1. NCCU Academic Hub
  2. Publications
  3. College of Commerce
  4. Theses
  5. Item

Publications-Theses

Article View/Open

Publication Export

Google ScholarTM

NCCU Library

Citation Infomation

Related Publications in TAIR

題名 金融危機前後台灣金融市場流動性比較研究
Study of Liquidity in Taiwan`s Financial Markets During the 2007-2009 Financial Crisis
作者 何昀霓
貢獻者 張興華
何昀霓
關鍵詞 流動性
股票市場
期貨市場
市場微結構
日期 2013
上傳時間 6-Aug-2014 11:41:38 (UTC+8)
摘要 本研究探討美國次級房貸問題引發的全球金融危機對台灣股票與期貨市場流動性造成的影響，利用了四個流動性的衡量指標，以台灣股票集中市場與期貨市場中的股價指數期貨為實證對象，計算市場流動性的數值。實證結果發現，衡量指標較一致的顯示股票市場之流動性在全球金融危機發生時有變差的現象，期貨市場流動性則依不同估計方式有不一樣的結果，但臺股期貨與小型臺指期貨在金融危機發生時用不同指標衡量卻多指出其流動性為增加，有較一致的結論，金融危機使台股整體的現貨市場與連結大盤指數的期貨市場產生流動性反向變化之情形。
參考文獻 一、中文部分
1. 劉玉珍、劉維琪、吳欽杉、郭秋榮 (1991)，臺灣地區股票上市公司變現能力與股票報酬關係之實證研究，管理科學學報，8(1)：37-51。
2. 劉玉珍、藍新仁 (1994)，臺灣集中交易市場與櫃檯買賣市場之變現力分析，證券市場發展季刊，21：79-101。
3. 馬黛、陳效踐 (1995)，臺灣股市異常交易監視制度與股價行為關係之實證研究，中國財務學刊，3(1)：69-93。
4. 胡星陽 (1998)，流動性對台灣股市報酬率的影響，中國財務學刊，5(4)：1-19。
5. 詹場、胡星陽 (2001)，(綜論)流動性衡量方法之綜合評論，國家科學委員會研究彙刊：人文及社會科學，11(3)：205-221。

二、英文部分
1. Amihud, Y., Mendelson, H. (1986). Asset Pricing and the Bid-ask Spread. Journal of Financial Economics, 17(2): 223-249.
2. Amihud, Y., Mendelson, H. (1988). Liquidity and Asset Prices: Financial Management Applications. Financial Management, 17(1): 5-15.
3. Amihud, Y., Mendelson, H., Wood, R.A. (1990). Liquidity and the 1987 Stock Market Crash. The Journal of Portfolio Management, 16(3): 65-69.
4. Aitken, M., Comerton-Forde, C. (2003). How Should Liquidity Be Measured. Pacific-Basin Finance Journal, 11(1): 45-59.
5. Amihud, Y. (2002). Illiquidity and Stock Returns: Cross-section and Time-series Effects. Journal of Financial Markets, 5(1): 31-56.
6. Bessembinder, H., Seguin, P.J., (1993). Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets. Journal of Financial and Quantitative Analysis, 28(1): 21-39.
7. Bekaert, G., Harvey, C.R., Lundblad, C. (2007). Liquidity and Expected Returns: Lessons from Emerging Markets. The Review of Financial Studies, 20(6): 1783-1831.
8. Brunnermeier, M.K., Pederson, L.H. (2009). Market Liquidity and Funding Liquidity. Review of Financial Studies, 22(6): 2201-2238.
9. Chordia, T., Roll, R., Subrahmanyam, A. (2000). Commonality in Liquidity. Journal of Financial Economics, 56(1): 3-28.
10. Demsetz, H. (1968). The Cost of Transacting. The Quarterly Journal of Economics, 82(1): 33-53.
11. Datar, V.T., Naik, N.Y., Radcliffe, R. (1998). Liquidity and Stock Returns: An Alternative Test. Journal of Financial Markets, 1(2): 203-219.
12. Elyasiani, E., Hauser, S., Lauterbach, B. (2000). Market Response to Liquidity Improvements: Evidence from Exchange Listings. The Financial Review, 35(1): 1-14.
13. Engkuchik, E.N., Kaya, H.D. (2012). The Impact of the Asian Crisis on Stock Market Liquidity: Evidence from the Malaysian Stock Exchange. International Journal of Business and Social Science, 3(8): 120-127.
14. Grossman, S.J., Miller, M.H. (1988). Liquidity and Market Structure. The Journal of Finance, 43(3): 617-633.
15. Hamao, Y., Hasbrouck, J. (1995). Securities Trading in the Absence of Dealers: Trades and Quotes on the Tokyo Stock Exchange. The Review of Financial Studies, 8(3): 849-878.
16. Huang, R.D., Stoll, H.R. (1996). Dealer versus Auction Markets: A Paired Comparison of Execution Costs on NASDAQ and the NYSE. Journal of Financial Economics, 41(3): 313-357.
17. Harris, L. (2003). Trading and Exchanges: Markets Microstructure for Practitioners. New York: Oxford University Press, Inc.
18. Kyle, A.S. (1985). Continuous Auctions and Insider Trading. Econometrica, 53(6): 1315-1335.
19. Lehmann, B.N., Modest, D.M. (1994). Trading and Liquidity on the Tokyo Stock Exchange: A Bird’s Eye View. The Journal of Finance, 49(3): 951-984.
20. Lesmond, D.A., Ogden, J.P., Trzcinka, C.A. (1999). A New Estimate of Transaction Costs. The Review of Financial Studies, 12(5): 1113-1141.
21. Liu, W. (2006). A Liquidity-augmented Capital Asset Pricing Model. Journal of Financial Economics, 82(3): 631-671.
22. O’HARA, M. (1995). Market Microstructure Theory. Cambridge, MA: Blackwell Publisher Inc.
23. Pastor, L., Stambaugh, R.F. (2003). Liquidity Risk and Expected Stock Returns. Journal of Political Economy, 111(3): 642-685.
24. Roll, R. (1984). A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market. The Journal of Finance, 39(4): 1127-1139.
描述 碩士
國立政治大學
金融研究所
101352007
102
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0101352007
資料類型 thesis
dc.contributor.advisor 張興華zh_TW
dc.contributor.author (Authors) 何昀霓zh_TW
dc.creator (作者) 何昀霓zh_TW
dc.date (日期) 2013en_US
dc.date.accessioned 6-Aug-2014 11:41:38 (UTC+8)-
dc.date.available 6-Aug-2014 11:41:38 (UTC+8)-
dc.date.issued (上傳時間) 6-Aug-2014 11:41:38 (UTC+8)-
dc.identifier (Other Identifiers) G0101352007en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/68237-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融研究所zh_TW
dc.description (描述) 101352007zh_TW
dc.description (描述) 102zh_TW
dc.description.abstract (摘要) 本研究探討美國次級房貸問題引發的全球金融危機對台灣股票與期貨市場流動性造成的影響，利用了四個流動性的衡量指標，以台灣股票集中市場與期貨市場中的股價指數期貨為實證對象，計算市場流動性的數值。實證結果發現，衡量指標較一致的顯示股票市場之流動性在全球金融危機發生時有變差的現象，期貨市場流動性則依不同估計方式有不一樣的結果，但臺股期貨與小型臺指期貨在金融危機發生時用不同指標衡量卻多指出其流動性為增加，有較一致的結論，金融危機使台股整體的現貨市場與連結大盤指數的期貨市場產生流動性反向變化之情形。zh_TW
dc.description.tableofcontents 摘要 I
目錄 II
表目錄 III
第一章、緒論 1
一、研究背景與動機 1
二、研究目的 4
第二章、市場結構介紹 5
一、台灣股票集中市場 5
二、台灣期貨市場 7
第三章、文獻回顧 9
一、流動性意義 9
二、流動性衡量指標 9
第四章、研究資料與方法 13
一、資料來源 13
二、流動性衡量指標計算方法 16
第五章、實證結果分析 21
一、交易熱絡程度 21
二、不流動性 25
三、買賣價差百分比 27
四、零報酬率天數比例 29
第六章、結論與建議 30
參考文獻 32		zh_TW
dc.format.extent 810694 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0101352007en_US
dc.subject (關鍵詞) 流動性zh_TW
dc.subject (關鍵詞) 股票市場zh_TW
dc.subject (關鍵詞) 期貨市場zh_TW
dc.subject (關鍵詞) 市場微結構zh_TW
dc.title (題名) 金融危機前後台灣金融市場流動性比較研究zh_TW
dc.title (題名) Study of Liquidity in Taiwan`s Financial Markets During the 2007-2009 Financial Crisisen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 一、中文部分
1. 劉玉珍、劉維琪、吳欽杉、郭秋榮 (1991)，臺灣地區股票上市公司變現能力與股票報酬關係之實證研究，管理科學學報，8(1)：37-51。
2. 劉玉珍、藍新仁 (1994)，臺灣集中交易市場與櫃檯買賣市場之變現力分析，證券市場發展季刊，21：79-101。
3. 馬黛、陳效踐 (1995)，臺灣股市異常交易監視制度與股價行為關係之實證研究，中國財務學刊，3(1)：69-93。
4. 胡星陽 (1998)，流動性對台灣股市報酬率的影響，中國財務學刊，5(4)：1-19。
5. 詹場、胡星陽 (2001)，(綜論)流動性衡量方法之綜合評論，國家科學委員會研究彙刊：人文及社會科學，11(3)：205-221。

二、英文部分
1. Amihud, Y., Mendelson, H. (1986). Asset Pricing and the Bid-ask Spread. Journal of Financial Economics, 17(2): 223-249.
2. Amihud, Y., Mendelson, H. (1988). Liquidity and Asset Prices: Financial Management Applications. Financial Management, 17(1): 5-15.
3. Amihud, Y., Mendelson, H., Wood, R.A. (1990). Liquidity and the 1987 Stock Market Crash. The Journal of Portfolio Management, 16(3): 65-69.
4. Aitken, M., Comerton-Forde, C. (2003). How Should Liquidity Be Measured. Pacific-Basin Finance Journal, 11(1): 45-59.
5. Amihud, Y. (2002). Illiquidity and Stock Returns: Cross-section and Time-series Effects. Journal of Financial Markets, 5(1): 31-56.
6. Bessembinder, H., Seguin, P.J., (1993). Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets. Journal of Financial and Quantitative Analysis, 28(1): 21-39.
7. Bekaert, G., Harvey, C.R., Lundblad, C. (2007). Liquidity and Expected Returns: Lessons from Emerging Markets. The Review of Financial Studies, 20(6): 1783-1831.
8. Brunnermeier, M.K., Pederson, L.H. (2009). Market Liquidity and Funding Liquidity. Review of Financial Studies, 22(6): 2201-2238.
9. Chordia, T., Roll, R., Subrahmanyam, A. (2000). Commonality in Liquidity. Journal of Financial Economics, 56(1): 3-28.
10. Demsetz, H. (1968). The Cost of Transacting. The Quarterly Journal of Economics, 82(1): 33-53.
11. Datar, V.T., Naik, N.Y., Radcliffe, R. (1998). Liquidity and Stock Returns: An Alternative Test. Journal of Financial Markets, 1(2): 203-219.
12. Elyasiani, E., Hauser, S., Lauterbach, B. (2000). Market Response to Liquidity Improvements: Evidence from Exchange Listings. The Financial Review, 35(1): 1-14.
13. Engkuchik, E.N., Kaya, H.D. (2012). The Impact of the Asian Crisis on Stock Market Liquidity: Evidence from the Malaysian Stock Exchange. International Journal of Business and Social Science, 3(8): 120-127.
14. Grossman, S.J., Miller, M.H. (1988). Liquidity and Market Structure. The Journal of Finance, 43(3): 617-633.
15. Hamao, Y., Hasbrouck, J. (1995). Securities Trading in the Absence of Dealers: Trades and Quotes on the Tokyo Stock Exchange. The Review of Financial Studies, 8(3): 849-878.
16. Huang, R.D., Stoll, H.R. (1996). Dealer versus Auction Markets: A Paired Comparison of Execution Costs on NASDAQ and the NYSE. Journal of Financial Economics, 41(3): 313-357.
17. Harris, L. (2003). Trading and Exchanges: Markets Microstructure for Practitioners. New York: Oxford University Press, Inc.
18. Kyle, A.S. (1985). Continuous Auctions and Insider Trading. Econometrica, 53(6): 1315-1335.
19. Lehmann, B.N., Modest, D.M. (1994). Trading and Liquidity on the Tokyo Stock Exchange: A Bird’s Eye View. The Journal of Finance, 49(3): 951-984.
20. Lesmond, D.A., Ogden, J.P., Trzcinka, C.A. (1999). A New Estimate of Transaction Costs. The Review of Financial Studies, 12(5): 1113-1141.
21. Liu, W. (2006). A Liquidity-augmented Capital Asset Pricing Model. Journal of Financial Economics, 82(3): 631-671.
22. O’HARA, M. (1995). Market Microstructure Theory. Cambridge, MA: Blackwell Publisher Inc.
23. Pastor, L., Stambaugh, R.F. (2003). Liquidity Risk and Expected Stock Returns. Journal of Political Economy, 111(3): 642-685.
24. Roll, R. (1984). A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market. The Journal of Finance, 39(4): 1127-1139.		zh_TW