dc.contributor.advisor | 郭維裕 | zh_TW |
dc.contributor.advisor | Kuo, Wei-Yu | en_US |
dc.contributor.author (作者) | 劉鴻耀 | zh_TW |
dc.contributor.author (作者) | 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 | 18-九月-2009 18:54:42 (UTC+8) | - |
dc.date.available | 18-九月-2009 18:54:42 (UTC+8) | - |
dc.date.issued (上傳時間) | 18-九月-2009 18:54:42 (UTC+8) | - |
dc.identifier (其他 識別碼) | 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 |
dc.relation.reference (參考文獻) | References | zh_TW |
dc.relation.reference (參考文獻) | Aoki, M., 1990. State Space Modeling of Time Series. Springer- | zh_TW |
dc.relation.reference (參考文獻) | Verlag, Berlin. | zh_TW |
dc.relation.reference (參考文獻) | Bernstein, P.L., 1987. Liquidity, stock markets, and market | zh_TW |
dc.relation.reference (參考文獻) | makers. Financial Management, 54-62. | zh_TW |
dc.relation.reference (參考文獻) | Black, F., 1986. Noise. Journal of Finance 41, 529-543. | zh_TW |
dc.relation.reference (參考文獻) | Box, G. E. P., Cox, D. R., 1964. An analysis of | zh_TW |
dc.relation.reference (參考文獻) | transformations. Journal of the Royal Statistical Society B | zh_TW |
dc.relation.reference (參考文獻) | (26), 211-243. | zh_TW |
dc.relation.reference (參考文獻) | Box, G. E. P., Jenkins, G. M., Reinsel, G. C., 1994. Time | zh_TW |
dc.relation.reference (參考文獻) | Series Analysis: Forecasting and Control, 3rd Edition. | zh_TW |
dc.relation.reference (參考文獻) | Prentice Hall , Englewood Cliffs, N.J.. | zh_TW |
dc.relation.reference (參考文獻) | Brockman, P., Chung, D. Y., 2002. Commonality in liquidity: | zh_TW |
dc.relation.reference (參考文獻) | evidence from an order-driven market structure. The Journal | zh_TW |
dc.relation.reference (參考文獻) | of Financial Research 25(4), 521-539. | zh_TW |
dc.relation.reference (參考文獻) | Burman, J.P., 1980. Seasonal adjustment by signal extraction. | zh_TW |
dc.relation.reference (參考文獻) | Journal of the Royal Statistical Society A (143), 321-337. | zh_TW |
dc.relation.reference (參考文獻) | Casals, J., Jerez, M., Sotoca, S., 2000. Exact smoothing for | zh_TW |
dc.relation.reference (參考文獻) | stationary and nonstationary time series. International | zh_TW |
dc.relation.reference (參考文獻) | Journal of Forecasting 16(1), 59-69. | zh_TW |
dc.relation.reference (參考文獻) | Casals, J., Jerez, M., Sotoca, S., 2002. An exact multivariate | zh_TW |
dc.relation.reference (參考文獻) | model-based structural decomposition. Journal of the American | zh_TW |
dc.relation.reference (參考文獻) | Statistical Association 97(458), 553-564. | zh_TW |
dc.relation.reference (參考文獻) | Casals, J., Sotoca, S., Jerez, M., 1999. A fast and stable | zh_TW |
dc.relation.reference (參考文獻) | method to compute the likelihood of time invariant State- | zh_TW |
dc.relation.reference (參考文獻) | Space models. Economics Letters 65, 329-337. | zh_TW |
dc.relation.reference (參考文獻) | Chordia, T., Roll, R., Subrahmanyam, A., 2000. Commonality in | zh_TW |
dc.relation.reference (參考文獻) | liquidity. Journal of Financial Economics 56, 3-28. | zh_TW |
dc.relation.reference (參考文獻) | Engle, R.F., and Kozicki, S., 1993. Testing for common | zh_TW |
dc.relation.reference (參考文獻) | features. Journal of Business and Economic Statistics 11, 369- | zh_TW |
dc.relation.reference (參考文獻) | 380. | zh_TW |
dc.relation.reference (參考文獻) | Harvey, A.C., 1989. Forecasting, Structural Time Series Models | zh_TW |
dc.relation.reference (參考文獻) | and the Kalman Filter. Cambridge University Press, Cambridge. | zh_TW |
dc.relation.reference (參考文獻) | Hasbrouck, J., Seppi, D. J., 2001. Common factors in prices, | zh_TW |
dc.relation.reference (參考文獻) | order flows and liquidity. Journal of Financial Economics 59, | zh_TW |
dc.relation.reference (參考文獻) | 383-411. | zh_TW |
dc.relation.reference (參考文獻) | Huberman, G., Halka, D., 2001. Systematic liquidity. The | zh_TW |
dc.relation.reference (參考文獻) | Journal of Financial Research 24(2), 161-178. | zh_TW |
dc.relation.reference (參考文獻) | Jenkins, G.M., Alavi, A.S., 1981. Some aspects of modelling and | zh_TW |
dc.relation.reference (參考文獻) | forecasting multivariate time series. Journal of Time Series | zh_TW |
dc.relation.reference (參考文獻) | Analysis 2(1), 1-47. | zh_TW |
dc.relation.reference (參考文獻) | Kyle, A.S., 1985. Continuous auctions and insider trading. | zh_TW |
dc.relation.reference (參考文獻) | Econometrica 53, 1315-1335. | zh_TW |
dc.relation.reference (參考文獻) | Petkov, P. Hr., Christov, N.D., Konstantinov, M.M., 1991. | zh_TW |
dc.relation.reference (參考文獻) | Computational Methods for Linear Control Systems. Prentice- | zh_TW |
dc.relation.reference (參考文獻) | Hall, Englewood Cliffs, N.J.. | zh_TW |
dc.relation.reference (參考文獻) | Terceiro, J., 1990. Estimation of Dynamic Econometric Models | zh_TW |
dc.relation.reference (參考文獻) | with Errors in Variables. Springer-Verlag, Berlin. | zh_TW |
dc.relation.reference (參考文獻) | West, M., 1997. Time series decomposition and analysis in a | zh_TW |
dc.relation.reference (參考文獻) | study of Oxygen Isotope records. Biometrika 84, 489-494. | zh_TW |