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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/16410
Title: | 金融危機下金融股之非流動性交易 Illiquid Trades on Financial Sector in Financial Crisis |
Authors: | Wan-Hsiang Kang 康萬祥 |
Advisor: | 蘇永成(Yong-chern Su) |
Keyword: | 無流動性交易,買賣單不對稱,金融危機,雷曼兄弟,金融股, GARCH,illiquidity,order imbalance,financial crisis,Lehman Brothers, |
Publication Year : | 2012 |
Degree: | 碩士 |
Abstract: | 本研究利用OLS、GARCH(1,1)等模型探討美國主要金融股,買賣單不對稱與股票報酬間之特定因果關係。我們採用日資料,探討2008年金融海嘯期間、雷曼兄弟倒閉前後,是否能利用流動性之不足,期望藉由買賣單不對稱預測未來股價,以買賣單不對稱之交易策略獲得超額報酬。結果顯示即使在雷曼兄弟倒閉後,本交易策略無法在金融海嘯期間取得超額報酬,顯示市場效率性仍具備一定水準。 This paper focuses on the relationship between order imbalances and stock returns for major financial stocks. We develop the imbalance-based trading strategy in order to take advantage of illiquidity during the financial crisis in 2008. The results indicate that even after the Lehman Brothers bankruptcy, our trading strategy cannot significantly outperform the market, which suggests market efficiency was still maintained at the certain level in such an extreme case. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/16410 |
Fulltext Rights: | 未授權 |
Appears in Collections: | 財務金融學系 |
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