Since 2014
The Intradaily Price-Volume Patterns in the Taipei Foreign Exchange Market
Journal of Financial Studies
View Archive Info| Field | Value | |
| Title |
The Intradaily Price-Volume Patterns in the Taipei Foreign Exchange Market
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| Creator |
Mingshu Hua
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| Description |
This paper uses the actual traded NT/$ exchange rate and volume of Taipei Foreign Exchange Brokrage Inc. in Taipei foreign exchange market to study the price-volume patterns of daily open, close, and before and after lunch break. The time profiles of intradaily NT/$ exchange rate change and volume from Monday through Friday exhibit L shape, but Saturdayfs time profiles are of the U shape which likes other financial markets. The mean, variance, and range of intraday 15 minutes exchange rate changes become the largest at open 9:00-9:15. The intradaily 15 minutes exchange rate changes are leptokurtic and kurtosic. The variance of 15 minutes exchange rate change at Saturday open 9:00-9:15 is significantly larger than all other time intervals. The open price-volume patterns of Taipei foreign exchange market can be explained by information theory, but not the close patterns. Key words: intraday price-volume patterns, U shape, leptokurtics, kurtosis, heteroskadasticity, information theory |
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| Publisher |
Journal of Financial Studies
財務金èžå¸åˆŠ |
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| Date |
2011-09-12
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| Type |
—
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| Format |
application/pdf
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| Identifier |
http://www.jfs.org.tw/index.php/jfs/article/view/2011278
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| Source |
Journal of Financial Studies; Vol 5, No 4 (1998); 73
財務金èžå¸åˆŠ; Vol 5, No 4 (1998); 73 |
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| Language |
—
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