futures. Lag behind the impact on price of the futures of the trading volume of a issue of futures, lagging behind the first stage of trading volume of positive futures will have apparent influence on price of the futures, influence and up to five minutes; The trading volume of negative futures of lagging behind the first stage of and two periods of lagging behind has negative influence on price of the futures. The backward trading volume of the negative futures is apparent to the influence of the price of the futures, mean investors can predict the change of the price via the trading volume of the futures. Options, lag behind six issues and buy right trading volume and net total trading volume of straight options and total trading volume of the negative options that sell the trading volume of right and lagging behind six issues netly and have no effect on price of the futures, can find the ability that the trading volume of options of lagging behind one was not predicted, investors are unable to predict the change of the price via the trading volume of the options. And futures and options is it have influence of showing while being the first stage of to lag behind in bear market only, other different date due, bull market and spot exchange time are not all influenced. Futures trading volume and options trading volume is it connect with to close, it finds to be according to different date due materials that classify materials, or from now to more than five bargain days of date due from now to five bargain days of date due, net positive futures volume (npfv) With lagging behind the net positive options volume(npov) It is not apparent to influence, show options volume have leading futures volume, npov and npfv lag behind the first stage of lagging behind two positive correlation of having, the volume of futures leads the volume of options for about ten minutes; Find the volume of the leading options of the trading volume of the futures, represent the trading volume of leading options of the trading volume of the futures; In the bull market, the volume of options has no volume of leading futures, the volume of futures lead the volume of options for about ten minutes, but in the nominal situation, the volume of the futures only leads the volume of options five minutes.
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Wu, Chih Hui, and 吳致輝. "Cross-Country Evidence on the Dynamic Price-Volume Relationship between ADRs and Their Underlying Stocks." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/84647873563914805596.
Full textAbstract:
碩士國立暨南國際大學
財務金融學系
95
There is a large number of studies on the dynamic interaction between the prices of American depository receipts(ADR) and their underlying stocks, but only few focus on the implication of the information of their trading volume. This paper extends the prior researches to examine the dynamic price-volume relationship of, and spillover effect on, ADR and underlying stocks in five emerging countries and four developed countries. Evidence shows that trading volume possesses leading position of a certain degree, especially ADR trading volume. The arrival of information of trading volume takes place during the overnight in ADR market, which is the overnight and daytime in underlying market. Return of daytime and overnight possess leading position of trading volume of cross market.
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Tsai, Wen-Pin, and 蔡文賓. "The Study of Price-Volume Relationship between QFII Net Buys/Sells and Financial Holding Companies." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/68902877155765924259.
Full textAbstract:
碩士朝陽科技大學
財務金融系碩士班
94
Security market is a leading indicator of economic development in a country. The government opened QFII to invest domestic securities in the late of 1990 and the Financial Holding Company (FHC) to set up in November, 2001. It is said that “volume leads price”, that is, the volume of stock will react in advance compared to stock price. Therefore, QFII Net buys/sells whether will be the leading indicator of stock price is a hypothesis to investigate and verify in this study. We apply TEJ selected from July 1,2005 to June 1,2006 to investigate price-volume relationship between QFII Net buys/sells and Financial Holding Company. We inspect the property of time series by ADF and PP Unit Root test and Vector Autoregression Model (VAR) to analysis the price-volume relationship. The empirical results are as follows: First, time series of QFII Net buys/sells and stock price of FHC are both stationary series. Second, the Granger Causality test of Chinatrust, Taishin, Mega, Waterland and China Development FHC exist lead-lag while Cathay, First and Hua Nan FHC exist insignificance. The stock price of E.Sun, SinoPac, Fubon and Shin Kong FHC lead QFII Net buys/sells, but QFII Net buys/sells of Huhwa FHC leads stock price. Third, from the empirical results of VAR, we can find QFII Net buys/sells and stock price of FHC exist bi-directional relationship in most FHC. Both QFII Net buys/sells and stock price of FHC are affected by lag intervals itself, especially the change of Shin Kong FHC is significant. Forth, when autonomous disturbance occur on the stock price of FHC, QFII Net buys/sells will react immediately and the affection is short-term. The impulse tend to be gradual after the sixth, the seventh, the eighth and the ninth periods.
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Sheng, Chiai-Chung, and 盛介中. "An Imperical Study of Technical Index Analysis with Price- Volume Relationship in Taiwan Stock Market." Thesis, 1995. http://ndltd.ncl.edu.tw/handle/36532110742722471405.
Full textAbstract:
碩士國立交通大學
資訊管理研究所
83
Due to the economical growth in Taiwan and the ambition to become Asia Financial Center, the need of commercial analysis technique is more important than before. This research uses computer-aided analysis method to get an empirical study of Technical Index Analysis with Price-Volume Relationship in Taiwan Stock Market. In this research, five years of Taiwan stock market data was taken to build an empirical study and concluded the following results. First, technical index may be represented by exchange stock volume instead of the stock price, and which may sometimes derive better accuracy of the output results. Second, the technical index analysis may be influenced by the index parameter, i.e. different parameter may reach different results and accuracy. Third, for each technical index the accuracy may vary dramatically du ring different periods of time, i,e. no technical index may be effective forever. Forth, the buy-signal accuracy and sell-signal of one technical index are different and the analysts should take different parameters while making buying and selling decisions. Fifth, a study on advanced bias analysis shows that the long-term variation points may match the local min/max points of moving average price sets'' standard deviation. Sixth, pressure/support analysis derived from accumulated stock volume shows no tight ly coupled relationships between long-term variation points and accumulated volume. With the use of the research results, the end of this thesis shows a 「 Computer Aided Stock Analysis System Model (CASAS) 」. The analysts may take the advantage of the computing ability of CASAS to take all the variation of Technical Index into consideration during analysis processes.
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YEH, YUN-SHENG, and 葉雲聲. "THE PRICE-VOLUME RELATIONSHIP BETWEEN THE TAIWAN STOCK INDEX AND INDEX FUTURES-VECTOR AUTOREGRESSIVE MODEL." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/18537447872518535843.
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Jui-Hsuan, Wu, and 吳瑞璇. "An Empirical Study of the Relationships Between Monetary Price-Volume Factors and Taiwan Stock Price Index." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/22498978786477229217.
Full textAbstract:
碩士中國文化大學
國際企業管理研究所
94
ABSTRACT This paper is an empirical study on the relation in money price-volume market, both the long position (bull) and short position (bear) of Taiwan stock market. In this paper, the money market includes money supply (M2) and over-night rate. The stock price index is based on volume of weighted stock index. The research time period is 100 samples of monthly basis from October 1997 to January 2006. There are three hypothesis which will be tested for case study. They are Unit-root , Granger Causality and Regression test. The empirical result which we obtained by academic research are as follows: 1. The relation between the stock price index of Taiwan and money supply is one way. Which means the money supply affect the stock price index of Taiwan is positive. 2. There is no connection between the stock price index and over-night rate. And the same as the over-night rate and TAIEX. 3. The relation between money supply and TAIEX is one way, which means money supply affect over-night rage is positive.
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CHEN, YEN-CHI, and 陳彥錡. "Discussion the Relationships between the Stock Price and Volume in Taiwan." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/48888302381480106395.
Full textAbstract:
碩士僑光科技大學
財務金融研究所
102
This essay used daily and monthly trading volume as threshold variables, and aimed to discuss possible time-series relationships of Taiwan Exchange Index, abbreviated as TAIEX, and more-overly the interaction relationships between trade volumes and TAIEX corresponding to the threshold values. For these purposes, this essay collected daily data from January 2nd, 2002 to December 31th, 2013 and cumulated daily values as monthly data. Based on the 2984 daily data, this essay employed the threshold regression model and the threshold vector autoregression model to explore the aimed relationships separately. The empirical results shows that (1).under the threshold regression model, TAIEX exhibiting distinct time-series relationships corresponding the levels of observed trading volumes; and (2)under the threshold vector autoregression model, there are different causalities between TAIEX and trading volumes due to three specified zones.
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Chan, Yi-Cheng, and 陳奕丞. "The Relationships of Price and Volume in Crude Oil Futures Contracts." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/06998486491491299109.
Full textAbstract:
碩士國立高雄第一科技大學
金融系碩士班金融組
101
In the past crude oil usually sales by oil companies and oil producing countries signed forward contracts to deal. Since the establishment of the OPEC and oil embargo in 1973, resulting in significant increase in the volatility of crude oil, increasing hedging demand for oil campanies. After crude oil futures contract was introduced to meet the demand for hedging. This study used quantile regression to explore the relationship of price and volume in NYMEX Light Sweet Crude Oil futures contracts and ICE Brent Crude futures contracts. The results for the Light Sweet Crude Oil futures contracts and Brent Crude futures contracts show positive relationships between two factors when price goes up ,and negative relationships when price goes down. The magnitude relationships of price and volume in crude oil futures contracts are different when price goes up and price goes down.
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Jen, Ching-Sung, and 任青松. "A Study on Volume and Price Relationship in the Taiwan Stock Index and Stock Index Futures." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/91970953376080707085.
Full textAbstract:
碩士國立高雄第一科技大學
財務管理所
90
This paper employs OLS, ECM and Granger causality to study the relationship of the prices and volumes in the Taiwan stock index markets and Taiwan stock index futures markets. A GARCH model is used to examine the bilateral relation- ship between volume and price volatility of the concerned stock index and stock index futures. The result of this study indicates that the change process of price and volume is best described by a GARCH(1,1) model which is capable of mimicking observed statistical characteristics of many time series of financial assets. The empirical data consists of the index of TAIFEX and TSEC include the time until 21 July 1998 to 31 December 2001, its summary is 906 samples. The data of financial index and electric index of TAIFEX and TSEC include the time until 21, July 1999 to 31 December 2001, its summary is 637 samples. The structure of GARCH models of the conditional hetero-skedasticity can capture the volatility clustering and persistence of the returns of the TAIFEX index and TSEC index. The EGARCH(1,1) can catch the asymmetries or leverage effects of the TAIFEX index and TSEC index. The ending, insert the volume in the GARCH(1,1) model and EGARCH(1,1) model to research the effects of the persistence or asymmetric of the TAIFEX index and TSEC index.