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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/36584

    Title: Co-movement in Market Liquidity Measures
    Authors: 劉鴻耀
    Liu, Hung-Yao
    Contributors: 郭維裕
    Kuo, Wei-Yu
    Liu, Hung-Yao
    Keywords: 共動性
    Time-Series Decomposition
    State-Space Models
    Date: 2002
    Issue Date: 2009-09-18 18:54:42 (UTC+8)
    Abstract: Abstract

    Undoubtedly, liquidity is one of the most popular topics of research among the academia for decades. However intuitively-clear it is, scholars and experts have always found it not only hard but vague to define and measure. Moreover, researches or methods concerning commonality in liquidity are proposed one after another. Most of these works attempt to document what lies beneath the commonality by offering industry-wide or market-wide explanations. Nevertheless, this paper adopts an exact multivariate model-based structural decomposition methodology developed by Casals, Jerez and Sotoca (2002) to analyze the co-movement in market liquidity measures in a totally different manner. Except for decomposing three well-known market liquidity measures, share volume, dollar volume and turnover rate, of the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) into trend, cycle, seasonal and irregular components, we conduct advanced bivariate analysis to extract common components, visualize them, and make a comparison among them at last. Evidence suggests that not only do these three liquidity proxies highly co-move with one another, but dollar volume seems to co-move slightly closer with share volume than with turnover rate. In the end, where this phenomenon, co-movement in market liquidity measures, accrues from is another long story and needs some further work not covered in this study.
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    Description: 碩士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0090351024
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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