Price Common Volatility or Volume Common Volatility? Evidence from Taiwan's Exchange Rate and Stock Markets /
By: Shyh-Wei Chen.
Series: Vol. 18 No. 2 June 2004.Description: p185.Subject(s): Asian Economic Journal 2004 | Chung-Hua Shen | Common volatility ARCH model | Markov-switchingOnline resources: Click here to access online In: Asian Economic JournalSummary: 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 pricesThis 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