Translated Titles

An Investigation of Trading Volume and Volatility: Evidence from Taiwan Warrants and Underlying Stocks




王毓敏(Yu-Min Wang)

Key Words

認購權證 ; 標的股票 ; 交易量 ; 波動性 ; 不對稱效果 ; 異質性 ; Warrant ; Underlying Stock ; Trading Volume ; Volatility ; Asymmetric Effect ; Heteroskedasticity



Volume or Term/Year and Month of Publication

21卷1期(2002 / 04 / 01)

Page #

115 - 136

Content Language


Chinese Abstract


English Abstract

This paper studies the interactions between trading volume and volatility of Taiwan warrants and underlying stocks, and tests the asymmetric effect of information on volatility. In this paper, the conclusions can be summarized as follows: (1) The returns of warrant and the underlying stock don't interaction close. (2) The risk of warrant and underlying stock raises the risk-averse holders to require risk premium for compensation. (3) The analysis indicates that the trading activity of warrants and underlying stocks contributes to enhanced volatility of returns. (4) There exists the asymmetric effect of information on volatility of returns.

Topic Category 社會科學 > 經濟學
社會科學 > 管理學
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