Intraday Price And Volume Relations In The Stock And Warrant Markets

Intraday Price And Volume Relations In The Stock And Warrant Markets

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 duri...

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Main Author: LIM, KOK SEE
Format: Thesis
Language:English
Published: 2004
Subjects:
HF5001-6182 Business
Online Access:http://eprints.usm.my/25802/1/INTRADAY_PRICE_AND_VOLUME_RELATIONS_IN_THE_STOCK_AND_WARRANT_MARKETS.pdf
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id my-usm-ep.25802
record_format uketd_dc
spelling my-usm-ep.258022020-10-07T02:12:23Z Intraday Price And Volume Relations In The Stock And Warrant Markets 2004 LIM, KOK SEE HF5001-6182 Business 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. 2004 Thesis http://eprints.usm.my/25802/ http://eprints.usm.my/25802/1/INTRADAY_PRICE_AND_VOLUME_RELATIONS_IN_THE_STOCK_AND_WARRANT_MARKETS.pdf application/pdf en public masters Universiti Sains Malaysia Pusat Pengajian Siswazah Perniagaan
institution Universiti Sains Malaysia
collection USM Institutional Repository
language English
topic HF5001-6182 Business
spellingShingle HF5001-6182 Business
LIM, KOK SEE
Intraday Price And Volume Relations In The Stock And Warrant Markets
description 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.
format Thesis
qualification_level Master's degree
author LIM, KOK SEE
author_facet LIM, KOK SEE
author_sort LIM, KOK SEE
title Intraday Price And Volume Relations In The Stock And Warrant Markets
title_short Intraday Price And Volume Relations In The Stock And Warrant Markets
title_full Intraday Price And Volume Relations In The Stock And Warrant Markets
title_fullStr Intraday Price And Volume Relations In The Stock And Warrant Markets
title_full_unstemmed Intraday Price And Volume Relations In The Stock And Warrant Markets
title_sort intraday price and volume relations in the stock and warrant markets
granting_institution Universiti Sains Malaysia
granting_department Pusat Pengajian Siswazah Perniagaan
publishDate 2004
url http://eprints.usm.my/25802/1/INTRADAY_PRICE_AND_VOLUME_RELATIONS_IN_THE_STOCK_AND_WARRANT_MARKETS.pdf
_version_ 1747819963281833984

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