English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 110944/141864 (78%)
Visitors : 47967746      Online Users : 692
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/110766


    Title: 臺灣上櫃股票市場系統流動性風險訂價之實證探討
    The pricing of systematic liquidity risk on Taiwan OTC stock market
    Authors: 沈士堯
    Contributors: 顏佑銘
    沈士堯
    Keywords: 雙變量Garch
    流動性風險溢價
    系統流動性風險
    Bivariate garch
    Liquidity risk premium
    Systematic liquidity risk
    Date: 2017
    Issue Date: 2017-07-11 11:22:53 (UTC+8)
    Abstract: 本文以1997年6月至2016年7月臺灣上櫃股票市場做為研究樣本，透過建立一Bivariate Diagonal BEKK GARCH (1,1)-in-mean模型，並以大盤週轉率形成之總合流動性指標與大盤超額報酬率之共變異數做為系統流動性風險之衡量指標，觀察系統流動性風險在臺灣上櫃股票市場是否有被訂價。結論除發現系統流動性風險有確實被訂價外，系統流動性風險溢價還兼具穩定性，且對市場超額報酬率有顯著的影響力。
    By constructing a bivariate diagonal BEKK Garch (1,1)-in-mean model and using the covariance between the excess market return and turnover rate as aggregate systematic liquidity proxy, the study tries to examine whether systematic liquidity risk was priced on Taiwan OTC stock market during the period of June 1997-July 2016. Based on monthly data, the findings suggest that not only the systematic liquidity risk was well priced on Taiwan OTC stock market, but the phenomenon also possessed stability and could have significant impact on stock returns.
    Reference: 佟孟華、余世奎、HAN Shuang，(2010)。股市系統流動性風險溢價動態實證研究。財經問題研究，1，57-63。
    邱莉婷，(2008)。系統流動性風險評價模型：臺灣股票市場上的應用。國立政治大學國際經營與貿易研究所碩士論文。
    胡星陽，(1998)。流動性對臺灣股票報酬率的影響。中國財務學刊，5(4)，1-19。
    徐暢，(2014)。基於二元GARCH-M模型的市場流動性風險溢價研究。上海社會科學院碩士論文。
    陳隆勛，(1998)。臺灣上市公司股票流動性與股票報酬關聯性之研究。國立交通大學管理科學研究所碩士論文。
    劉玉珍、劉維琪、吳欽杉和郭秋榮，(1991)。臺灣股票上市公司變現能力與股票報酬關係之實證研究。管理科學學報，8(1)，37-51。
    歐新成，(2010)。系統流動性與風險定價。國立交通大學財務金融研究所碩士論文。
    謝文良、林苑宜，(2012)。臺灣股市之流動性共變現象。證券市場發展季刊，24(4)，135-168。
    Acharya, V. V, & Pedersen, L. H., (2005). Asset Pricing with Liquidity Risk, Journal of Financial Economics, Volume 77(2), 375-410.
    Amihud, Y., & Mendelson, H., (1986). Asset Pricing and the Bid-Ask Spread, Journal of Financial Economics, Volume 17, 223-249.
    Amihud, Y., & Mendelson, H. (1989). The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns. The Journal of Finance, 44, 479-486.
    Amihud, Y., (2002). Illiquidity and Stock Returns: Cross-section and time-series effects. Journal of Financial Markets 5, 31–56.
    Bollerslev, T., (1986). Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics, 31(3), 307-327.
    Brennan, M. J., & Subrahmanyam, A., (1996). Market Microstructure and Asset Pricing: On the Compensation for Illiquidity in Stock Returns, Journal of Financial Economics, 41(3), 441-464.
    Brockman, P.,& Chung, D. Y., (2002). Commonality under Stress: Evidence from an Order-Driven Market, International Review of Economics and Finance, 17, 179-196.
    Chang, Y. Y., Faff, R., & Hwang, C. Y. 2010. Liquidity and Stock Returns in Japan: New Evidence, Pacific-Basin Finance Journal, 18(1), 90-115.
    Chen, N., Roll, R., Ross, S., (1986). Economic forces and the stock markets, Journal of Business, 59, 386-403.
    Chordia, T., Roll, R., & Subrahmanyam, A., (2000). Commonality in Liquidity, Journal of Financial Economics, 56, 3-28.
    Chou, R. Y., (1988). Volatility Persistence and Stock Valuations: Some Empirical Evidence Using Garch, Journal of Applied Econometrics, 3(4), 279-294.
    Datar, V. T., Naik, N. Y., & Radcliffe, R., (1998). Liquidity and Stock Returns: An Alternative Test, Journal of Financial Markets, 1(2), 203-219.
    Demsetz, H., (1968). Why Regulate Utilities? The Journal of Law & Economics, 11(1), 55-65.
    Domowitz, I., & Wang, X., (2002), Liquidity, Liquidity Commonality and Its Impact on Portfolio Theory, SSRN Working Paper.
    Eleswarapu, V. R., (1997). Cost of Transacting and Expected Returns in the Nasdaq Market, The Journal of Finance, 52(5), 2113-2127.
    Engle, R., Kroner, K., (1995). Multivariate Simultaneous Generalized Arch. Econometric Theory 11, 122-150.
    Engle, R. F., Lilien, D. M., & Russel, P. R., (1987). Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model, Econometrica, 55(2), 391-407.
    Gibson, R., & Mougeot, N., (2004). The Pricing of Systematic Liquidity Risk: Empirical Evidence from the US Stock Market, Journal of Banking & Finance, 28, 157-178.
    Glosten, L. R., Harris, L. E., (1988). Estimating the Components of the Bid/Ask Spread, Journal of Financial Economics, 21(1), 123-142.
    Harris, L., (1990). Liquidity, Trading Rules and Electronic Trading Systems, New York University Salomon Center.
    Harris, L., (2003). Trading and Exchanges : Market Microstructure for Practitioners, Oxford University Press.
    Hamao, Y., & Hasbrouck, J., (1995). Securities Trading in the Absence of Dealers: Trades and Quotes on the Tokyo Stock Exchange, The Review of Financial Studies, 8(3), 849-878.
    Hasbrouck, J., & Seppi, D. (2001). Common Factors in Prices, Order Flows and Liquidity. Journal of Financial Economics, 59, 383–411.
    Kempf, A. & Mayston, D., (2005). Commonalities in the Liquidity of a Limit Order Book, Technical Report, University of Colonge.
    Kyle, A. S., (1985). Continuous Auctions and Insider Trading, Econometrica, 53(6), 1315-1335.
    Lee Jie-Haun., Lin Shu-Ying., Lee Wan-Chen., & Tsao Chueh-Yung., (2006). Common Factors in Liquidity: Evidence from Taiwan`s OTC Stock Market, International Review of Financial Analysis, 15, 306-327.
    Lippman, S. A., & McCall, J. J., (1986). An Operational Measure of Liquidity, The American Economic Review, 76(1), 43-55.
    Martin, P., (1975). Analysis of the Impact of Competitive Rates on the Liquidity of NYSE Stocks. Economic Staff Paper, 75(3), Securities and Exchange Commission.
    Nelson, D.B., 1990. ARCH models as diffusion approximations. Journal of Econometrics, 45, 7-38.
    Pastor, L., & Stambaugh, R., (2003). Liquidity Risk and Expected Stock Returns, Journal of Political Economy, 111(3), 642-685.
    Roll, R., (1984). A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market, The Journal of Finance, 39(4), 1127-1139.
    Schwartz, R. A., (1988). Equity markets: structure, trading, and performance, Harpercollins College Div.
    Scruggs, J.T., (1998). Resolving the Puzzling Intertemporal Relation Between the Market Risk Premium and Conditional Market Variance: A Two-Factor approach. The Journal of Finance 53, 575–603.
    Stoll, H. R., (1989). Inferring the Components of the Bid-ask Spread: Theory and Empirical Tests, The Journal of Finance 44(1), 115–134.
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    104351022
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0104351022
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

    Files in This Item:

    There are no files associated with this item.



    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback