Firm Size Transmission Effect and Price-Volume Relationship Analysis During Financial Tsunami Periods

Shih-Yung Wei, Wei-Chiang Hong () and Kai Wang
Additional contact information
Shih-Yung Wei: National Yunlin University of Science & Technology, Taiwan
Kai Wang: China University of Technology, Taiwan

International Journal of Applied Evolutionary Computation (IJAEC), 2011, vol. 2, issue 3, 59-78

Abstract: Investors attend importance to forecast the price of financial assets, thus, the factors affecting the stock price are usually the focus of financial research in the field, in which the most important factors to scholars are firm size transmission effect and price-volume relationship. In this study, the analysis of these two items in the Taiwan stock market is conducted. The results indicate that the firm size transmission effect is almost significant, and the reversal phenomenon also exists. However, before the financial tsunami, the firm size transmission effect does not significantly exist; this result also indirectly proves the directional asymmetry of the market returns, proposed by McQueen, Pinegar, and Thorley (1996). For price and volume relationship, big cap index reveals that volume leads to price before the financial tsunami, and small cap index appears that price leads to volume in 2010.

Date: 2011
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://services.igi-global.com/resolvedoi/resolve. ... 4018/jaec.2011070105 (application/pdf)

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:igg:jaec00:v:2:y:2011:i:3:p:59-78

Access Statistics for this article

International Journal of Applied Evolutionary Computation (IJAEC) is currently edited by Sukhpal Singh Gill

More articles in International Journal of Applied Evolutionary Computation (IJAEC) from IGI Global
Bibliographic data for series maintained by Journal Editor ().