The Study on the Correlation between Wholesale Price and Trading Volume in Taiwan Milkfish Market
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Jia-Jan Lee: Associate Professor, Department of Applied Economics, National Chia Yi University, Taiwan
Asian Journal of Economic Modelling, 2019, vol. 7, issue 2, 73-81
The unit root test, vector autoregressive (VAR) model, Granger causality test, and impulse response function are applied in this study to explore the correlation between wholesale price and trading volume of milkfish in Taiwan milkfish market over the period 2001- 2017. The empirical results show that both the wholesale price and the trading volume of the Taiwan milkfish market are stationary series, and there is a bidirectional causal relationship between the two. That is, the price and the volume of the milkfish affect each other, i.e., there is a short-term and interactive relationship between the wholesale price and the trading volume. When the wholesale price rises (falls), there would be a negative (positive) relationship in the first and second period, and a positive (negative) response in the seventh period. If the trading volume increases (decreases) in the current period, then the price would experience decline (increase) in the first period.
Keywords: Price; Trading volume; Milkfish; VAR; Causality; Impulse response function. (search for similar items in EconPapers)
JEL-codes: C22 Q1 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:asi:ajemod:2019:p:73-81
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