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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| Format: | Thesis |
| Language: | English |
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2004
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| Online Access: | http://eprints.usm.my/25802/ http://eprints.usm.my/25802/1/INTRADAY_PRICE_AND_VOLUME_RELATIONS_IN_THE_STOCK_AND_WARRANT_MARKETS.pdf |
| _version_ | 1848875245396557824 |
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| author | LIM, KOK SEE |
| author_facet | LIM, KOK SEE |
| author_sort | LIM, KOK SEE |
| building | USM Institutional Repository |
| collection | Online Access |
| 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. |
| first_indexed | 2025-11-15T16:40:35Z |
| format | Thesis |
| id | usm-25802 |
| institution | Universiti Sains Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T16:40:35Z |
| publishDate | 2004 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | usm-258022020-10-07T02:12:23Z http://eprints.usm.my/25802/ Intraday Price And Volume Relations In The Stock And Warrant Markets 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 NonPeerReviewed application/pdf en http://eprints.usm.my/25802/1/INTRADAY_PRICE_AND_VOLUME_RELATIONS_IN_THE_STOCK_AND_WARRANT_MARKETS.pdf LIM, KOK SEE (2004) Intraday Price And Volume Relations In The Stock And Warrant Markets. Masters thesis, Universiti Sains Malaysia. |
| spellingShingle | HF5001-6182 Business LIM, KOK SEE Intraday Price And Volume Relations In The Stock And Warrant Markets |
| title | 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_short | Intraday Price And Volume Relations In The Stock And Warrant Markets |
| title_sort | intraday price and volume relations in the stock and warrant markets |
| topic | HF5001-6182 Business |
| url | http://eprints.usm.my/25802/ http://eprints.usm.my/25802/1/INTRADAY_PRICE_AND_VOLUME_RELATIONS_IN_THE_STOCK_AND_WARRANT_MARKETS.pdf |