INTRADAY PRICE AND VOLUME RELATIONS IN THE STOCK AND WARRANT MARKETS

LIM, KOK SEE (2004) INTRADAY PRICE AND VOLUME RELATIONS IN THE STOCK AND WARRANT MARKETS. Masters thesis, Universiti Sains Malaysia.

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    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.

    Item Type: Thesis (Masters)
    Subjects: H Social Sciences > HF Commerce > HF5001-6182 Business
    Divisions: Pusat Pengajian Siswazah Perniagaan (Graduate School of Business)
    Depositing User: Mr. HR
    Date Deposited: 26 Jul 2012 09:13
    Last Modified: 13 Jul 2013 18:11
    URI: http://eprints.usm.my/id/eprint/25802

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