Intraday Price And Volume Relations In The Stock And Varrant Markets

dc.contributor.author	KOK SEE, LIM
dc.date.accessioned	2016-10-24T04:19:50Z
dc.date.available	2016-10-24T04:19:50Z
dc.date.issued	2004-04
dc.description.abstract	This research paper examines the causal structure of price and volume in the warrant and stock markets within the Kuala Lumpur Stock Exchange (KLSE) of Malaysia. We investigate the intraday relations between price and trading volume of the top 25 most active warrants and their underlying stocks during the period from 24th September to 16th December 2003. The data were grouped into 5-minute intervals for this study. Unit root, cointegration, vector error correction (VEC) and Granger causality tests were used to analyse the lead-lag between price and volume of the warrant and stock markets. Our results show that volume leads price for both stock and warrant markets. Warrant leads stock in both volume and price. Warrant volume leads stock price, and stock volume leads warrant price.	en_US
dc.identifier.uri	http://hdl.handle.net/123456789/2835
dc.subject	Intraday Price And Volume Relations	en_US
dc.subject	In The Stock And Varrant Markets	en_US
dc.title	Intraday Price And Volume Relations In The Stock And Varrant Markets	en_US
dc.type	Thesis	en_US

Now showing 1 - 1 of 1