publication . Article . 2006

Testing for Nonlinear Granger Causality in the Price-Volume Relations of Taiwan's Stock and Foreign Exchange Markets

Shyh-Wei Chen; Chun-Wei Chen;
Open Access
  • Published: 01 Jan 2006 Journal: Journal of Economics and Management, volume 2, issue 1 January, pages 21-51
This paper investigates the price-volume relationships of Taiwan's stock and foreign exchange markets. We first adopt the traditional linear Granger causality test to achieve this goal. In addition, the nonlinearity feature is also taken into account. We employ the nonlinear Granger causality test, championed by Hiemstra and Jones (1994), to detect the nonlinear relationships among stock and foreign exchange markets. The empirical results show that there do exist nonlinear price-volume relationships in Taiwan's stock and foreign exchange markets. The conditional heteroscedasticity feature plays an important role in this nonlinear relationship.
free text keywords: stock market, foreign exchange market, nonlinear Granger causality, heteroscedasticity, jel:F31, jel:C12
Related Organizations
40 references, page 1 of 3

殷惠緡 (2000),股價與匯價關聯性分析-多變量 GARCH 模式運用,淡江大學財 務金融學系碩士論文。

劉永欽 (1996),台灣地區股票市場之線性及非線性 Granger 因果關係之研究, 交通大學管理科學研究所碩士論文。

Aggarwal, R., (1981), “Exchange Rates and Stock Prices: A Study of U.S. Capital Market under Floating Exchange Rates,” Akron Business and Economic Review, 12, 7-12. [OpenAIRE]

Ajayi, R. A. and M. Mougoue, (1996), “On the Dynamic Relation between Stock Prices and Exchange Rates,” Journal of Financial Research, 19, 193-207.

Anderson, P. W., K. J. Arrow and D. Pines, (1988), “The Economy as an Evolving Complex System,” Santa Fe Institute Studies in the Sciences of Complexity, 5, Addison-Wesley Publishing.

Baek, E. and W. Brock, (1992), “A General Test for Nonlinear Granger Causality: Bivariate Modle,” Working Paper, Iowa State University and University of Wisconsin-Madison.

Bollerslev, T., (1986), “Generalized Autoregressive Conditional Heteroskedasticity,” Journal of Econometrics, 31, 307-327.

Branson, W. H. and D. W. Henderson, (1985), “The Specification and Influence of Asset Markets,” in Jones, R. W. and P. B. Kenen (eds.), Handbook of International Economics, Vol. II, Amsterdam: Elsevier Science Publishers.

Brock, W. A., (1991), “Causality, Chaos, Explanation and Predication in Economics and Finance,” in Casti, J. and A. Karlqvist (eds.), Beyond Belief: Randomness, Prediction and Explanation in Science, CRC Press, Boca Raton, Fla.

Brock, W. A., D. A. Hsieh and B. LeBaron, (1991), Nonlinear Dynamics, and Instability, Cambridge, MA: MIT Press.

Brock, W. A., W. Dechect and J. Scheinkman, (1987), “A Test for Independence Based on the Correlation Dimension,” University of Wisconsin at Madison, Department of Economics Working Paper.

Brock, W. A., W. Dechect, J. Scheinkman and B. Lebaron, (1996), “A Test for Independence Based on the Correlation Dimension,” Econometric Reviews, 15, 197-235. [OpenAIRE]

Campbell, J., S. Grossman and J. Wang, (1993), “Trading Volume and Serial Correlation in Stock Returns,” Quarterly Journal of Economics, 108, 905-939. [OpenAIRE]

Clark, P. K., (1973), “A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices,” Econometrica, 41, 135-155.

Copeland, T. E., (1976), “A Model of Asset Trading under the Assumption of Sequential Information Arrival,” Journal of Finance, 31, 1149-1168. [OpenAIRE]

40 references, page 1 of 3
Powered by OpenAIRE Open Research Graph
Any information missing or wrong?Report an Issue