TERE A SORTA TH) LTA ET PO — BT TB Deo * SAAB? BEULTO" Eset?’ UBS OCR TMT VRE RET REA SRETSMR RRL E RTT HR HEIRS ES RL RA BRITA ° Ay TOMB» ACRE TCL + EARDAIAE] FEA > ELMS ATT EEA A LE ASCH REAGO PREC SBHEAY SY) KSCTH IAEA RGELY » 57m 10 GRGS4A 110 RANT) > ALA ALIO RARITIES + TAS SPS Re ° HEA UAT RDB SE Bes + MME BDU, PAT RCS Z > RAIL SELEY] 110 RAAT Z BEEBE ° WEIL SUR > ASA DCC-GARCH ¥Ray fa S558 71 (5A (AIHA + 2003/9/1-2006/8/31 » 258] : 2007/91 ~ 2010/8/31) 2 SUEUR > TARR » Lea ASS TE feo i BRIER REBHE {E> PRE > GAA USA ak Me UHI (ARES ¢ SRE EHIERURE + Ve ]NLIE + DCC-GARCH + Bibi * ES —49—HEA SET i Message Transmission Effect of Size Volatility on Emerging Market as Evidence from Taiwan Stock’s Market Jen-Tseng Chen’ Hsien-Ta Lin’ Philip Shuee-Ho Chung" Hsien-Bin Wang” Shih-Yung Wei "Department of Hlestronic Commerce Department of Business Mminstration, TransWorld Univesity Dept of Information Management, Oriental Institute of Technology Abstract ‘There are few researches focusing on firm size transmission effect over the past in the emerging markets, because they lack relevant information such as firm size stock index. For research purpose, this study firstly established firm size stock indices by taking the sample from the stock market in Taiwan, The market value of the company was assigned as the proxy variable of firm size. All samples in the study period were ranked and then divided into 10 groups (110 company/ group) (excluding the lowest 5% in their net volume) by using the concept of weighted price to calculate the index of all sizes. The largest group of firm size index was assigned as a proxy variable of the large stock index. And the smallest group of firm size index was represented as the small stock index. The midcap stock index was made up from the middle size group of 110 firms, The study adopted DCC-GARCH to anal size stock indices to explore the firm size transmi firm jon effect by comparing the changes between per- and post- financial tsunami, The firm size transmission effect ‘was not significant for pre-financial tsunami in volatility of each firm size in the T effect was found out significant in changes. The finding of this study would provide an stock market. Whereas, the post-financial tsunami, the firm size transmission investors an investment decision suggestion that, after the financial emergency, the investors should pay a lot attention on the large firm size index to make up their investment decisions in order to benefit the profit of their investment and avoid their risks, Keywords: Message Transmission Effect, Firm * Corresponding author 50TERE A SORTA TH) tie MEER ES Te EE EU © ERB DER VERE AT SAR » MEMES + BURFI (SEAS SS RTT RARE RE EPS BA FD RH EPEC + SBC BS SERIA FT UII » PSU TEENY (EH LI ZS EVE eA KES © ATA ER cE (Hs aN A HS a A EU» (LE Fama, (1971) Fi L EURRANT IA (i > BURR RENTER ° (EERE TG PEE LINB Re ASR (ER SBS REA SE + ARTS SUAS LL (Volatility) ACA EUR CEL RABUN © FURL! Sharpe (1964) ~ Lintner (1965) iJ Mossin (1966) PHBE AS BEE a (A SCAPM) LR > DEE AFR NT EES T+ LARA Ross (1976) FPELLAAI SS F/T (BEEHMA Arbitrage Pricing Theory » fifjffj APT) - Fama and French (1992 + 1993) HELA =D BSA TTS + ALEBE + SALT ABLE) Carhart (1997) if CUBS 2S + SE - SMELT LE BNE AON ROM» FEMED TEED Ate ESERIES ELA SLI Fe EY ER» TAISERE > CERPREIO (iat » REESE BYES ACHE TFET > BNA Ee» FAB NEL a EI Dd Fe SYS {5 MHE8CKE > A FLr Lo and MacKinlay (1988, 1990) BRU » BG ANETTA EAN PNR ES MP» CS AS SS (ses SESSA © 3H Barber and Lyon (1997) ff] Dimson and Marsh (1999) AIBA > ABET SAAT GK BME UE "KH, (Reverse)f Vi RARER ORE ? ELAR EORREE RAR te « ZS SCRE TRAY RE ASEH SSE CUE» bh aS SE LAS he» AE FAY NRE fe» Telefe GARCH BOI ES fT Alt RTA SC ARR IS eR + EIUWATSB AE aT Ls 64> AAIBA(Constant Conditional Correlation; ){ RGA CCC) > (BARES LEB GHD » AL SIR OTTaRA PEARSE» STG TEER ARID » BULLS A BE = ILYh Tse (2000) tHE CCC seem RES Beat see Hk Robust) fies » Putt DA FAMLMRSE * FL Engle (2002) (FAZEP + LARS hat RES BOS FREE + SESE PanBBea Aa + LEE DCC(Dynamic Conditional Correlation Model, DCC) SiY#E#: GARCH (U7! SL EOMELWE AAMT» Fl: DCC-GARCH (SUG) ASE RE HITE sie RS EFAS» ARSC BE PARE TSU SECRET FE © FRSC — FATEH aE IPAS NARA EAA SD» SARL STAI Re BAAS A» SR TAFE aL BBE Td —s)—BERET TI SEERA IT BUA ATS SOM» TEESE ESET» 5 SARA ACR RARE AAI ITER + ICE SERA BITE ZB) SR AIBA Bb) 2008 ff ira AR SE Te EE» PRT NIE HOHE © AMERWEAIER DCC-GARCH FREY » SOUT AST + ESE FS TNT IE Ha HT RT T° SF OT, ee Ai © BU Same AASLRCH S(MEROTE > IRF Banz (1981) #2 Reingnanum (1981) fiUs#é BRUNT] > TEPPER > (VALLRUARCATIA TT] > BURMA > UL EI VOR BOTE SBOE ° GEANTEINT AGRE (EIR A 2PRaY + 40 Brown, Kleidon, and Marsh (1983) > Keim (1983) » Schultz (1983) + Stoll and Whaley (1983) » Barry and Brown (1984) »Ma and Shaw (1990) > Fama and French (1992) Bi Huang (1997) SO FG RAE | PURE | « LISTE | SUR | SSSA AIA MB * URES AS «HE ite Fama and French (1992,1993,1995,1996,1998) 3% Lakonishok~ Shleifer and Vishny (1994) Fif PRESS PRAY » EMER SERE PaO SUSU «SMALE AT a (ELAR ATRIA, » He and Ng (1994) HEEL APE AREAS A ie F TTR ORIS AS » FATA MT BEES | A YE ei fk ° Bhardwaj and Brooks (1993) H2tHie B Hing > 22m ARLES OTE ITT Il + (ES ASHMAN B EAES TTL ZETTAI SEER LES TS ELZERbITTTGIs © PORELRES: B+ / UMHS AREAS ESL ree A (Overstated) T « Kim and Burnie (2002) [a] fEL\88 B HUGU RRL " HUBRCHE | + BLISS ABET) LEST AAAS > (CESAR (EEE SR SR ASR > ATE UE TAAS BBR NI Zn EBS BE Se ts ls HARE FEA RIES 2AFtE ? FVFE > Barber and Lyon (1997) x Horowitz, Loughran and Savin (2000) S/SSBUITi MAAN > HUMES TE 1980 46 (CHE 1990 SFACRIAY: (2i1i > PRONERAS PILZ A > IKEA "PR (Reverse) zi SBE (ACFTE © Dimson and Marsh (1999) $432 EUASHSTPISUSEHL : YE 1955 3S 1988 SER > “SUAS TITRA ERAHI(1989~1998) > /| JRA FRE > PAL + GEER ASEASE > 2ST BSE Fa ARETE 2 fT? SIT» SE (9255) LY MOAT SIS ALTAR EEA ZS SLATE + BS REL VAS SASHA » ESA EM OP LE AT SLED FTESAY | SLEIEMCHE | > Lo and MacKinlay (1988, 1990) HEL 7STa rts F109 SERS CREATE ALES PUB» AAS SRT ERIE FE VS SAH © RED VA SRA SERS ALS SRE + 40 Admati and Pfleiderer(1988) » Foster and Vishwanathan(1990) + Kyle(1985) > #1 Wang(1994) aTERE A SORTA TH) SIGE BEA BB MNES A IAA EIA EG EIT IF SRS» DRE fl ASAE ERE Ee TE (AES Pe LTH] VS SRR STA + RASTA BEIM» FLA SHEAR VEEN EAL TEL SE © McQueen, Pinegar and Thorley (1996) a8 TisSSAN Rte HERTS Cirectional Asymmetry) » #8) AA FETS BUE ENE > AAS ERA SB VAAN + DTT Se SURE IRE > ABV SD EZAEGRME 3 © Kanas (2002) WEA SLBUHRTHA 1955 fF 1 AS 1994 48 12 ABSA ARRAS > SB LARA SRG > A BUMUREEHG > ABSIT BOE SMSCR > FAK: Kanas (2002) af TULSA A SURAT TELE > EMSS EERSTE AEBIBURUE F tS SME ATAASE + Conrad, Gultekin, and Kaul (1991) (1% SRG + HET ANTELSLIOUAS CE Ee A CITES © HUTT Se Pes SEMA SB RANA > 2 RRELUBY/ » PRL RIAAY 100 RATNER 3 ERTS» ING Ar HEF A RLS BEE ARMA(1,1)-GARCH(1,1)-M BU EEE CFL BA SS — SA aE (AS a oP PI Fhe SERENE fat HATA SA BAS DI VASE WE VASA AA SPAR LE iat PE RAZED ASD + SRE SUI A BY © Cheung and Ng (1992) Fj EGARCH #44 > HALLE A AIR AINA SIL ASEAN TLE PATE, » 6 REE BN eZ] ER AGE A A ie ° te AMEX 88 NYSE 2¢ 31000258 > HARBOR (BAL > SSUES | A792] ELAS REA ZEB + Duffee (1995) HEE 1977 4238 1991 4f fi] » NYSE F AMEX EitiH25289 2500 fEALSR » LAN a] REEMA RE A SA AOL > MEERA AA DALE © SR EBS A ae ea GAREY © GREE ALES » SAARI REIS BA» VISA PS SAS SRIRAM BESTS AY © Chelley-Steeley and Steeley (1996) fit Sich > (EA ARMA (1,1)-GARCH (1,1) -M (0% > ESaf ses BAN] SAS CDRA ALES Hl = FER RA AAA a 4 (EEA A(T AEAL A LS 50 RUSTE RSA » EBLE AR ES BIAS MAA SERS + the Set AHI SISA RA REA A RSE > (OL MAZES ANA HVS TEE A IEA SEERA » Pyun, Lee, and ‘Nam (2000) (SiH GARCH (1,1) (60% » DM ARTS PS HS Be SHRED EL) BPS 25 SR aL Se» CEA TRA + FR SAPP SEL 120 ARATE TG] » FRERASA) + SRAM 20 Zeb Rahs H(i 20 FAH 2 A ERREA S « PES EEA RT A aE SWAN GRAM LZ AAS AREA AHERN eee RATA AVS EZ IY LACS VSR FRE VA STRATE + Reyes (2001) (SRY > EERE —3—BERET TI AR(1)-EGARCH (1,1) SEQ 0FE ASIA IR TE ° DIRE AT PSS BB (First Section) Hi2aHMN925] + HASIVIMGEFE > Fil KASS) RH RRS ARRAS] fii (Japanese Large Companies Index) » FUE —E ASS) RH AA) ia (Japanese Smaller Companies Index) + 4; SILA AL UVES FATR © BE PEER A AS SVE S DT RRR | WIAA ST BATE SHEVIVAT (ARZ TE > EERRIPT HA BAG EE CRA IOAFE » AAC AEH EE TR ESE > PARANA SHEN MERLE > Ss Ee TR AER CRRA + AERA HE IS + ET i (1999) GEHY GARCH (1,1) -M (242 DEAE RH TTICSCER + BEANS HRA SRY PERAZ BA ie > SE Fa SCHR T PRAY > CERLAR NISL SEER AEDES Tan + ALAS ETA 104 RANG] > RARE TET Aap mk 4 BH > SEER 206 FST RET BE» GEA BTS PTA SER BY VS TS MERA» BLAS + FE EMA SSOASE > ELAR NTS] SABA cP > “VLE (BSA BANE AL ae A SR REE SS SERS > ii | URE | (RN LOA SARA OA RE ? eR ACLS © S HRA PEAS TRNTSE AE IE TRS KER EAE» HE RLERHE TE 2007 4 1 ATS IRARSS SA TPEE SSRIS A RIS GR Sie» ARE] BEA IS © ZS BUSS ACKER RA BUITEES SeRAAS BS 2007 4E 4 2 ASHER GRA © eM Bk 2007 4: 7 27 HR ERHRTTT PA EASON Fs ART ARTIS» TORE RIS Boo SARE + AR 404.14 RE © Fl fete [A 2008 ASSENT TBE SIRE HOPS BAA HRA: 2008 49 A 1S ALS ae EERE » SERRE ALIENS» 2S SSAA 504 Bh A PRIRSREM AIG FASE ES» DRE BU ET ET MRT + AHHH T 258.33 {95 © LE 2009 » 2010 GAIB] 1 227. PSSA BRE Me SAO HES) + ALTHSWRE NSA + ESI) 2010 4E FARE ABR <= ASAE SEERA SS Hi EAS TEL ARSC A Fa (BD SETTLES FY 23, 2007/9/1 ~ 2010/8/3 1» FERRE AAS ANE + DURA REA BE ZS SCHEELE FE 2 2003/9/1~2006/8/3 1 + BREATHER SATIRE ME (TES) « —54—TERE A SORTA TH) ESRVSETIGS 7 00 TROTE ETA | PRAM RAE, 10 Be bti/ise text ASE GERKPRREAR > APEERAM 7 RE RRARIOAE > RAR RIS, 29 RD / EAR 1 SMR BS RS AE PICA CRETE SUSU» UL SSUES Rea » ARIE PEAT OS LEAS RENT EF H) » A RS RAY ASSIA YAP (5%) HILT SULA SERA PST EASE » HL BARS BIB 1 + HUINTHEARRS 860 3e45 5] » (AMIR ABR 1100 R455] « ARES ARMIES » ULL INTRA BRAT» BUILIEEE ASANT] + TAR 10 i CRRA AR A 110 5 + AMAL TARE TRGY + “I ARH) SABLA ARTA + PHAR RIEHL 5 HATER MRT ALES 6 SETAE EBACE © + TETRA SSIS ERY 110 Be + RCT 110 ACTHMELIIAS SSA, AYRE BRTIE + 110 INTRANETS» TAPEAPSS 376 31] 485 HOSEA By PRET © Se LA NO nS ERASMAS —K (2007/9/3) SE RRHA » ARMAS AH BER EA 9000 #9000 §= BAM a GEHRY TSS AS MT EL» WS AAEM —55—BERET TI (il 3 DUR RASH nae fal 5° lal 2 Rei 3 PHYS + TERRE FS) REE 7S PREP AIM TROE SEK + SACS EEL 4 > fa SONS SRERR) » ENA TTI RC ARP EE AUS + RESULT By + SCS ADAIR Iy « AE ee RR, PRL o +} ___________.____.____._ ‘y9/1 03/12/1 04/3/1 09/6/1. 04/9/1 O4/12/1 05/3/1 05/6/1 05/5/1 O5/12/2 06/3/1 O6/6/1 2 SHORES Me SS RoE Sa] ASNT ETAT t RATERS to RATS Al CA BL FLA PMBRERSSELL 100 ° HOTA gear PF: wf » AL aT Pe RO + I RCS HC ee FRI] > TAS SLER RY + RTPA + BR (ai + SEP ai MOAT EMT RNR PE FALSE DU LS ASF AAT TOM PTAA TL ASB PSB + FEDS + (hn (aR BRU (AIBO > Jarque-Bera ScitSt > LA ADF + PP SARCRR SEER + Lh PBR ERE SZ 2» CERAM Go HR BT HRA SSE ia BBE TE HS TEE SR ae EASTER TD SMA EIEN WSLS» HIS 2 RS RCE RINT SABLE ITIL | DU ARERIRAE ACE > SRE RE Kitt EDULE Sab AE Tela * APRONS Aye ike « Jarque-Bera Sit AREA BA REN EID SET ES a IR a TTA FAIRER CHART « —56—TERE A SORTA TH) RR me | IRB PRY 12000 10000 000 6000 4000 2000 9 +_______________________ O7/9/1 o7/12/2 08/3/1 08/6/1 08/9/1 oB/12/2 08/3/1 05/6/1 09/9/2 08/12/2 10/3/1 10/6/1 SHR HS BEEBE SE Se METRE Ai > He 22 ADF PP REESE + PATROL P CRESS 1° REE 7K ARR FAC3.44) » Ze AAA YSERA AE Be + AUC Ha Fe AR ES REZ BI MTGE « ANU EZ — Ms GARCH [44 > fH Bollerslev (1983) #54) ARCH/ GARCH 75 (fi ese 3 BC (SPREE © ELAS 2 OMIA ZARB Be FSRUR TAC + ULASSC USS SSR EE LET: © By TSCA EA ARCH RU + ASCH Engle (1982) 2 LM. (Lagrange Multiplier) JIID\MEaI > S99 Ljung-Box fy Q Mietit ° Engle (1982) AY) LM Ri 7 ARR EE AA ARE SS + AG PEO ALES BCH eS STE SS + eR BIA ARCH BCR © “emuisagy RUM 746 0.0323. 1.2111 04684 6.7358 461 *9* 26.4604 9¥* -26.4521 6 (EW) 746 -0.0205 1.6946 0.1652 45132 75¥*% 25.9563 *## -25.9266 40% 746 0.0137 1.1364 -0.9094 9.0228 1230 ¥** -23,7066 %¥* -24,0216 #¥* 146 -000345 1.7980 -0.6609 4.1892 98#* 22.8318 ** 22.8575 +9 eetate me 146 -0.0254 0.9648 -0.7326 10.0168 1597 *** 21.1108 ** 21.5431 #6 co aust e ‘eH 746 _-0,0057_1,3900 -0.8851 4.5161 _169*** -20.2348 *#* -20,6586 *** +57 BRA RANTE 10%, SYD LYK ARS FHS « IB 7 Jarque-Bera RIEHL MNP AAFT AE ZEAE PLGR » ADF and PP Augmented Dickey-Fuller DL Phillips-Perron_*ifiifiv72 « ADF and PP 7.01 + 05 J&.1 (VHS RE HHI 3.A4 » 2.86 562.57 6 AAU 6 HH TNEDRUSS IR SP BA 5 RE 7 ZT BLE OUR + ZENG Liung-Box ff) Q Et Sh & LM REGRIOR 3 BRATZ EG LB(2)ABb ay ABRS > LE LB(12)" 5 LM REARS HSHE IBC SEE > RARER A HFA (Conditional Hetrocedesticity, CHF > Hairs —s7—BERET TI GARCH HAPS Fest(Mean Equation) =) bint] APMIS +B SORE HBOTFET\ (Variance Equation) cif BABEL AH NY PHA FL PYLE REE» ULERY] GARCH BRL USE A aN TEIS » SET ARNT ZS BUR E RR ILETE: ° BCR CREA AI GARCH model {99}4F ° se LBU2) ARCH LMG) KAR ae 21.69 * 173.74 9% ‘7342 00" ‘es asTe* IBL.85 #2 60.28 *** EAH RE Hi 42.75 008 123.61 94 or32 40" OH a4s2.eee 179.66 9" G19 rere cd 94.92 oe 167.61 10497 #9 $655 113.42 68 11.12 42.70 #* BES ARCH(LM)HisiE 5 75hi7E » Eien 6 FERRARA LT Pe SE PET FEMS ARM ARAB IS » SOAMBIAEUHL, GARCH (tl PCS ES IS PO BS eH SA TTS GARCH OE sor eB ASAI FE RHEL» HC RES A SR RITE» [eI GARCH #7 OTH CES RE EEL Fs FLT REDE REE» SELASSIE GARCH (QUERY BEATE SEES) PERERA Be RA he > ELC GARCH Biz 55 67 ELSES SCRE BH fh CCC + ERE AN IACK >» BLAST Hub) Engle (2002)i1) DCC Fay Seats GARCH Hl! > AGETFANCZ HF Be « ASPET DALLA TES SUSE BS SS SE SB EEA SER HUSE8ES GARCH [i(DCC-GARCH) sek (P74 ° REREAD B Bollerslev (1990) (Baxi APtH BA (Beas is Be > FRI Ree eB LTE (ELE HR APAARA 2! (Constant Conditional Correlation Model, CCC)»CCC FAT GARCH #0 ifistin 3~7 st : nemo Devin tS ® Yen LPs te @ I= Sh Soutua? 8 nyt eustin? () a EYE RA LEE PR RATER T FORMS » p ER HO RE (BRS RE BE EBS —5g—TERE A SORTA TH) FHL» FELL Engle (2002) SELHINSVAR RP AIEA AE (Dynamic Conditional Correlation Model, DCC) » (92 2BOT FEATS Via eWay 1 + HERTS 8-12 xb: ng = a0 + Levins + E Ayre y +4 (8) A i rua eng + Langs + Y Baynes +628 eo a a a a 2 ej Ins = M0 + Lortnrsi + DH yshr2s-j + Bastar 10) al i =I & % e : fans 020+ Bhaaass+ ¥ Pashnusns + Boratasa? ay ous ang = Fir + ale e-t22¢-1 ~Fi2)+ Alara ~Fi2). ern SLOP gy. PORRCNYIESE EBL(Covariance) + p,., RMVB RM + FAT SS SEIU » ESQEN A DCC 88 CCC BREEN ° Sv, 75 FERS 0 ZBI BOR + i ZEST RCHANE + HUBH RR APTN REE Fel Boe =L.alie') ley > FEB Ber FSR Pras Heals 224) © Pin HUARD BE © Engle (2002) SLL MLAETH DCC BRWTL sy UPBEAT (Two-Step Approach) » Eiht SUB GARCH (6 » RACER PME AARC {(&> Hat ASIII GARCH (BE « BCH 2965 (10) » (11) eC 2 RRR PLS TLS (2) at SC est ZL + (CLETUS RS HREM + SS) + HOE SRHROR + TSC) ahh ALA AEM REN + bo CTI LZ RANMA PHAR RS SHC LWA BEAR CT I FASB PAR RAR SMS: = A OELRELSUSCURTADY » EBLE «ASCE ESA + PV» Sher A Seas) DCC HUMMER GARCH (6 + jaya auhues thao tye (3) (a) fi) (6) aster + Oaaticg 1 +6 iee (7) —59—BERET TI Bh BHT ATU ER RMT RH BRC + TERIA EAR ETLL DCC Pij#28 GARCH HARTER RABAT » SUE PARTITE BRIG « ERE A SOR SEAT TEA» PRs RS BSE IE SH, DCC-88 58 SRAM F ARR + A F(18)~22) 5675 Kg = Aja + Oils a + plier t8jo (is) +6, (9) Fay = Ano + aylya1 * aati ha = 5 Sih Bahan a Oy 8 (20) hans =P bahar alge *Oab ak en) Aaggs “Pry iy Bones Pin Pag Sener Pr, eye (22) Pring = Moat Gnu KE (8) =m\Gs)(on5) ARR OT ES eeieat + MOAT > GEAVARC MET kat + can SARSCHEMILE BRE RRO SUI RRO iesh > AIRBASE + RES PRE RII AIS + ZEST SAE BZ DCC-GARCH {SPAT (20) LL R(21) SCAT REBT FEL G5 (22) TIES BR FE BL ° TESCO BILE ASE Pe PTB,» SF PEENTROR > THE on, + B, <1Ch = ben, ms, sh ) > Bers ti LBA THA Be HS TT SB) + IezeANANSLA DCC- GARCH 2RERa TRATED» TESLA, SUE RUE ESSERE A ck SB AT BAA SL (0.0218 + 0.0273 » 0.0358) » (0.0120 » 0.0433 0.0730) » ears tA SLES ATF MH HH (Bic AT SS RRS BAR ° TABLE + ROC E RS Be SS JE, (0.8170-40.9510 + 0,8079-+0,9072 + 0.8003-0.8651) > Ze MAB RANE BE WE PBIB Teh RAK» Ih ae O08» ea ALA > SPARTA AAR LE « PRT LA OE SRI Ls + IE REN ByAY AOE BRR > ABBE BATRA St CARA) > AE BS + BE EEE OURS: 0.1074 AIRE 1 VE 0.0889. INE MESS BLIE IBA th + TBA SESS SUE LOBES + BCI BEREAN HT NY HOIRABSE A TATE + ff > Se AST FARE RPE HA REI OR» EEE ——TERE A SORTA TH) ARASMA RAR UE IAB Rel SASH fe EMS TSA AA I» BAER EE Se EO BSA PTT SE RES EUROS + IEA SCR RAR TBE TTC SY HESS GER > BAUM CS TEI $9 26 PES La SST IIR Oh ROPE Conrad, Gultekin, and Kaul(1991) + Chelley-Steeley and Steeley(1996) + Wei, Hong and Wang, 2011 D\E7¢'8i(1999) HDRES © ACHE A SUAS (SPE FZ RIL Se SCG RE AR © 5. DCC F GARCH #2 PSUS ERE (HEHE hus = 0) Apgar * Byars + Opty ans Pe +8ahonss +g aber RRO) % 4d; On By ‘em 000 -BOTSI> 0216801912 O0192_GOsR 04S 02013 + OORIE + O8ITO% Pe (0.7667) (00365) (0.1400) (0.1846) (07386) (O02 (02375) (O4UBTT) (0.0074) (0.0000) 20820. 01203 **" 00396 02884*F 0327 040TH BIBL -0.1368 °F 00120¢ 910 (0.1617) (0012) (O77) (ORE) (05847) (OBIT) (08707) (0.0406) (O.6I8) (0.0000) em 0014 0000502188 02047* 00183 GoM 01482 024306" 00273 He oOTD +4¢ ee (0.7566) (01035) (01359) OTST) —(@8166) (OATES) (02439) (0.0476) O.00IT)_0.0000) 00556 0.114% 0.0093 0.0001 00171 0.8K *¥ 0.0090 0.0739 0.0433 #4 a9072 +44 (01327) (0.0026 (49452) (1.0000) 07520) C.PIH (09129 (0.48) (©.9000) (0.0000) tem 00675 D086 02684 0.8L 90227 GooIs 02084 2493 +4 OoRsE + OUND 29° (0.0700) (0.1302) (00537) (1249) (07342) (03859) (0.0860) (0.0435) O.O0110) (6.0000) tem OUT 01027 246 025550 02784 -at0R2 01724 ++ 00757 03815 oo7aD +e OGsI +4¢ (0.0015) (0056) _(@asH4) (#351) (02519) (0.0266) (03809) (0.7307) (0.0000) (0.0000) {Ha BM #058 j=BKEM + BS 4 FBASS + BM oR = MES: Ms TRAE EGA A > HRSA RIE AEE + Ps SUEITAY) > RL GHE AIEEE ERROR AT » SUITES SuSE FEE ARAGORN | ABATE LE + J /SBLBUAS BR G5 SHU» CGH BESS Be» a ACB RR a | AF] HLAMTARAMTER ABE « BRO] DERE RENTER ARERR» HASH BORET REA IUE , AFIT PA AIIM RT ERIE « ATT RS BUTERA SE» EER ROMER + TRS SPRINT RRIAS + HOC ERM + (ASCE SERIA DCC HEL TUR SRST RUA RRNA BS te RARE] DAMUIDLPRET HOHE A « 61BREA SRT / ii Sam FETCH + 1999 » 5654 + ARLE EI HEE Os AT ZEEE 4° BUBB 1999 HSM RA Mam CITE + 995-1016 » Admati, A., Pfleiderer, P, 1988,” A theory of intraday trading patters: volume and price variability,” Review of Financial Studies, 1, 3-40. Banz, R.W,, 1981,” The relationship between return and market value of common stocks,” Joumal of Financial Economic , 9 (1) , 3-18 Barber, B. M., and J. D. Lyon, 1997,” Firm size, book-to-market ratio, and security retums: a holdout sample of financial firms,” Journal of Finance, $0(2), 875-883 Barry, C.B. and S.J. Brown, 1984,” Differential information and the small firm effect,” Journal of Financial Economies, 13(2), 283-294 Bhardwaj, R. K. and Brooks, L. D.1993,” Dual beats from bull and bear markets, reversal of the size effect,” Journal of Financial Research, 16(4), 269-283 Brown, P, A. Kleidon, and T, Marsh, 1983,” New evidence on the nature of size-related anomalies in stock prices,” Journal of Financial Economics, 12 (1) , 56. Carhart, M. M., 197,” On persistence in mutual fund performance,” Journal of Finance, 52, 57-82. Chelley-Steeley, P. L. and J. M. Steeley, 1996,” Volatility, leverage and firm size: The UK. evidence,” Manchester School of Economic & Social Studies, 64, 83-103 Conrad, J., M.N. Gultekin and G. Kaul, 1991,” Asymmetric predictability of Studies, 4, 597-622. conditional variances,” Review of Financi Dimson, E. and T. Marsh, 1999,” Murphy’s law and market anomalies,” Journal of Portfolio Management, 25(2), 53-69. Duffee G.R., 1995,” Stock returns and volatility: a firm-level analysis,” Journal of Financial Economics, 37, 371-398. Fama, Eugene., 1971,” Risk return and equilibrium,” Journal of Political Economy, 79(1), 30-55. Fama, E.F. and K.R. French, 1992,” The cross-s Journal of Finance, 47(2), 427-465 Fama, E.F. and K.R. French, 1993,” bonds,” Journal of Financial Economics, 33(1), 3-56. n of expected stock return: Common risk factors in the returns on stocks and Fama, EF. and K.R. French, 1995,” Size and book-to-market factors in earnings and returns,” Journal of Finance, 50(1), 131-155. Fama, EF. and K.R. French, 1996,” Multifactor explanations of asset pricing anomalies,” Journal of Finance, 51(1), 55-87 Fama, E.F. and K.R. French, 1998,” Value versus growth: the international evidence,” Journal of Finance, 53(6), 1975-1999 62:TERE SOB TET bi Foster, F.D., Vishwanathan, S., 1990,” A theory of intraday variations in volume, variance, and trading cost in securities market,” Review of Financial Studies, 3,593-624. He, Jia and Lilian K Ng, 1994,” Economic forces, fundamental variables, and equity returns,” Journal of Business, 67, 599-609 Horowitz, ILL, T. Loughran and N.E, Savin, 2000,” Three analyses of size premium,” Journal of Empirical Finance, 7(2), 143-153 Kanas, A., 2002,” Mean and variance spillover among size-sorted UK equity portfolios,” Applied Economies Letter, 9, 319-323. Kim M. K. and Bumie, D. A., 2002,” The firm size effect and the economic cycle,” Journal of Financial Research, 25(1), 111-124. Kyle, A.S., 1985,” Continuous auctions and insider trading,” Economertrica, 53 1315-1335. Lakonishok, J., Shleifer, A. and Vishny, R., 1994,” Contrarian investment, extrapolation and risk,” Journal of Finance, 49(5), 1541-1578 Lintner, J., 1965,” The valuation of risky assets and the selection of risky investments in stock portfolios and capital budgets,” Review of Economics and Statistics, 47, 13-37. Lo, Andrew W., and A. Craig MacKinlay, 1988,” Stoc! random walks: Evidence from a simple specification test,” Review of Financial Studies, 1, 41-66. Lo, Andrew W., and A. Craig MacKinlay, 1990,” When are contrarian profits due to k market prices do not follow stock market overreaction,” Review of Financial Studies, 3, 175-205 Ma, T. and 'T.Y. Shaw, 1990,” The relationshi between market value, P/E ratio, trading volume and the stock retum of Taiwan stock exchange,” Pacific-Basin Capital Markets Research (ed.) S. G. Rhee and R. Chang, North-Holland, 313-335. McQueen, Grant, Michael Pinegar, and Steven Thorley, 1996,” Delayed reaction to good news and the cross-autocorrelation of portfolio returns,” Journal of Finance, 51, 889-920. Mossin, J., 1966,” Equilibrium in a capital asset market,” Econometrica, 34, 768-783. Pyun, C. S., Lee, S. Y., and Nam, K., 2000,” Volatility and information flows in ‘emerging equity market a case of the Korean stock exchange,” International Review of Financial Analysis, 9(4), 405-420. Reinganum, M.R., 1981,” Misspecification of capital asset pricing: em| ical anomalies based on earnings’ yields and market values,” Journal of Financial Economics, 9(1), 19-46. Reyes, M. G., 2001,” Asymmetric volatility spillover in the tokyo stock exchange,”BREA SRT / ii Journal of Economics and Finance, 25, 206-213. Ross, S A., 1976,” The arbitrage theory of capital asset pricing,” Journal of Economic Theory, 13(3), 341-360. Schultz, P., 1983,” Transactions costs and the small firm effect: a comment,” Journal of Financial Economics, 12, 81-88 Sharpe, W., 1964,” Capital asset pricing: a theory of market equilibrium under conditions of risk,” Journal of Finance, 19, 425-442 Shih-Yung Wei, W.-C. Hong and K. Wang, 2011,” Firm Size Transmission Effect and Price-Volume Relationship analysis during financial tsunami periods,” International Journal of Applied Evolutionary Computation 33) Stoll, H.R. and R.E, Whaley, 1983,” Transaction costs and the small firm effect,” Journal of Financial Economies, 12(1), $7-79 ‘Tse, Y. K., 2000,” A test for constant correlations in a multivariate GARCH model,” Journal of Econometrics, 98, 107-127. Wang, J., 1994,” A model of competitive stock trading volume, Journal of Political Economy,” 102, 12 64