Extreme Return-Volume Dependence in East-Asian Stock Markets : A Copula Approach

A copula approach is used to examine the extreme return-volume relationship in six emerging East-Asian equity markets. The empirical results indicate that there is significant and asymmetric return-volume dependence at extremes for these markets. In particular, extremely high returns (large gains) tend to be associated with extremely large trading volumes, but extremely low returns (big losses) tend not to be related to either large or small volumes

MoreLess

Year of publication:	2013
Authors:	Ning, Cathy
Other Persons:	Wirjanto, Tony S. (contributor)
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Multivariate Verteilung \| Multivariate distribution \| Kapitaleinkommen \| Capital income \| Aktienmarkt \| Stock market \| Handelsvolumen der Börse \| Trading volume \| Ostasien \| East Asia
Description of contents:	Abstract [papers.ssrn.com]

Check Google Scholar |

More access options

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Finance Research Letters 6 (2009) 202–209 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2009 erstellt Volltext nicht verfügbar
Classification:	C14 - Semiparametric and Nonparametric Methods ; C51 - Model Construction and Estimation ; G01 - Financial Crises ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013084099