English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 109953/140892 (78%)
Visitors : 46229832      Online Users : 1200
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
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/145923
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/145923

    Title: 價格或流動性:道瓊工業平均指數成分股的選擇
    Price versus Liquidity: The Selection of DJIA Stocks
    Authors: 劉逸涵
    Liu, Yi-Han
    Contributors: 黃嘉威
    Huang, Chia-Wei
    Liu, Yi-Han
    Keywords: 道瓊工業平均指數
    Dow Jones Industrial Average
    Stock selection criteria
    Stock price
    Stock liquidity
    Date: 2023
    Issue Date: 2023-07-06 17:00:49 (UTC+8)
    Abstract: 本研究以股價及六種流動性代理變數進行羅吉斯迴歸分析,探討1927年至2020年,股價、股票流動性與道瓊工業平均指數選股標準之間的關係,並比較兩項因素對公司是否被選入道瓊工業平均指數的影響力。實證結果顯示,股價對於公司是否被選入指數的解釋力較不一致,僅在部分流動性衡量方式下具有顯著正向影響,流動性代理變數則具有高度解釋力及顯著正向影響。總體而言,股價愈高或流動性愈高的公司,進入指數的機率愈高,這可能與指數計算方式、市場對於股價的重視程度以及道瓊工業平均指數期望維持準確性和代表性的目標有關。儘管兩項因素對於公司是否進入指數具有一定的正向影響,但相較於股價,股票流動性對於公司是否被選入指數的影響更大。此外,本研究也發現股價和股票流動性的影響力並無明顯的時間趨勢。
    In this study, logistic regression analysis was conducted using stock prices and six liquidity proxy variables to explore the relationship between stock price, stock liquidity and the stock selection criteria of the Dow Jones Industrial Average from 1927 to 2020, and to compare the influence of these two factors on whether a company is selected for inclusion in the Dow Jones Industrial Average. The empirical results show that the explanatory power of stock prices for the inclusion of companies in the index is inconsistent, with only significant positive effects observed in certain measures of liquidity. On the other hand, the liquidity proxy variables exhibit a high explanatory power and significant positive impact on the inclusion of companies in the index. Overall, companies with higher stock prices or greater liquidity have a higher probability of being included in the index. This relationship may be related to the index calculation methodology, the market`s emphasis on stock prices, and the goal of maintaining accuracy and representativeness of the Dow Jones Industrial Average. Although the two factors have a certain positive impact on whether a company is included in the index, stock liquidity plays a more significant role than stock price. In addition, this study also finds that the influence of stock price and stock liquidity has no obvious time trend.
    Reference: 中文部分

    Aitken, M., & Comerton-Forde, C. (2003). How should liquidity be measured?. Pacific-Basin Finance Journal, 11(1), 45-59.
    Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets, 5(1), 31-56.
    Amihud, Y., Mendelson, H., & Pedersen, L. H. (2006). Liquidity and asset prices. Foundations and Trends in Finance, 1(4), 269-364.
    Arora, A., Capp, L., & Smith, G. (2008). The real dogs of the Dow. Journal of Wealth Management, 10(4), 64-72.
    Biktimirov, E. N., & Xu, Y. (2019). Market reactions to changes in the Dow Jones industrial average index. International Journal of Managerial Finance.
    Brown, J. H., Crocker, D. K., & Foerster, S. R. (2009). Trading volume and stock investments. Financial Analysts Journal, 65(2), 67-84.
    Dalvi, M. R., & Baghi, E. (2014). Evaluate the relationship between company performance and stock market liquidity. International Journal of Academic Research in Accounting, Finance and Management Sciences, 4(1), 136-144.
    Datar, V. T., Naik, N. Y., & Radcliffe, R. (1998). Liquidity and stock returns: An alternative test. Journal of Financial Markets, 1(2), 203-219.
    Elyasiani, E., Hauser, S., & Lauterbach, B. (2000). Market response to liquidity improvements: Evidence from exchange listings. Financial Review, 35(1), 1-14.
    Gregoriou, A., & Nguyen, N. D. (2010). Stock liquidity and investment opportunities: New evidence from FTSE 100 index deletions. Journal of International Financial Markets, Institutions and Money, 20(3), 267-274.
    Grossman, S. J., & Miller, M. H. (1988). Liquidity and market structure. Journal of Finance, 43(3), 617-633.
    Harris, L. (1990). Liquidity, trading rules and electronic trading systems (No. 91-8).
    Lesmond, D. A., Ogden, J. P., & Trzcinka, C. A. (1999). A new estimate of transaction costs. Review of Financial Studies, 12(5), 1113-1141.
    Polonchek, J., & Krehbiel, T. (1994). Price and volume effects associated with changes in the Dow Jones averages. Quarterly Review of Economics and Finance, 34(4), 305-316.
    Roll, R. (1984). A simple implicit measure of the effective bid‐ask spread in an efficient market. Journal of Finance, 39(4), 1127-1139.
    Rudd, A. T. (1979). The revised Dow Jones industrial average: new wine in old bottles?. Financial Analysts Journal, 35(6), 57-63.
    Ryan, P. A., & Villupuram, S. V. (2023). Changes in the DJIA: market reactions and economic cycles. Review of Accounting and Finance, 22(2), 177-193.
    Varela, O., & Chandy, P. R. (1989). Market reaction to listings and delistings in the Dow Jones portfolios. International Journal of Finance, 2(1), 67-78.
    Description: 碩士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0110357019
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

    Files in This Item:

    File Description SizeFormat
    701901.pdf1862KbAdobe PDF20View/Open

    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
    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.

    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