An Empirical study of the relation between trading volume and volatility in the Taipei foreign exchange market
2008
Hochschulschrift
Zugriff:
96
In this study, I examine the interaction of volume and volatility in the Taipei foreign exchange market over January 2004 to December 2007. Consistent with empirical results of previous research, I find a positive relation between total trading volume and volatility. I also decompose total volume into expected and unexpected components. I find a positive relation between unexpected volume and volatility. This result is consistent with MDH, which supposes that volume and volatility are both driven by a common and unobservable factor that reflects the arrival of new public information. Regarding the expected volume, a weakly positive correlation with the volatility was observed. There is weak evidence that the Taipei foreign exchange market is efficient.
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An Empirical study of the relation between trading volume and volatility in the Taipei foreign exchange market
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Autor/in / Beteiligte Person: | Yang, Li ji ; 楊立吉 |
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Veröffentlichung: | 2008 |
Medientyp: | Hochschulschrift |
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