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題名 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
作者 沈士堯
貢獻者 顏佑銘
沈士堯
關鍵詞 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
日期 2017
上傳時間 11-Jul-2017 11:22:53 (UTC+8)
摘要 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.
參考文獻 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.
描述 碩士
國立政治大學
國際經營與貿易學系
104351022
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0104351022
資料類型 thesis
dc.contributor.advisor 顏佑銘zh_TW
dc.contributor.author (Authors) 沈士堯zh_TW
dc.creator (作者) 沈士堯zh_TW
dc.date (日期) 2017en_US
dc.date.accessioned 11-Jul-2017 11:22:53 (UTC+8)-
dc.date.available 11-Jul-2017 11:22:53 (UTC+8)-
dc.date.issued (上傳時間) 11-Jul-2017 11:22:53 (UTC+8)-
dc.identifier (Other Identifiers) G0104351022en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/110766-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description (描述) 104351022zh_TW
dc.description.abstract (摘要) 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。zh_TW
dc.description.abstract (摘要) 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.en_US
dc.description.tableofcontents 第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的與範圍 2
第三節 研究架構 3
第貳章 文獻回顧 4
第一節 流動性的定義 4
第二節 流動性的衡量指標 4
第三節 系統流動性風險溢酬 9
第四節 臺灣上櫃股票市場簡介 12
第參章 研究方法 15
第一節 研究假說 15
第二節 樣本選取與資料來源 16
第三節 研究流程與實證模型 18
第肆章 實證結果與分析 22
第一節 樣本資料檢測 22
第二節 系統流動性風險溢價是否存在? 24
第三節 系統流動性風險溢價的穩定性檢測 25
第四節 系統流動性風險溢價的顯著性檢測 28
第伍章 結論與建議 32
第一節 結論 32
第二節 研究限制與後續研究之建議 32
參考文獻 34		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0104351022en_US
dc.subject (關鍵詞) 雙變量Garchzh_TW
dc.subject (關鍵詞) 流動性風險溢價zh_TW
dc.subject (關鍵詞) 系統流動性風險zh_TW
dc.subject (關鍵詞) Bivariate garchen_US
dc.subject (關鍵詞) Liquidity risk premiumen_US
dc.subject (關鍵詞) Systematic liquidity risken_US
dc.title (題名) 臺灣上櫃股票市場系統流動性風險訂價之實證探討zh_TW
dc.title (題名) The pricing of systematic liquidity risk on Taiwan OTC stock marketen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 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.		zh_TW