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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 蘇永成(Yong-chern Su) | |
dc.contributor.author | Wan-Hsiang Kang | en |
dc.contributor.author | 康萬祥 | zh_TW |
dc.date.accessioned | 2021-06-07T18:13:39Z | - |
dc.date.copyright | 2012-06-29 | |
dc.date.issued | 2012 | |
dc.date.submitted | 2012-06-18 | |
dc.identifier.citation | 1.Acharya, V., and L. Pedersen, 2005, Asset pricing with liquidity risk, Journal of Financial Economics 77, 385-410.
2.Admati, A. and P. Pfleiderer, 1988, A theory of intraday patterns: Volume and price variability, Review of Financial Studies 1, 3-40. 3.Aktas, N., Bodt, E.D., Oppens, H.V., 2008. Legal insider trading and market efficiency. Journal of Banking and Finance 32, 1379-1392. 4.Amihud, Y., and H. Mendelson, 1986, Asset pricing and the bid-ask spread, Journal of Financial Economics 17, 223-249. 5.Baker, M., and J. Stein, 2004, Market liquidity as a sentiment indicator, Journal of Financial Markets 7, 271-299. 6.Brennan, M., N. Jegadeesh, and B. Swaminathan, 1993, Investment analysis and the adjustment of stock prices to common information, Review of Financial Studies 6, 799-824. 7.Brennan, M., and A. Subrahmanyam, 1995, Investment analysis and price formation in securities markets, Journal of Financial Economics 38, 361-381. 8.Brennan, M., and A. Subrahmanyam, 1996, Market microstructure and asset pricing: On the compensation for illiquidity in stock returns, Journal of Financial Economics 41,441-464. 9.Brennan, M., Chordia, T., and A. Subrahmanyam, 1998, Alternative factor specifications, security characteristics, and the cross-section of expected stock returns, cross-sectional determinants of expected returns, Journal of Financial Economics 49, 345—373. 10.Chordia, T., R. Roll, and A. Subrahmanyam, 2002, Order imbalance, liquidity, and market returns, Journal of Financial Economics 65, 111-130. 11.Chordia, T., and A. Subrahmanyam, 2004, Order imbalance and individual stock returns: Theory and evidence, Journal of Financial Economics 72, 485-518. 12.Chordia, T., S. Huh, and A. Subrahmanyam, 2007, The cross-section of expected trading activity, Review of Financial Studies 20, 709-741. 13.Chordia, T., S. Huh, and A. Subrahmanyam, 2009, Theory-Based illiquidity and asset pricing, Review of Financial Studies 22, 3629-3668 14.Dennert, J., 1993, Price Competition between Market Makers, Review of Economic Studies 60, 735-751. 15.Durham, J.B., 2001. Sensitivity analyses of anomalies in developed stock markets. Journal of Banking and Finance 25, 1503-1541. 16.Eisfeldt, A., 2004, Endogenous liquidity in asset markets, Journal of Finance 59, 1-30. 17.Fama, E., 1970. Efficient capital markets: A review of theory and empirical work. Journal of Finance 25, 383-417. 18.Jacoby, G., D. Fowler, and A. Gottesman, 2000, The capital asset pricing model and the liquidity effect: A theoretical approach, Journal of Financial Markets 3, 69-81. 19.Johnson, T., 2005, Dynamic liquidity in endowment economies, Journal of Financial Economics, 80, 531-562. 20.Kyle, A., 1985, Continuous auctions and insider trading, Econometrica, 53, 1315–1335. 21.Lee, Ch. and M. Ready, 1991, Inferring trade direction from intraday data, Journal of Finance 46, 733-746. 22.Oldfield and O'Hara, 1986, The Microeconomics of Market Making, Journal of Financial and Quantitative Analysis 21, 361-376 23.Pu Shen and Ross M. Starra, 2001, Market-makers’ supply and pricing of financial market liquidity, Economics Letters 24.P’astor, L., and R. Stambaugh, 2003, Liquidity risk and expected stock returns, Journal of Political Economy 113, 642-685. 25.Rachev, S., Jasic, T., Stoyanov, S., Fabozzi, F.J., 2007. Momentum strategies based on reward-risk stock selection criteria. Journal of Banking and Finance 31, 2325-2346. 26.Stoll, Hans R, 1978. The Supply of Dealer Services in Securities Markets, Journal of Finance, American Finance Association, vol. 33(4), pages 1133-51 27.Su, Yong-chern, Huang, Hangching and Shiue-fang Lin, 2011, Dynamic Relations between Order Imbalance, Volatility and Return of Top Gainers, Applied Economics, March, 1-11 28.Su, Yong-chern, Huang, Hangching and Ming-wei Hsu, 2010, Convergence to Market Efficiency of Top Gainers, Journal of Banking and Finance, Volume 34, 2230-2237 29.Su, Yong-chern, and Peiwen Chen, 2009, Intraday Return-Order Imbalance Relation in NASDAQ Speculative New Highs, Applied Economics Letters, volume 16, 863-869 30.Tu, Hsin-Pei, 2011, Illiquid Trade of Investment Banks during Financial Crisis, Graduate Institute of Finance, National Taiwan University 31.Yang, Szu-Chieh, 2011, Illiquid Trades on Insurance Companies in Financial Crisis, Graduate Institute of Finance, National Taiwan University 32.Wang, Fu-Min, 2011, Illiquid trades on Mortgage companies in Financial Crisis, Graduate Institute of Finance, National Taiwan University | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/16410 | - |
dc.description.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。 | zh_TW |
dc.description.abstract | 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. | en |
dc.description.provenance | Made available in DSpace on 2021-06-07T18:13:39Z (GMT). No. of bitstreams: 1 ntu-101-R99723009-1.pdf: 396754 bytes, checksum: e520d2cfde96beb8d78ace2085c4339a (MD5) Previous issue date: 2012 | en |
dc.description.tableofcontents | Chapter 1 Introduction 5
1.1 Motives and Purposes 5 1.2 Framework of Approach 9 1.3 GRAPH OF RESEARCH APPROACH 11 Chapter 2 Data and Methodology 12 2.1 THE DATA 12 2.1.1 DATA SOURCES 12 2.1.2 DATA PROCESSING METHODS 12 2.1.3 DESCRIPTIVE STATISTICS 14 2.2 METHODOLOGY 15 2.2.1 UNCONDITIONAL LAGGED RETURN-ORDER IMBALANCES OLS MODEL 15 2.2.2 CONDITIONAL CONTEMPORANEOUS RETURN-ORDER IMBALANCES OLS MODEL 16 2.2.3 DYNAMIC RETURN-ORDER IMBALANCE GARCH (1, 1) MODEL 17 2.2.4 DYNAMIC VOLATILITY-ORDER IMBALANCE GARCH (1, 1) MODEL 18 2.2.5 LIQUIDITY MEASUREMENT 19 Chapter 3 Empirical Results 21 3.1 UNCONDITIONAL LAGGED RETURN-ORDER IMBALANCES RELATION 21 3.2 CONDITIONAL CONTEMPORANEOUS RETURN-ORDER IMBALANCES RELATION 22 3.3 DYNAMIC RETURN -ORDER IMBALANCE GARCH (1, 1) RELATION 24 3.4 DYNAMIC VOLATILITY -ORDER IMBALANCE GARCH (1, 1) RELATION 26 3.5 LIQUIDITY MEASUREMENT 29 3.6 TRADING STRATEGY 29 Chapter 4 Conclusion 32 References 36 | |
dc.language.iso | en | |
dc.title | 金融危機下金融股之非流動性交易 | zh_TW |
dc.title | Illiquid Trades on Financial Sector in Financial Crisis | en |
dc.type | Thesis | |
dc.date.schoolyear | 100-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 廖咸興(Hsien-hsing Liao),黃漢青(Han-ching Huang) | |
dc.subject.keyword | 無流動性交易,買賣單不對稱,金融危機,雷曼兄弟,金融股, | zh_TW |
dc.subject.keyword | GARCH,illiquidity,order imbalance,financial crisis,Lehman Brothers, | en |
dc.relation.page | 57 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2012-06-18 | |
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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