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Firm Size Transmission Effect and Price-Volume Relationship Analysis During Financial Tsunami Periods

Firm Size Transmission Effect and Price-Volume Relationship Analysis During Financial Tsunami Periods

Shih-Yung Wei, Wei-Chiang Samuelson Hong, Kai Wang
Copyright: © 2011 |Volume: 2 |Issue: 3 |Pages: 20
ISSN: 1942-3594|EISSN: 1942-3608|EISBN13: 9781613505557|DOI: 10.4018/jaec.2011070105
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MLA

Wei, Shih-Yung, et al. "Firm Size Transmission Effect and Price-Volume Relationship Analysis During Financial Tsunami Periods." IJAEC vol.2, no.3 2011: pp.59-78. http://doi.org/10.4018/jaec.2011070105

APA

Wei, S., Samuelson Hong, W., & Wang, K. (2011). Firm Size Transmission Effect and Price-Volume Relationship Analysis During Financial Tsunami Periods. International Journal of Applied Evolutionary Computation (IJAEC), 2(3), 59-78. http://doi.org/10.4018/jaec.2011070105

Chicago

Wei, Shih-Yung, Wei-Chiang Samuelson Hong, and Kai Wang. "Firm Size Transmission Effect and Price-Volume Relationship Analysis During Financial Tsunami Periods," International Journal of Applied Evolutionary Computation (IJAEC) 2, no.3: 59-78. http://doi.org/10.4018/jaec.2011070105

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Abstract

Investors attend importance to forecast the price of financial assets, thus, the factors affecting the stock price are usually the focus of financial research in the field, in which the most important factors to scholars are firm size transmission effect and price-volume relationship. In this study, the analysis of these two items in the Taiwan stock market is conducted. The results indicate that the firm size transmission effect is almost significant, and the reversal phenomenon also exists. However, before the financial tsunami, the firm size transmission effect does not significantly exist; this result also indirectly proves the directional asymmetry of the market returns, proposed by McQueen, Pinegar, and Thorley (1996). For price and volume relationship, big cap index reveals that volume leads to price before the financial tsunami, and small cap index appears that price leads to volume in 2010.

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