Price Common Volatility or Volume Common Volatility? Evidence from Taiwan's Exchange Rate and Stock Markets / (Record no. 6479)
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| 000 -LEADER | |
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| fixed length control field | 01310naa a2200205Ia 4500 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 160503s9999 xx 000 0 und d |
| 001 - CONTROL NUMBER | |
| control field | art0049 |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Shyh-Wei Chen. |
| 245 ## - TITLE STATEMENT | |
| Title | Price Common Volatility or Volume Common Volatility? Evidence from Taiwan's Exchange Rate and Stock Markets / |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | p185 |
| 490 ## - SERIES STATEMENT | |
| Series statement | Vol. 18 No. 2 June 2004 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | 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 |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Asian Economic Journal 2004 |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Chung-Hua Shen |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Common volatility ARCH model |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Markov-switching |
| 773 ## - HOST ITEM ENTRY | |
| Record control number | 1351-3958 |
| Title | Asian Economic Journal |
| 856 ## - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | http://www.blackwell-synergy.com/links/doi/10.1111/j.1467-8381.2004.00189.x/abs/ |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Koha item type | Journal Articles |
| Source of classification or shelving scheme | |
No items available.