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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 | Jian-De Wu | en |
dc.contributor.author | 吳建德 | zh_TW |
dc.date.accessioned | 2021-06-08T05:37:44Z | - |
dc.date.copyright | 2011-07-29 | |
dc.date.issued | 2011 | |
dc.date.submitted | 2011-07-26 | |
dc.identifier.citation | References
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. Amihud, Y., 2002, Illiquidity and stock returns: Cross-section and time-series effects, Journal of Financial Markets 5, 31-56. 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., and A. Subrahmanyam, 1995, Investment analysis and price formation in securities markets, Journal of Financial Economics 38, 361-381. 7. 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. 8. 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. 9. 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. 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., S. Huh, and A. Subrahmanyam, 2005, The cross-section of expected trading activity, forthcoming, Review of Financial Studies. 12. Eisfeldt, A., 2004, Endogenous liquidity in asset markets, Journal of Finance 59, 1-30. 13. 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. 14. Johnson, T., 2005, Dynamic liquidity in endowment economies, Journal of Financial Economics,80, 531-562. 15. Lin, Tze-Yi, 2010 ,”Commercial Bank Market Efficiency in Financial Crisis” Graduate Institute of Finance of National Taiwan University. 16. P’astor, L., and R. Stambaugh, 2003, Liquidity risk and expected stock returns, Journal of Political Economy 113, 642-685. 17. 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 18. Su, Yong-chern, Huang, Hangching and Peiwen Chen, 2009, Intraday Return-Order Imbalance Relation in NASDAQ Speculative New Highs, Applied Economics Letters, volume 16, 863-869 19. 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 | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/24708 | - |
dc.description.abstract | 近年來,流動性對股價的影響是財務金融學領域裡最熱門也最重受關注的議題。特別地,這個議題與定義市場投機以及投資者利用特殊資訊來獲得超額報酬的著名「市場效率假說」有非常密切的關係。本論文指在探究這兩者間關係,並特別以商業銀行做為樣本,做更深入研究與探討。 | zh_TW |
dc.description.abstract | The effects of liquidity on stock market returns, in recent years has been the most debated and concerned issue in both contemporary finance as well as econometric research. In particular, this issue is closely linked to the very concept of market efficiency, which governs the laws of probability that traders with special information gain abnormal returns. In this research, we especially focus on commercial banks as our samples and attempt to investigate the relationship between illiquid trades and market efficiency. | en |
dc.description.provenance | Made available in DSpace on 2021-06-08T05:37:44Z (GMT). No. of bitstreams: 1 ntu-100-R98723076-1.pdf: 511545 bytes, checksum: 509e1f338fd70234377235f8600e8fa2 (MD5) Previous issue date: 2011 | en |
dc.description.tableofcontents | CONTENTS
CHAPTER 1 INTRODUCTION 3 1.1 Motives and Purposes 3 1.2 Literature Review 6 CHAPTER 2 DATA AND METHODOLOGY 11 2.1 THE DATA 2.1.1 DATA SOURCES 11 2.1.2 DATA PROCESSING METHODS 11 2.1.3 DESCRIPTIVE STATISTICS 12 2.2 METHODOLOGY 13 2.2.1 UNCONDITIONAL LAGGED RETURN-ORDER IMBALANCES OLS MODEL 13 2.2.2 CONDITIONAL CONTEMPORANEOUS RETURN-ORDER IMBALANCES OLS MODEL 14 2.2.3 DYNAMIC RETURN-ORDER IMBALANCE GARCH (1, 1) MODEL 16 2.2.4 DYNAMIC VOLATILITY-ORDER IMBALANCE GARCH (1, 1) MODEL 17 2.2.5 LIQUIDITY MEASUREMENT 18 CHAPTER 3 EMPIRICAL RESULTS 19 3.1 UNCONDITIONAL LAGGED RETURN-ORDER IMBALANCES RELATION 19 3.2 CONDITIONAL CONTEMPORANEOUS RETURN-ORDER IMBALANCES RELATION 21 3.3 DYNAMIC RETURN -ORDER IMBALANCE GARCH (1, 1) RELATION 22 3.4 DYNAMIC VOLATILITY -ORDER IMBALANCE GARCH (1, 1) RELATION 23 3.5 LIQUIDITY MEASUREMENT 24 3.6 TRADING STRATEGY 25 CHAPTER 4 CONCLUSION 28 REFERENCES 31 | |
dc.language.iso | en | |
dc.title | 金融危機之商業銀行之非流動性交易 | zh_TW |
dc.title | Illiquid trades on Commercial Banks in Financial Crisis | en |
dc.type | Thesis | |
dc.date.schoolyear | 99-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 胡星陽(Shing-Yang Hu),黃漢青 | |
dc.subject.keyword | 非流動性交易,金融危機,商業銀行, | zh_TW |
dc.subject.keyword | commercial bank,Financial crisis,illiquid trade, | en |
dc.relation.page | 112 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2011-07-27 | |
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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