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題名 Common Factors in Liquidity: Evidence from Taiwan`s OTC Stock Market
作者 Lee Jie-Haun;Shu-Ying Lin;Wan-Chen Lee;Chueh-Yung Tsao
日期 2005-03
上傳時間 5-Nov-2008 16:48:49 (UTC+8)
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.
關聯 International Review of Financial Analysis, 15, 306-327
資料類型 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 Tsaoen_US
dc.date (日期) 2005-03en_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 enen_US
dc.language en-USen_US
dc.language.iso en_US-
dc.relation (關聯) International Review of Financial Analysis, 15, 306-327en_US
dc.title (題名) Common Factors in Liquidity: Evidence from Taiwan`s OTC Stock Marketen_US
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1016/j.irfa.2004.12.004en_US
dc.doi.uri (DOI) http://dx.doi.org/10.1016/j.irfa.2004.12.004en_US