Common Factors in Liquidity: Evidence from Taiwan`s OTC Stock Market

Title	Common Factors in Liquidity: Evidence from Taiwan`s OTC Stock Market
Creator	Lee Jie-Haun;Shu-Ying Lin;Wan-Chen Lee;Chueh-Yung Tsao
Date	2005-03
Date Issued	5-Nov-2008 16:48:49 (UTC+8)
Summary	While liquidity plays an important role in market microstructure research, little previous work has been devoted to the common determinants of liquidity. In this study, we investigate common factors in liquidity by means of regression analysis using daily and intraday data in the Taiwan OTC stock market. Our empirical results based on the daily data provide evidence that market- and industry-wide effects do exist in Taiwan`s OTC market. These common factors are also found in the intraday data, but the effectiveness of the factors is not the same among the different trading intervals.
Relation	International Review of Financial Analysis, 15, 306-327
Type	article
DOI	http://dx.doi.org/10.1016/j.irfa.2004.12.004

dc.creator (作者)	Lee Jie-Haun;Shu-Ying Lin;Wan-Chen Lee;Chueh-Yung Tsao	en_US
dc.date (日期)	2005-03	en_US
dc.date.accessioned	5-Nov-2008 16:48:49 (UTC+8)	-
dc.date.available	5-Nov-2008 16:48:49 (UTC+8)	-
dc.date.issued (上傳時間)	5-Nov-2008 16:48:49 (UTC+8)	-
dc.identifier.uri (URI)	https://nccur.lib.nccu.edu.tw/handle/140.119/6075	-
dc.description.abstract (摘要)	While liquidity plays an important role in market microstructure research, little previous work has been devoted to the common determinants of liquidity. In this study, we investigate common factors in liquidity by means of regression analysis using daily and intraday data in the Taiwan OTC stock market. Our empirical results based on the daily data provide evidence that market- and industry-wide effects do exist in Taiwan`s OTC market. These common factors are also found in the intraday data, but the effectiveness of the factors is not the same among the different trading intervals.	-
dc.format	application/	en_US
dc.language	en	en_US
dc.language	en-US	en_US
dc.language.iso	en_US	-
dc.relation (關聯)	International Review of Financial Analysis, 15, 306-327	en_US
dc.title (題名)	Common Factors in Liquidity: Evidence from Taiwan`s OTC Stock Market	en_US
dc.type (資料類型)	article	en
dc.identifier.doi (DOI)	10.1016/j.irfa.2004.12.004	en_US
dc.doi.uri (DOI)	http://dx.doi.org/10.1016/j.irfa.2004.12.004	en_US