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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 蘇永成(Wong-Cheng Su) | |
| dc.contributor.author | Fu-Min Wang | en |
| dc.contributor.author | 王富民 | zh_TW |
| dc.date.accessioned | 2021-06-15T06:43:11Z | - |
| dc.date.available | 2011-07-07 | |
| dc.date.copyright | 2011-07-07 | |
| dc.date.issued | 2011 | |
| dc.date.submitted | 2011-07-06 | |
| 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., and H. Mendelson, 1986, Asset pricing and the bid-ask spread, Journal of Financial Economics 17, 223-249. 4. Amihud, Y., 2002, Illiquidity and stock returns: Cross-section and time-series effects, Journal of Financial Markets 5, 31-56. 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., S. Huh, and A. Subrahmanyam, 2007, The cross-section of expected trading activity, Review of Financial Studies 20, 709-741. 12. Chordia, T., S. Huh, and A. Subrahmanyam, 2009, Theory-Based illiquidity and asset pricing, Review of Financial Studies 22, 3629-3668 13. Eisfeldt, A., 2004, Endogenous liquidity in asset markets, Journal of Finance 59, 1-30. 14. 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. 15. Johnson, T., 2005, Dynamic liquidity in endowment economies, Journal of Financial Economics,80, 531-562. 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 Shiue-fang Lin, 2011, Dynamic Relations between Order Imbalance, Volatility and Return of Top Gainers, (Forthcoming) Applied Economics, March, 1-11 18. 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 19. Su, Yong-chern, and Peiwen Chen, 2009, Intraday Return-Order Imbalance Relation in NASDAQ Speculative New Highs, Applied Economics Letters, volume 16, 863-869 | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/47935 | - |
| 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密切而影響廣大的關係。 | 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. We attempt to investigate the relationship between illiquid trades and market efficiency. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-15T06:43:11Z (GMT). No. of bitstreams: 1 ntu-100-R98723077-1.pdf: 841436 bytes, checksum: 25c1604bb887b15b967dd05269d950b7 (MD5) Previous issue date: 2011 | en |
| dc.description.tableofcontents | Chapter 1 Introduction ............................................................. 4
1.1 Motives and Purposes .................................................................................................................. 4 1.3 Framework of Approach ............................................................................................................... 8 1.3 GRAPH OF FRAMEWORK OF APPROACH ................................................................................................ 10 Chapter 2 Data and Methodology .......................................... 11 2.1 THE DATA ...................................................................................................................................... 11 2.1.1 DATA SOURCES ............................................................................................................................. 11 2.1.2 DATA PROCESSING METHODS .......................................................................................................... 12 2.1.3 DESCRIPTIVE STATISTICS ................................................................................................................. 13 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 .............................................. 23 3.3 DYNAMIC RETURN -ORDER IMBALANCE GARCH (1, 1) RELATION ............................................................ 24 3.4 DYNAMIC VOLATILITY -ORDER IMBALANCE GARCH (1, 1) RELATION ........................................................ 27 3.5 LIQUIDITY MEASUREMENT ................................................................................................................. 29 3.6 TRADING STRATEGY .......................................................................................................................... 29 Chapter 4 Conclusion .............................................................. 34 References ................................................................................. 38 | |
| dc.language.iso | en | |
| dc.title | 金融危機中不動產貸款公司之流動性交易 | zh_TW |
| dc.title | Illiquid trades on Mortgage companies in Financial Crisis | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 99-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 胡星陽,黃漢青 | |
| dc.subject.keyword | 財務金融, | zh_TW |
| dc.subject.keyword | illiquid trades, | en |
| dc.relation.page | 71 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2011-07-06 | |
| 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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