| dc.contributor.advisor | 郭維裕 | zh_TW |
| dc.contributor.advisor | Kuo, Wei-Yu | en_US |
| dc.contributor.author (Authors) | 劉鴻耀 | zh_TW |
| dc.contributor.author (Authors) | Liu, Hung-Yao | en_US |
| dc.creator (作者) | 劉鴻耀 | zh_TW |
| dc.creator (作者) | Liu, Hung-Yao | en_US |
| dc.date (日期) | 2002 | en_US |
| dc.date.accessioned | 18-Sep-2009 18:54:42 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 18:54:42 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 18:54:42 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0090351024 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/36584 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 國際經營與貿易研究所 | zh_TW |
| dc.description (描述) | 90351024 | zh_TW |
| dc.description (描述) | 91 | zh_TW |
| dc.description.abstract (摘要) | 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. | zh_TW |
| dc.description.tableofcontents | Contents Contents i Acknowledgements ii Abstract iii 1. Introduction 1 2. Methodology 6 3. Description of Data 13 4. Empirical Results 15 4.1 Univariate Analysis 15 4.2 Bivariate Analysis 18 5. Conclusion 22 References 24 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0090351024 | en_US |
| dc.subject (關鍵詞) | 共動性 | zh_TW |
| dc.subject (關鍵詞) | 流動性 | zh_TW |
| dc.subject (關鍵詞) | 時間序列分解 | zh_TW |
| dc.subject (關鍵詞) | Co-movement | en_US |
| dc.subject (關鍵詞) | Liquidity | en_US |
| dc.subject (關鍵詞) | Time-Series Decomposition | en_US |
| dc.subject (關鍵詞) | State-Space Models | en_US |
| dc.title (題名) | Co-movement in Market Liquidity Measures | zh_TW |
| dc.title (題名) | 市場流動性指標之共動性 | zh_TW |
| dc.type (資料類型) | thesis | en |
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