演講摘要 : This paper applies linear and nonlinear Granger causality tests to examine the price-volume dynamics between warrants and their underlying stocks in Taiwan Stock Exchange. Based on intraday five-minute high frequency data, we find that there exists a bi-directional linear price–volume causal relation between these two markets. However, the linear causality from stock market to warrant market is more significant than that from warrant market to stock market. We also show that there exists unidirectional nonlinear price-volume causality from stock market to warrant market. According to these results, we conclude that the direction of information flow is mainly from stock market to warrant market.
