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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 | Su-Shin King | en |
dc.contributor.author | 金淑欣 | zh_TW |
dc.date.accessioned | 2021-06-15T06:57:38Z | - |
dc.date.available | 2016-02-20 | |
dc.date.copyright | 2011-02-20 | |
dc.date.issued | 2010 | |
dc.date.submitted | 2011-01-28 | |
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dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/48458 | - |
dc.description.abstract | 2008年9月15日華爾街第四大投資銀行雷曼兄弟控股公司宣布倒閉後,隨之而來的金融海嘯襲擊全球金融市場,引發市場巨大變動,本研究主要便是想探討金融海嘯時市場的效率性,藉由觀察在美國證交所上市的五大投資銀行日內買賣單不平衡與股價報酬的關係,分析其市場收斂至效率的過程。
實證結果顯示,在文中所選五家投資銀行中存在著顯著的 Cross-Effect,代表兩支不同個股間會因為造市者的避險需求,使一個股的同期買賣單不平衡對另一個股的價格報酬產生較大的影響力,同時也顯示出造市者在避險時有著較強的存貨控制能力。而相對於Cross-Effect的避險效果,在抑制價格報酬波動能力上,造市者對於個股本身價格報酬波動的控制表現較佳,存在較顯著的Autocorrelation-Effect。最後本研究中檢驗出來的同期買賣單不平衡與股價報酬的關係在Autocorrelation-Effect中隨時間間隔拉長轉為負向,與前人所做研究結果不同,但總體來說我們仍然可以從實證結果中看到市場存在逐漸收斂的效果。 | zh_TW |
dc.description.abstract | In this study the convergence process toward market efficiency of the stocks during the financial crisis in September 2008 is our main investigation target. We aim to investigate how long it will take for investment banks stocks to achieve efficiency, especially when it comes to in the situation of market turbulence before and after Lehman Brothers Holdings, Inc filed for Chapter 11 bankruptcy protection.
From our empirical finding, there exists Cross-Effect which stands for market maker hedging effectively within two different investment banks stocks, and by doing this it also exhibits strong capacity of market maker to control over two stocks’ inventory in same industry. Contrary to Cross-Effect, Autocorrelation-Effect shows better volatility control power, diminishing the price return volatility. Although we find out the relation of contemporaneous order imbalance and price return is turning to be negative with time interval getting larger in Autocorrelation-Effect which is opposite compare to previous studies, we see convergence efficiency in overall selected stocks. | en |
dc.description.provenance | Made available in DSpace on 2021-06-15T06:57:38Z (GMT). No. of bitstreams: 1 ntu-99-R97723020-1.pdf: 864923 bytes, checksum: c8054f5bf34d3dcc11c0c514b20be306 (MD5) Previous issue date: 2010 | en |
dc.description.tableofcontents | Contents
Chapter 1 Introduction 1 1.1 MOTIVES AND PURPOSES 1 1.2 FRAME WORK OF THE STUDY 12 Chapter 2 Data and Methodology 13 2.1 THE DATA 13 2.1.1 Data Sources 13 2.1.2 Data Processing Methods 13 2.1.3 Data Statistics 15 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 17 2.2.3 Dynamic Return -Order Imbalance GARCH (1, 1) Model 17 Chapter 3 Empirical Results 20 3.1 UNCONDITIONAL LAGGED RETURN-ORDER IMBALANCES OLS RELATION 20 3.2 CONDITIONAL CONTEMPORANEOUS RETURN-ORDER IMBALANCES RELATION 21 3.3 DYNAMIC VOLATILITY-ORDER IMBALANCE GARCH (1, 1) RELATION 23 3.4 DYNAMIC VOLATILITY-ORDER IMBALANCE GARCH (1, 1) RELATION 26 3.5. TRADING STRATEGY UNDER THE BASIS OF TRADE PRICE 27 Chapter 4 Conclusion 30 References 33 FIGURES Figure1. Information and Descriptive Statics of the data 41 TABLES Table2.1 Information and Descriptive Statics of the data 42 Table3.1 Empirical Results of Unconditional Lagged Return-Order Imbalance Relation 43 Table3.2 Empirical Results of Conditional Contemporaneous Return-Order Imbalance Relation 56 Table3.3 Empirical Results of the Dynamic Return-Order Imbalance GARCH (1, 1) Relation 69 Table3.4 Empirical Results of the Dynamic Volatility-Order Imbalance GARCH (1, 1) Relation 76 Table3.5 Trading Profit under the Basis of “Trade Price” 84 | |
dc.language.iso | en | |
dc.title | 金融危機之投資銀行市場效率性 | zh_TW |
dc.title | Investment Bank Market Efficiency in Financial Crisis | en |
dc.type | Thesis | |
dc.date.schoolyear | 99-1 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 胡星陽,黃漢青 | |
dc.subject.keyword | 市場效率,金融海嘯, | zh_TW |
dc.subject.keyword | Market Efficiency,Financial Crisis, | en |
dc.relation.page | 87 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2011-01-28 | |
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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