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題名 Co-movement in Market Liquidity Measures
市場流動性指標之共動性
作者 劉鴻耀
Liu, Hung-Yao
貢獻者 郭維裕
Kuo, Wei-Yu
劉鴻耀
Liu, Hung-Yao
關鍵詞 共動性
流動性
時間序列分解
Co-movement
Liquidity
Time-Series Decomposition
State-Space Models
日期 2002
上傳時間 18-九月-2009 18:54:42 (UTC+8)
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.
參考文獻 References
Aoki, M., 1990. State Space Modeling of Time Series. Springer-
Verlag, Berlin.
Bernstein, P.L., 1987. Liquidity, stock markets, and market
makers. Financial Management, 54-62.
Black, F., 1986. Noise. Journal of Finance 41, 529-543.
Box, G. E. P., Cox, D. R., 1964. An analysis of
transformations. Journal of the Royal Statistical Society B
(26), 211-243.
Box, G. E. P., Jenkins, G. M., Reinsel, G. C., 1994. Time
Series Analysis: Forecasting and Control, 3rd Edition.
Prentice Hall , Englewood Cliffs, N.J..
Brockman, P., Chung, D. Y., 2002. Commonality in liquidity:
evidence from an order-driven market structure. The Journal
of Financial Research 25(4), 521-539.
Burman, J.P., 1980. Seasonal adjustment by signal extraction.
Journal of the Royal Statistical Society A (143), 321-337.
Casals, J., Jerez, M., Sotoca, S., 2000. Exact smoothing for
stationary and nonstationary time series. International
Journal of Forecasting 16(1), 59-69.
Casals, J., Jerez, M., Sotoca, S., 2002. An exact multivariate
model-based structural decomposition. Journal of the American
Statistical Association 97(458), 553-564.
Casals, J., Sotoca, S., Jerez, M., 1999. A fast and stable
method to compute the likelihood of time invariant State-
Space models. Economics Letters 65, 329-337.
Chordia, T., Roll, R., Subrahmanyam, A., 2000. Commonality in
liquidity. Journal of Financial Economics 56, 3-28.
Engle, R.F., and Kozicki, S., 1993. Testing for common
features. Journal of Business and Economic Statistics 11, 369-
380.
Harvey, A.C., 1989. Forecasting, Structural Time Series Models
and the Kalman Filter. Cambridge University Press, Cambridge.
Hasbrouck, J., Seppi, D. J., 2001. Common factors in prices,
order flows and liquidity. Journal of Financial Economics 59,
383-411.
Huberman, G., Halka, D., 2001. Systematic liquidity. The
Journal of Financial Research 24(2), 161-178.
Jenkins, G.M., Alavi, A.S., 1981. Some aspects of modelling and
forecasting multivariate time series. Journal of Time Series
Analysis 2(1), 1-47.
Kyle, A.S., 1985. Continuous auctions and insider trading.
Econometrica 53, 1315-1335.
Petkov, P. Hr., Christov, N.D., Konstantinov, M.M., 1991.
Computational Methods for Linear Control Systems. Prentice-
Hall, Englewood Cliffs, N.J..
Terceiro, J., 1990. Estimation of Dynamic Econometric Models
with Errors in Variables. Springer-Verlag, Berlin.
West, M., 1997. Time series decomposition and analysis in a
study of Oxygen Isotope records. Biometrika 84, 489-494.
描述 碩士
國立政治大學
國際經營與貿易研究所
90351024
91
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0090351024
資料類型 thesis
dc.contributor.advisor 郭維裕zh_TW
dc.contributor.advisor Kuo, Wei-Yuen_US
dc.contributor.author (作者) 劉鴻耀zh_TW
dc.contributor.author (作者) Liu, Hung-Yaoen_US
dc.creator (作者) 劉鴻耀zh_TW
dc.creator (作者) Liu, Hung-Yaoen_US
dc.date (日期) 2002en_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) G0090351024en_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) 90351024zh_TW
dc.description (描述) 91zh_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/#G0090351024en_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-movementen_US
dc.subject (關鍵詞) Liquidityen_US
dc.subject (關鍵詞) Time-Series Decompositionen_US
dc.subject (關鍵詞) State-Space Modelsen_US
dc.title (題名) Co-movement in Market Liquidity Measureszh_TW
dc.title (題名) 市場流動性指標之共動性zh_TW
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Referenceszh_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 marketzh_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 ofzh_TW
dc.relation.reference (參考文獻) transformations. Journal of the Royal Statistical Society Bzh_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. Timezh_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 Journalzh_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 forzh_TW
dc.relation.reference (參考文獻) stationary and nonstationary time series. Internationalzh_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 multivariatezh_TW
dc.relation.reference (參考文獻) model-based structural decomposition. Journal of the Americanzh_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 stablezh_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 inzh_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 commonzh_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 Modelszh_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. Thezh_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 andzh_TW
dc.relation.reference (參考文獻) forecasting multivariate time series. Journal of Time Serieszh_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 Modelszh_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 azh_TW
dc.relation.reference (參考文獻) study of Oxygen Isotope records. Biometrika 84, 489-494.zh_TW