The Microstructure of the Price-Volume Relationship of the Constituent Stocks of the Taiwan 50 Index

Pao-Yu Huang, Yen-Sen Ni and Chi-Min Yu

Emerging Markets Finance and Trade, 2012, vol. 48, issue 0, 153-168

Abstract: Due to data concerns, the microstructure of the price-volume relationship is seldom explored in Taiwan. Through efforts to collect the data, we reveal two impressive findings to contribute to the literature. One is that declining share prices are followed by a burst in volume, especially at market close. The other is that total trading volume increased by foreign institutions boosts subsequent returns, whether the trading volume is increased by buying or selling. Both results are barely disclosed in previous studies.

Keywords: institutional investors; microstructure; price-volume relationship (search for similar items in EconPapers)
Date: 2012
References: Add references at CitEc
Citations:

Downloads: (external link)
http://mesharpe.metapress.com/link.asp?target=contribution&id=VWWVJ5H307781420 (text/html)
Access to full text is restricted to subscribers.

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:mes:emfitr:v:48:y:2012:i:0:p:153-168

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/MREE20

Access Statistics for this article

More articles in Emerging Markets Finance and Trade from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().