Shyh-Wei Chen.
Price Common Volatility or Volume Common Volatility? Evidence from Taiwan's Exchange Rate and Stock Markets / - p185 - Vol. 18 No. 2 June 2004 .
This paper investigates the common volatility structure of stock and exchange rate markets of Taiwan. The two markets are often linked together and we are interested in knowing whether price or volume is a good proxy to pursue this issue. We claim that Taiwanese government interventions distort the timing of conventional price volatility clustering in the two markets. The unrestricted trading volumes reveal more information regarding the market than price. We find that common volatility does exist in the stock and exchange markets and this fact is uncovered more easily by using trading volume than by using prices
Asian Economic Journal 2004
Chung-Hua Shen
Common volatility ARCH model
Markov-switching
Price Common Volatility or Volume Common Volatility? Evidence from Taiwan's Exchange Rate and Stock Markets / - p185 - Vol. 18 No. 2 June 2004 .
This paper investigates the common volatility structure of stock and exchange rate markets of Taiwan. The two markets are often linked together and we are interested in knowing whether price or volume is a good proxy to pursue this issue. We claim that Taiwanese government interventions distort the timing of conventional price volatility clustering in the two markets. The unrestricted trading volumes reveal more information regarding the market than price. We find that common volatility does exist in the stock and exchange markets and this fact is uncovered more easily by using trading volume than by using prices
Asian Economic Journal 2004
Chung-Hua Shen
Common volatility ARCH model
Markov-switching