Studies on the effect of trading volume and return volatility on call warrants and underlying stocks in Taiwan.(financial commodity call warrants): An ... Quarterly Journal of Business and Economics

by Chien-Liang Chiu, Ming-Chih Lee, Cho-Min Lin, Chun-Da Chen

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This digital document is an article from Quarterly Journal of Business and Economics, published by Thomson Gale on January 1, 2005. The length of the article is 6099 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.

From the author: This study selects ten call warrants on electronics stocks and utilizes the bivariate GARCH model to investigate the influence of return and expected and unexpected trading volume on the call warrants and underlying stocks. The results reveal that stocks and call warrants are correlated and function as leading factors for each other. The volatilities of underlying stock returns are positively influenced by the expected and unexpected trading volumes of the underlying stocks. The influence of expected and unexpected trading volumes of warrants on the volatility of target stock returns is also positively correlated. Expected and unexpected trading volumes of warrants as well as underlying stocks show a positive correlation with the return volatility of warrants.

Citation Details
Title: Studies on the effect of trading volume and return volatility on call warrants and underlying stocks in Taiwan.(financial commodity call warrants)
Author: Chien-Liang Chiu
Publication: Quarterly Journal of Business and Economics (Magazine/Journal)
Date: January 1, 2005
Publisher: Thomson Gale
Volume: 44 Issue: 1-2 Page: 29(15)

Distributed by Thomson Gale

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