學術產出-期刊論文
| 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 | 5-十一月-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 Tsao | en_US |
| dc.date (日期) | 2005-03 | en_US |
| dc.date.accessioned | 5-十一月-2008 16:48:49 (UTC+8) | - |
| dc.date.available | 5-十一月-2008 16:48:49 (UTC+8) | - |
| dc.date.issued (上傳時間) | 5-十一月-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 |