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
Abstract
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.
Subjects
free text keywords: stock market, foreign exchange market, nonlinear Granger causality, heteroscedasticity, jel:F31, jel:C12
Related Organizations
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