Causalities of the Taiwan Stock Market

TL;DR

This paper investigates the causality, volatility, and stationarity of the Taiwan stock market by analyzing daily index and volume data, proposing a dual time series approach to better understand market dynamics.

Contribution

It introduces a dual time series method combining index and volume to analyze causality, volatility, and stationarity in the Taiwan stock market.

Findings

Identifies causal relationships between index and volume.

Analyzes volatility using Landau expansion.

Assesses stationarity of market data.

Abstract

Volatility, fitting with first order Landau expansion, stationarity, and causality of the Taiwan stock market (TAIEX) are investigated based on daily records. Instead of consensuses that consider stock market index change as a random time series we propose the market change as a dual time series consists of the index and the corresponding volume. Therefore, causalities between these two time series are investigated.