Causalities of the Taiwan Stock Market

Juhi-Lian Julian Ting

Papers from arXiv.org

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.

Date: 2003-04
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Published in Physica A 324, 285-295 (2003)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:cond-mat/0304132

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