| dc.contributor.advisor | 胡聯國 | zh_TW |
| dc.contributor.advisor | Hu,Len Kuo | en_US |
| dc.contributor.author (Authors) | 邱莉婷 | zh_TW |
| dc.contributor.author (Authors) | Chiu,Li Ting | en_US |
| dc.creator (作者) | 邱莉婷 | zh_TW |
| dc.creator (作者) | Chiu,Li Ting | en_US |
| dc.date (日期) | 2008 | en_US |
| dc.date.accessioned | 8-Apr-2010 15:45:08 (UTC+8) | - |
| dc.date.available | 8-Apr-2010 15:45:08 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Apr-2010 15:45:08 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0953510311 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/38369 | - |
| 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) | 95351031 | zh_TW |
| dc.description (描述) | 97 | zh_TW |
| dc.description.abstract (摘要) | 自2000年來，學術界開始廣泛地討論系統流動性風險因子以及非流動性因子是否在資產評價上有重要的影響，尤其在最近的金融危機中，市場的流動性風險應該如何被衡量及量化也是實務上重視的課題。不同於傳統的市場微結構模型，著重在衡量個股的流動性以及非流動性，本文嘗試以系統流動性評價模型建構流動性風險因子及非流動性因子來衡量整體市場的流動性，並探討市場流動性如何應用在資產評價上。在Lee, Lin, Lee, and Tsao (2006)研究中，嘗試分析台灣市場個別股票流動性的共同因素(common factor)，並已得到確切的結論。然而此一系統性的流動風險因子尚未應用在資產評價模型上。本文在建構市場的流動性以及市場的非流動性兩個因子之後，並用以評價市場的股票報酬，結果發現若以市場流動性因子評估，則持有對市場流動性衝擊(liquidity shock)具有高度敏感性的股票(Beta>0)並同時賣出低敏感性的股票(Beta<0)，將會得到顯著的異常報酬。另一方面，若以市場非流動性因子衡量，則持有非流動性較高的股票並同時賣出非流動性較低的股票，也會得到顯著的異常報酬。 | zh_TW |
| dc.description.abstract (摘要) | Market-wide liquidity drain has aroused grave concerns in the recent financial tumult and prompted a number of academics to query how much the liquidity risk is incorporated into the pricing of those assets that are blamed for the recent financial collapse. Though this market-wide liquidity risk factor has started being acknowledged as a key component of asset pricing models, it has not yet been applied to Taiwan’s financial market. Based on the commonality in liquidity is confirmed by Lee, Lin, Lee, and Tsao (2006) in the Taiwan’s stock market, this study is the first one to include systematic liquidity factor in asset pricing model.Two different dimensions are employed due to liquidity is an elusive characteristic to measure. This study intends to measure the degree of liquidity shock and illiquidity characteristic that afflicts Taiwan’s stock market by looking into temporary price changes accompanying the order flow in the lag period and the trading volume in the contemporaneous period. Stock excess return has always been considered a compensation for risk. This study also explores whether excess return reflects compensation of market-wide liquidity, and provides evidences that the premium for systematic liquidity shock factor and illiquidity factor in the Taiwan’s stock market are all significant. | en_US |
| dc.description.tableofcontents | 1 INTRODUCTION 52 SYSTEMATIC LIQUIDITY 8 2.1 THE ORDER FLOW LIQUIDITY 8 2.2 THE ILLIQUIDITY MEASURE 11 2.3 LIQUIDITY COMMONALITY 123 DATA DESCRIPTION 154 MARKET-WIDE LIQUIDITY AND ILLIQUIDITY: 17 4.1 EMPIRICAL FEATURES 17 4.2 CORRELATION MATRIX FOR RISK FACTORS 215 ASSET PRICING AND SYSTEMATIC LIQUIDITY RISK FACTOR 22 5.1 PORTFOLIO FORMATION AND PRELIMINARY EMPIRICAL EVIDENCE 23 5.1.1 Sorted by Historical OFL Beta 24 5.1.2 Sorted by Historical ILLQ Beta 24 5.1.3 Sorted by Market Capitalization 25 5.1.4 Preliminary empirical evidence of sorted portfolios 25 5.2 LIQUIDITY ASSET PRICING MODEL 27 5.2.1 Liquidity Premium：Alpha in OFL portfolio 28 5.2.2 Illiquidity Premium：Alpha in ILLQ portfolio 31 5.2.3 Alpha in Size portfolio 346 CONCLUSION 39REFERENCE 41 | zh_TW |
| dc.format.extent | 96482 bytes | - |
| dc.format.extent | 116147 bytes | - |
| dc.format.extent | 113504 bytes | - |
| dc.format.extent | 108098 bytes | - |
| dc.format.extent | 111574 bytes | - |
| dc.format.extent | 230660 bytes | - |
| dc.format.extent | 99399 bytes | - |
| dc.format.extent | 197250 bytes | - |
| dc.format.extent | 252600 bytes | - |
| dc.format.extent | 67160 bytes | - |
| dc.format.extent | 65945 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0953510311 | en_US |
| dc.subject (關鍵詞) | 系統流動性評價模型 | zh_TW |
| dc.subject (關鍵詞) | 市場流動性 | zh_TW |
| dc.subject (關鍵詞) | 流動性因子 | zh_TW |
| dc.subject (關鍵詞) | 非流動性因子 | zh_TW |
| dc.subject (關鍵詞) | Systematic liquidity pricing model | en_US |
| dc.subject (關鍵詞) | Market liquidity | en_US |
| dc.subject (關鍵詞) | Liquidity factor | en_US |
| dc.subject (關鍵詞) | Illiquidity factor | en_US |
| dc.title (題名) | 系統流動性風險評價模型：台灣股票市場上的應用 | zh_TW |
| dc.title (題名) | Asset Pricing and Systematic Liquidity risk on Taiwan Stock Market | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | Amihud, Yakov, and Mendelson, Haim. “Asset Pricing and the Bid-Ask Spread.” J.Financial Econ. (1986) | zh_TW |
| dc.relation.reference (參考文獻) | Amihud, Yakov. “Illiquidity and Stock Returns: Cross-Section and Time-Series Effects.” J. Financial Market (2002) | zh_TW |
| dc.relation.reference (參考文獻) | Eugene F.Fama, and Kenneth R.French. “Common Risk Factors in the Returns on Stocks and Bonds.” J. Financial Econ. (1993) | zh_TW |
| dc.relation.reference (參考文獻) | Eugen F.Fama, and Kenneth R. French. “The Value Premium and the CAPM”, | zh_TW |
| dc.relation.reference (參考文獻) | J. Finance (2005) | zh_TW |
| dc.relation.reference (參考文獻) | Geert Bekaert, Campbell R. Harvey, and Christian Lundblad. “Liquidity and Expected Returns:Lessons from Emerging Markets.” The Review of Financial Studies (2007) | zh_TW |
| dc.relation.reference (參考文獻) | Ian Domowitz, Oliver Hansch, and Xiaoxin Wang. “Liquidity commonality and return co-movement.” J. Financial Market (2005) | zh_TW |
| dc.relation.reference (參考文獻) | Jie-Haun Lee a,e, Shu-Ying Lin b, Wan-Chen Lee c, Chueh-Yung Tsao. “Common factors in liquidity: Evidence from Taiwan`s OTC stock market.”International Review of Financial Analysis. (2006) | zh_TW |
| dc.relation.reference (參考文獻) | Joel Hasbrouck, and Duane J. Seppi “Common factors in prices, order flows, and liquidity.” J. Financial Econ. (2001) | zh_TW |
| dc.relation.reference (參考文獻) | John Y.Campbell, Sanford J.Grossman, and Jiang Wang. “Trading Volume and Serial Correlation in Stock Returns.” J. Economics (1993) | zh_TW |
| dc.relation.reference (參考文獻) | Lubos Pastor, and Robert F. Stambaugh. “Liquidity Risk and Expected Stock Returns.” J. Political Econ. (2003) | zh_TW |
| dc.relation.reference (參考文獻) | Maureen O`Hara. “Presidential address: liquidity and price discovery.” J.Finance. (2003) | zh_TW |
| dc.relation.reference (參考文獻) | Miguel A. Martinez, Belen Nieto, Gonzalo Rubio, and Mikel Tapia. “Asset Pricing and Systematic Liquidity Risk: An Empirical Investigation of the Spanish Stock Market.” International Review of Economics and Finance. (2005) | zh_TW |
| dc.relation.reference (參考文獻) | Robert A. Korajczyk, and Ronnie Sadka. “Pricing the Commonality across Alternative Measures of Liquidity.” J.Financial Econ. (2008) | zh_TW |
| dc.relation.reference (參考文獻) | Tarun Chordia, Richard Roll, and Avanidhar Subrahmanyam. “Commonality in Liquidity.” J.Financial Econ. (2000) | zh_TW |
| dc.relation.reference (參考文獻) | Viral V. Acharya and Lasse Heje Pedersen. “Asset pricing with liquidity risk” J.Financial Econ. (2005) | zh_TW |
| dc.relation.reference (參考文獻) | Xinwey Zheng, and Zhichao Zhang. “Commonality in Liquidity in Emerging Markets: Evidence from the Chinese Stock Market.” Working paper (2006) | zh_TW |
