Causalities of the Taiwan stock market

Julian Juhi-Lian Ting

Physica A: Statistical Mechanics and its Applications, 2003, vol. 324, issue 1, 285-295

Abstract: Volatility, fitting with first-order Landau expansion, stationarity, and causality of the Taiwan stock market (TAIEX) are investigated based on daily records. Instead of consensuses that consider stock market index change as a random time series we propose the market change as a dual time series consists of the index and the corresponding volume. Therefore, causalities between these two time series are investigated. Our results suggest the volume time series is of second-order importance than the index time series. The index time series receives slightly stronger influence from the previous 67th trading day, while the volume time series is slightly stronger influenced by the previous 62nd trading day.

Keywords: Causality; Taiwan stock market; Dual time series (search for similar items in EconPapers)
Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:324:y:2003:i:1:p:285-295

DOI: 10.1016/S0378-4371(02)01842-3

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