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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 李賢源(Shyan-Yuan Lee) | |
| dc.contributor.author | Yi-Syuan Wu | en |
| dc.contributor.author | 吳羿璇 | zh_TW |
| dc.date.accessioned | 2021-06-17T00:15:06Z | - |
| dc.date.available | 2012-07-18 | |
| dc.date.copyright | 2012-07-18 | |
| dc.date.issued | 2012 | |
| dc.date.submitted | 2012-07-05 | |
| dc.identifier.citation | Amihud, Y., 2002. Illiquidity and stock returns: cross-section and time- series effects. Journal of Financial Markets 5, 31–56.
Amihud, Y., Mendelson, H., 1986. Asset pricing and the bid–ask spread. Journal of Financial Economics 17, 223–249. Amihud, Y., Mendelson, H., Pedersen, L.H., 2006. Liquidity and asset prices. Foundations and Trends in Finance 1, 269–364. Bao, J., Pan, J., Wang, J., 2011. The Illiquidity of corporate bonds. Journal of Finance 66, 911-946. Bongaerts, D., De Jong, F., Driessen, J., 2012. An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets. Working paper. Available at SSRN: http://ssrn.com/abstract=1762564 Bongaerts, D., Driessen, J., De Jong, F., 2011. Derivative pricing with liquidity risk: theory and evidence from the credit default swap market. Journal of Finance 66, 203–240. Chen, L., Lesmond, D.A., Wei, J., 2007. Corporate Yield Spreads and Bond Liquidity. Journal of Finanace 62, 119-149. Collin-Dufresne, P., Goldstein, R.S., Martin, J.S., 2001. The determinants of credit spread changes. Journal of Finance 56, 2177–2207. De Jong, F., Driessen, J., 2006. Liquidity risk premia in corporate bond markets. Unpublished working paper. University of Tilburg. Dick-Nielsen, J., Feldhutter, P., Lando, D, 2012. Corporate bond liquidity before and after the onset of the subprime crisis. Journal of Financial Economics 103, 471-492. Edwards, A., Harris, L., Piwowar, M., 2007. Corporate bond market transaction costs and transparency. Journal of Finance 62, 1421–1451. Feldhutter, P., 2012. The Same Bond at Different Prices: Identifying Search Frictions and Selling Pressures. Review of Financial Studies, 25, 1155-1206. Friewald, N., Jankowitsch, R., Subrahmanyam, M.G., 2012. Illiquidity or credit deterioration: A study of liquidity in the US corporate bond market during financial crises. Journal of Financial Economics 105, 18-28. Goldstein, Michael A., Hotchkiss, Edith S. and Sirri, Erik R.. Transparency and Liquidity: A Controlled Experiment on Corporate Bonds. Review of Financial Studies 20, 235-273. Han, S., Zhou, H., 2008. Effects of bond liquidity on the nondefault component of corporate bond spreads: evidence from intraday transactions data. Unpublished working paper, Federal Reserve Board. Huang, J., Huang, M., 2003. How much of the corporate-treasury yield spread is due to credit risk? Unpublished working paper. Pennsylvania State University and Cornell University. Jankowitsch, R., Nashikkar, A., Subrahmanyam, M., 2011. Price dispersion in OTC markets: A new measure of liquidity. Journal of Banking and Finance 35, 343-357. Korajczyk, R., Sadka, R., 2008. Pricing the commonality across alternative measures of liquidity. Journal of Financial Economics 87, 45–72. Lin, H., Wang, J., Wu, C., 2011. Liquidity risk and expected corporate bond returns. Journal of Financial Economics 99, 628–650. Longstaff, F., Mithal, S., Neis, E., 2005. Corporate yield spreads: default risk or liquidity? New evidence from the credit-default swap market. Journal of Finance 60, 2213–2253. Michael A. Goldstein, Edith S. Hotchkiss, Erik R. Sirri, 2007. Transparency and Liquidity: A Controlled Experiment on Corporate Bonds. Review of Financial Studies 20, 235-273. Roll, R., 1984. A simple implicit measure of the effective bid–ask spread in an efficient market. Journal of Finance 39, 1127–1139. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/65910 | - |
| dc.description.abstract | 本文檢驗了台灣公司債市場的流動性以及其對公司債價差的影響。利用櫃檯買賣中心的公司債交易資料，檢驗期間從2006年1月至2010年12月。我們利用許多不同的流動性指標來分析公司債價差中的流動性因子。我們發現周轉率(turnover)跟price dispersion是最能有效衡量台灣公司債的流動性指標。我們也探討流動性在金融危機期間對公司債價差影響的改變。有充分證據顯示，流動性在金融危機時期對公司債價差有更顯著的影響，其中又以金融債最為明顯。 | zh_TW |
| dc.description.abstract | We examine whether liquidity is an important price factor in corporate bond market in Taiwan. Using transaction data between January 2006 and December 2010 from GreTai Security market, we analyze liquidity components of corporate bond spreads using a variety of liquidity proxies. We find that turnover and price dispersion measure are the most two effective proxies to measure the corporate bond liquidity in Taiwan, and liquidity measures have more explanatory power than trading activity variables. We also conclude that impact of liquidity is significantly larger in times of crisis, and for financial bonds. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-17T00:15:06Z (GMT). No. of bitstreams: 1 ntu-101-R99723028-1.pdf: 900606 bytes, checksum: 49a41ac146934b0aa85816a62f9d3c3e (MD5) Previous issue date: 2012 | en |
| dc.description.tableofcontents | 口試委員會審定書 i
摘要 ii Abstract iii 1. Introduction 1 2. Literature Review 3 3. Data Description 6 4. Liquidity Proxies 10 4.1 Bond characteristics 13 4.2 Trading activity variables 13 4.1 Liquidity measures 14 5. Empirical Methodology 16 5.1 Bond yield spreads 16 5.2 Subperiods 17 5.3 Regression 17 6. Empirical Results 19 6.1 Liquidity effects in corporate bond yield spreads 19 6.2 Liquidity effects in periods of financial crisis 24 6.3 Liquidity effects in different industries 28 7. Conclusion 32 Reference 33 | |
| dc.language.iso | en | |
| dc.subject | 利率價差 | zh_TW |
| dc.subject | 債券流動性 | zh_TW |
| dc.subject | 公司債 | zh_TW |
| dc.subject | 金融危機 | zh_TW |
| dc.subject | bond liquidity | en |
| dc.subject | financial crisis | en |
| dc.subject | yield spread | en |
| dc.subject | corporate bond | en |
| dc.title | 台灣公司債流動性之實證研究 | zh_TW |
| dc.title | An empirical study on the liquidity of corporate
bond in Taiwan market | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 100-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 王耀輝,鍾懿芳 | |
| dc.subject.keyword | 債券流動性,公司債,金融危機,利率價差, | zh_TW |
| dc.subject.keyword | bond liquidity,corporate bond,yield spread,financial crisis, | en |
| dc.relation.page | 35 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2012-07-05 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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