000			01310naa a2200205Ia 4500
008			160503s9999 xx 000 0 und d
001			art0049
100			_aShyh-Wei Chen.
245			_aPrice Common Volatility or Volume Common Volatility? Evidence from Taiwan's Exchange Rate and Stock Markets /
300			_ap185
490			_aVol. 18 No. 2 June 2004
520			_aThis 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			_aAsian Economic Journal 2004
650			_aChung-Hua Shen
650			_aCommon volatility ARCH model
650			_aMarkov-switching
773			_w1351-3958 _tAsian Economic Journal
856			_uhttp://www.blackwell-synergy.com/links/doi/10.1111/j.1467-8381.2004.00189.x/abs/
942			_cART _2MT
999			_c6479 _d6479