NONLINEAR MARKET DYNAMICS BETWEEN STOCK RETURNS AND TRADING VOLUME: EMPIRICAL EVIDENCES FROM ASIAN STOCK MARKETS

Wu-Jen Chuang (), Liang-Yuh Ou-Yang () and Wen-Chen Lo ()
Additional contact information
Wen-Chen Lo: Graduate Institute of Money, Banking and Finance, Tamkang University, Taipei, Taiwan, R.O.C.

Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice (1954-2015), 2009, vol. 56, 621-634

Abstract: Recent empirical researches report that nonlinear dynamics is present in asset returns because of noise traders involved in the market. This study examines whether there exists any nonlinear dynamics in Asian stock markets. We employ the smooth transition autoregressive model with the percentage change in trading volume as the transition variable to capture the nonlinear movement between stock returns and trading volume in Taiwan, Hong Kong, Singapore, and Korea stock markets. The results show nonlinear dynamics exist between stock returns and trading volume in the stock market. Moreover, trading volume plays an important role for the cyclical movements in the stock market.

Keywords: Nonlinear dynamics; Cyclical behavior; Stock market returns; Trading volume; STAR models (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://anale.feaa.uaic.ro/anale/resurse/48_S08_WuJenChuang_sa.pdf (application/pdf)
http://anale.feaa.uaic.ro/anale/ro/Arhiva%202009%20Chuang/304 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aic:journl:y:2009:v:56:p:621-634

Access Statistics for this article

More articles in Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice (1954-2015) from Alexandru Ioan Cuza University, Faculty of Economics and Business Administration Contact information at EDIRC.
Bibliographic data for series maintained by Sireteanu Napoleon-Alexandru ().