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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 | I-Chuan Chan | en |
dc.contributor.author | 詹益權 | zh_TW |
dc.date.accessioned | 2021-06-16T16:08:14Z | - |
dc.date.available | 2013-06-21 | |
dc.date.copyright | 2013-06-21 | |
dc.date.issued | 2013 | |
dc.date.submitted | 2013-05-24 | |
dc.identifier.citation | 1.Acharya, V., and Pedersen , L., 2005, Asset pricing with liquidity risk, Journal of Financial Economics 77, 385-410.
2.Admati, A. and Pfleiderer, P., 1988, A theory of intraday patterns: Volume and price variability, Review of Financial Studies 1, 3-40. 3.Amihud, Y., and Mendelson, H., 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 Stein, J., 2004, Market liquidity as a sentiment indicator, Journal of Financial Markets 7, 271-299. 6.Brennan, M., Jegadeesh, N., and Swaminathan, B., 1993, Investment analysis and the adjustment of stock prices to common information, Review of Financial Studies 6, 799-824. 7.Brennan, M., and Subrahmanyam, A., 1995, Investment analysis and price formation in securities markets, Journal of Financial Economics 38, 361-381. 8.Brennan, M., and Subrahmanyam, A., 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 Subrahmanyam, A., 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., Roll, R., and Subrahmanyam, A., 2002, Order imbalance, liquidity, and market returns, Journal of Financial Economics 65, 111-130. 11.Chordia, T., and Subrahmanyam, A., 2004, Order Imbalance and Individual Stock Returns: Theory and Evidence, Journal of Financial Economics, 72, 485-518. 12.Chordia, T., Huh, S. W., and Subrahmanyam, A., 2007, The cross-section of expected trading activity, Review of Financial Studies 20, 709-741. 13.Chordia, T., Huh, S. W., and Subrahmanyam, A., 2009, Theory-Based illiquidity and asset pricing, Review of Financial Studies 22, 3629-3668 14.Eisfeldt, A., 2004, Endogenous liquidity in asset markets, Journal of Finance 59, 1-30. 15.Fama, E., 1970, Efficient capital markets: A review of theory and empirical work, Journal of Finance 25, 383-417. 16.Jacoby, G., Fowler, D., and Gottesman, A., 2000, The capital asset pricing model and the liquidity effect: A theoretical approach, Journal of Financial Markets 3, 69-81. 17.Johnson, T., 2005, Dynamic liquidity in endowment economies, Journal of Financial Economics 80, 531-562. 18.Kang, W. H., 2012, Illiquid Trades on Financial Sector in Financial Crisis, Graduate Institute of Finance, National Taiwan University 19.Kyle, A., 1985, Continuous Auctions and Insider Trading, Econometrica 53, 1315-1335 20.Lee, M. C., and Ready, M. J., 1991, Inferring Trade Direction from Intraday Data, Journal of Finance 46, 733-746. 21.Lin, C. L., 2010, Market efficiency between Investment Banks and Commercial Banks in Financial Crisis, Graduate Institute of Finance, National Taiwan University 22.Lin, T. Y., 2010, Commercial Bank Market Efficiency in Financial Crisis, Graduate Institute of Finance, National Taiwan University 23.P’astor, L., and Stambaugh, R., 2003, Liquidity risk and expected stock returns, Journal of Political Economy 113, 642-685. 24.Su, Y. C., Huang, H. and Lin, S. F., 2011, Dynamic Relations between Order Imbalance, Volatility and Return of Top Gainers, Applied Economics 44, 1509-1519 25.Su, Y. C., Huang, H.,and Hsu, M. W., 2010, Convergence to Market Efficiency of Top Gainers, Journal of Banking and Finance 34, 2230-2237 26.Su, Y. C., Tseng, W., and Chen, P., 2009, Intraday Return-Order Imbalance Relation in NASDAQ Speculative New Highs, Applied Economics Letters 16, 863-869 27.Yang, F. S., 2011, Illiquid Trades on International Investment Banks in Financial Crisis, Graduate Institute of Finance, National Taiwan University 28.Yang, M. Y., 2008, Convergence to Market Efficiency of NASDAQ Hedging Stock, Graduate Institute of Finance, National Taiwan University 29.Yang, S. C., 2011, Illiquid Trades on Insurance Companies in Financial Crisis, Graduate Institute of Finance, National Taiwan University 30.Wang, F. M., 2011, Illiquid trades on Mortgage companies in Financial Crisis, Graduate Institute of Finance, National Taiwan University 31.Wu, J. D., 2011, Illiquid trades on Commercial Banks in Financial Crisis, Graduate Institute of Finance, National Taiwan University | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/62713 | - |
dc.description.abstract | 自2007年次貸風暴及雷曼兄弟倒閉後,全球經濟成長趨緩,不動產房貸產業陷入嚴重的流動性危機。美國聯準會推行了一系列的量化寬鬆政策,以刺激疲弱不振的經濟狀況。本篇論文主要探討其中三次量化寬鬆政策: 第一輪量化寬鬆政策(QE1)、第二輪量化寬鬆政策(QE2)及扭轉操作(OT)對不動產房貸公司市場效率性的影響。
首先,我們以多元線性回歸模型檢驗同期及前期買賣單不平衡對股票報酬率的解釋力。實證結果顯示,在不考量當期的買賣單不平衡時,前一期的買賣單不平衡對報酬率的解釋力並不如顯著。在考慮當期後,我們也沒辦法得到類似於Chordia和Subrahmanyam(2004)的研究結果:前一期買賣單不平衡對報酬有負向影響、當期買賣單不平衡對報酬有正向影響。 另外,透過GARCH (1,1) 模型,我們發現同期買賣單不平衡與報酬率間有顯著地正向關係。然而,由GARCH (1,1) 模型解釋股價波動性與買賣單不平衡之間的結果,我們卻無法推得買賣單不平衡對報酬率波動度有顯著的解釋能力。 除此之外,藉由計算Chordia, Huh和Subrahmanya(2007)提到的流動性指標,我們發現宣布QE1和QE2後,市場流動性有增加;但是對於OT,市場流動性就沒有明確的變化方向。 最後,我們以買賣單不平衡為買賣指標,建立日內的交易策略。施行此交易策略,我們雖能得到正的報酬,但卻無法打敗「買進並持有」的市場交易策略,間接推得市場具有效率性。 | zh_TW |
dc.description.abstract | The global economy slowdowns when the outbreak of subprime mortgage crisis and the bankruptcy of Lehman Brothers. The market liquidity of mortgage industry almost burns out. In order to boost the sluggish economy, the Federal Reserve conducts a series of expansionary monetary policies. The main purpose of our paper is to investigate mortgage finance companies market efficiency during three Quantitative Easing Policies, namely QE1, QE2 and OT.
To begin with, we use a multi-regression model to examine the relation between returns and contemporaneous as well as lagged order imbalances. Inconsistent with the result of Chordia and Subrahmanyam (2004), our result point out that both contemporaneous and lagged order imbalances only have limited prediction power on returns. Besides, by adopting GARCH(1,1) model, we find that contemporaneous order imbalances have significant influence on current stock returns while have almost no effect on stock volatility. Through the liquidity measurement described by Chordia, Huh, and Subrahmanya (2007), we find that the market liquidity increase after QE1 and QE2 announcement but have no certain pattern in OT. Finally, through the result of our intraday trading strategy based on the sign of large order imbalances, we find our trading strategy have positive average return. However, our return cannot surpass the return of buy-and-hold market strategy, suggesting that market indeed is efficient. | en |
dc.description.provenance | Made available in DSpace on 2021-06-16T16:08:14Z (GMT). No. of bitstreams: 1 ntu-102-R99723076-1.pdf: 3797938 bytes, checksum: dc02a1a8080f608c0ae81e159d021b2e (MD5) Previous issue date: 2013 | en |
dc.description.tableofcontents | Chapter 1 Introduction 1
1.1 Motives and Purposes 1 1.2 Literature Review 3 1.3 Framework of Approach 7 1.4 Graph of Framework of approach 9 Chapter 2 Data and Methodology 10 2.1 THE DATA 10 2.1.1 Data Sources 10 2.1.2 Data Processing Methods 11 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 20 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 25 3.4 DYNAMIC VOLATILITY -ORDER IMBALANCE GARCH (1, 1) RELATION 27 3.5 LIQUIDITY MEASUREMENT 28 3.6 TRADING STRATEGY 29 Chapter 4 Conclusion 32 References 35 | |
dc.language.iso | en | |
dc.title | 美國量化寬鬆政策對不動產貸款公司之市場效率性影響 | zh_TW |
dc.title | U.S. Quantitative Easing Policy on Mortgage Finance Companies Market Efficiency | en |
dc.type | Thesis | |
dc.date.schoolyear | 101-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 胡星陽(Shing-Yang Hu),黃漢青(Han-Ching Huang) | |
dc.subject.keyword | 量化寬鬆政策,扭轉操作,市場效率性,線性回歸模型,GARCH,買賣單不平衡,流動性, | zh_TW |
dc.subject.keyword | Quantitative Easing Policy,QE1,QE2,Operation Twist,market efficiency,OLS,GARCH,order imbalance,liquidity, | en |
dc.relation.page | 204 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2013-05-27 | |
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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