English, Article edition: VolatilityâVolume Relationships Among Types of Traders Considering the Investment Limitation to Foreign Investors Ching-Mann Huang; Tsai-Yin Lin; Chih-Hsien Yu; ...

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Physical Description
  • article
Language
  • English

Edition details

Title
  • VolatilityâVolume Relationships Among Types of Traders Considering the Investment Limitation to Foreign Investors
Author
  • Ching-Mann Huang
  • Tsai-Yin Lin
  • Chih-Hsien Yu
  • Si-Ying Hoe
Physical Description
  • article
Notes
  • This paper examines the volatilityâvolume relationship in Taiwan stock market, using volume data categorized by type of trader. We consider before and after our event period of lifting the investment restrictions for foreign investors. We partition trading volume into expected and unexpected volume and find that the unexpected volume shocks for individual investors are more important than the expected volume shocks in explaining volatility before lifting the investment restrictions for the foreign investors. We find that the positive volatilityâvolume relationship is driven by the individual investors even during the period of the lifting of investment restrictions for foreign investors. However, with respect to institutional investors, before the removal of investment restrictions for foreign investors, the unexpected volume of trading of the domestic dealers exhibit positive volatilityâvolume relationship. Further, after the removal of investment restrictions, the unexpected volume of the foreign investors has a positive volatilityâvolume relationship.
  • Volatilityâvolume relation, type of trader, foreign investors, investment limitation, JEL Classification: C22, JEL Classification: G23
  • RePEc:wsi:rpbfmp:v:09:y:2006:i:04:p:575-596
Language
  • English
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