| Summary: | 博士 === 雲林科技大學 === 財務金融系博士班 === 99 === There are few researches for firm size transmission effect and price-volume relationship over the past in the emerging markets. Because they lack relevant information, for example firm size stock index. For research purpose, at first this study establishes firm size stock indexes. This research makes the sample that is stock market in Taiwan. The firm size of the proxy variable is the company of market price. During the all samples of the study period (delete 5% lower net volume) is divided into 10 groups (110 company / group). The concept of using the weighted price calculated the index of all sizes. The large stock index makes the largest group of firm size index. And the small stock index makes the smallest group of firm size index. The midcap stock index makes 110 in the middle are sort of company to computing the weighted stock price index.
The paper makes EGARCH (Nelson(1991))、component GARCH (Engle and Lee(1999))、DCC-GARCH (Engle (2002)) to analysis firm size transmission effect, price-volume relationship, asymmetric volatility and trend and transitory component volatility, and further comparative analysis of the changes the per- and post financial tsunami(the per-period: 2003/9/1- 2006/8/31, the post period: 2007/9/1- 2010/8/31).
The results showed that the small stock index does not exist asymmetric volatility before financial tsunami period. And after financial tsunami the asymmetric volatility are decreased significantly for large and midcap stock index. But the volatility of the long effect are increased significantly and the volatility of the short effect are decreased significantly. The reflections that the support of the market policy will help reduce fright of investors, but it weakened the market efficiency.
In the price-volume relationship and the firm size transmission effect, the volatility of Taiwan stock market render price leading volume, but the firm size transmission effect is not significant before financial tsunami. And after financial tsunami, the price leading volume or volume leading price is not significant; instead of the firm size transmission effect is significant. Results of this study will provide investors an investment decision suggested that in the absence of financial shocks, you can pay attention to changes in volume, but after the financial emergency, the attentions of the large stock index to determine the investment decisions will be is conducive to the investment of the profit and reduce risk.
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