Due to data concerns, the microstructure of the price-volume relationship is seldom explored in Taiwan. Through efforts to collect the data, we reveal two impressive findings to contribute to the literature. One is that declining share prices are followed by a burst in volume, especially at...

By exploring the CTA index with other representative indices across stock, bond, currency, futures, oil, gold and commodity markets, we reveal several impressive findings for the CTA index. First, an upward trend exists for the CTA index without obvious drops. Second, a lower correlation is...

Recently, most of the relevant studies (see, e.g. Atukeren [5], Ayadi [6], Roeger [38], Trehan [44], Bermingham [7], Oladosu [34]) have focused on oil price shocks to the economy variables such as GDP, interest rates, inflation, and industrial production, but few studies have focused on external...

When analysing the data periods including the pre-financial and financial crisis periods, the results show that investors might make profits by using Variable Length Moving Average (VMA) trading rules as buying signals rather than as selling signals shown for the Brazil, Russia, India and China...