台灣大小公司報酬與流動性之實證研究

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：20

、訪客IP：3.15.221.67

姓名

陳皓華(Haw-Hwa Chen) 查詢紙本館藏

畢業系所

經濟學系

論文名稱

台灣大小公司報酬與流動性之實證研究
(The Empirical Research of Return and Liquidity between Large and Small Firms in Taiwan)

相關論文

★ 消費財富效果不對稱分析: 馬可夫轉換共同趨勢模型之應用	★ 股票市場報酬與波動性外溢效果分析
★ 中國大陸勞動合同法與企業所得稅法對台商的衝擊與因應	★ 結構FAVAR模型與台灣貨幣政策分析
★ 通貨膨脹率預測:考慮結構變動之動態因子模型應用	★ 匯率因子與市場基要之預測表現
★ 台灣外匯暨股票市場流動性與景氣循環關係之探討	★ 台灣經濟成長率之混合頻率預測-MIDAS迴歸應用
★ 油價對匯率預測能力之分析	★ 重新驗證遠期匯率不偏性假說: Bonferroni Q 檢定之應用
★ 台灣期貨市場處份效果之研究	★ 寡占廠商成本歧異下之最適產業與貿易政策
★ The Macroeconomic Effects of Foreign Direct Investment	★ 平行輸入、仿冒與服務品質
★ 經濟成長、消費者信心與銀行風險	★ 台灣動態隨機一般均衡模型之實證研究

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

至系統瀏覽論文 ( 永不開放)

摘要(中)

本研究主要在檢驗變數間訊息傳遞狀況和交錯自我相關的情形,
我們建立一個簡單的模型去檢視大小公司間股票變數領先-落後的關係。
使用Amihud的非流動性指標做為衡量流動性的工具。
實證結果指出,
在相關係數檢定下,
大小公司同變數間同期相關性很高;
在Granger因果關係的檢定下,
大公司股票的訊息變數對小公司股票的訊息變數有很強的領先效果。
此外,
我們也使用了VAR模型及衝擊反應分析來檢驗估計結果是否一致,
並且加入外生變數的影響去判斷此衝擊對系統間的影響。
而更進一步發現,
大公司股票的流動性扮演一個加強變數間交錯自我相關的角色。

摘要(英)

This paper examines the relation between information transmission and cross-autocorrelations.
We present a simple model, where informed trading is transmitted from large to small stocks with a lag.
We use Amihud’’s illiquidity indicator as a tool to measure liquidity here.
In results, large stock illiquidity induced by informed trading portends stronger cross-autocorrelations.
Empirically, we find that the lead-lag relation increases with lagged large stock illiquidity.
Further, We can understand that large stock liquidity play an important role in cross-autocorrelations.

關鍵字(中)

★ 流動性
★ 交錯自我相關
★ Granger因果關係

關鍵字(英)

★ Liquidity
★ Cross-autocorrelations
★ Granger causality

論文目次

1 緒論 1
1.1 研究背景與動機動 1
1.2 研究目的與對象 2
1.3 論文架構 2
2 文獻回顧 4
2.1 大小公司的資訊角色 4
2.2 流動性的資訊角色 4
2.3 領先落後與因果關係 5
3 理論模型與研究方法 7
3.1 樣本及使用資料說明 7
3.2 單根檢定 8
3.2.1 Dickey-Fuller (DF)單根檢定 9
3.2.2 Augmented Dickey-Fuller (ADF)單根檢定 9
3.3 模型最適落後期數選定 10
3.4 向量自我迴歸模型 11
3.5 Granger因果關係檢定 13
3.6 衝擊反應分析 15
4 實證結果 17
4.1 敘述統計 17
4.2 相關係數矩陣 17
4.3 Granger因果關係檢定 18
4.4 VAR估計結果 20
4.5 衝擊反應分析 21
4.6 VAR估計結果-加入外生變數 22
5 結論與建議 24
參考文獻 36

參考文獻

Ajayi, A. R., J. Friedman, and S. M. Mehdian.”On the Relationship between Stock
Returns and Exchange Rate: Tests of Granger Causality.” Global Finance Jour-
nal, 9(2) (1998), 241-251.
Amihud, Y. ”Illiquidity and Stock Returns: Cross-Section and Time-Series Ef-
fects.” Journal of Financial Markets, 5 (2002), 31-56.
Amihud, Y., and H. Mendelson. ”Asset Pricing and the Bid-Ask Spread.” Journal
of Financial Economics, 17 (1986), 223-249.
Avramov, D., T. Chordia, and A. Goyal. ”Liquidity and Autocorrelations in Indi-
vidual Stock Returns.” Journal of Finance, 61 (2006), 2365-2394.
Badrinath, S. G., J. R. Kale, and T. H. Noe. ”Of Shepherds, Sheep, and the Cross-
Autocorrelations in Equity Returns.” Review of Financial Studies, 8 (1995),
401-430.
Barberis, N., and A. Shleifer. ”Style Investing.” Journal of Financial Economics, 68
(2003), 161-199.
Benston, G. J., and R. L. Hagerman. ”Determinants of Bid-Asked Spreads in the
Over-the-CounterMarket.”JournalofFinancialEconomics,1(1974),353-364.
Chordia, T., andB.Swaminathan. ”Tradingvolumeandcross-autocorrelationsin
stock returns.” Journal of Finance, 55 (2000), 913-935.
Chordia, T., A. Sarkar, and A. Subrahmanyam. ”Liquidity Dynamics and Cross-
Autocorrelations.” Journal of Finance and Quantitative Analysis, 46 (2011),709-736.
Chordia, T., R. Roll, and A. Subrahmanyam. ”Liquidity and Market Effciency.”
Journal of Financial Economics, 87 (2008), 249-268.
Chordia, T., R. Roll, and A. Subrahmanyam. ”Market Liquidity and Trading Activ-
ity.” Journal of Finance, 56 (2001), 501-530.
Eun,S.C.,andS.Shim. ”InternationalTransmissionofStockMarketMovements”
Journal of Financial and Quantitative Analysis, 24 (1989), 241-56.
Handa, P., andR.A.Schwartz. ”DynamicPriceDiscovery.”ReviewofQuantitative
Finance and Accounting, 7 (1996), 5-28.
Ho,T.,andH.Stoll. ”TheDynamicsofDealerMarketsunderCompetition.”Journal
of Finance, 38 (1983), 1053-1074.
Hou, K., and T. J. Moskowitz. ”Market Frictions, Price Delay, and the Cross-
Section of Expected Returns.” Review of Financial Studies, 18 (2005), 981-
1020.
Kanas, A. ”Mean and variance spillover among size-sorted UK equity portfolios.”
Applied Economics Letter, 9 (2002), 319-323.
Kim, M., A. C. Szakmary, and T.V. Schwarz. ”Trading Costs and Price Diacovery
across Stock Index Futures and Cash Markets.” The Journal of Futures Mar-
kets, 19(4) (1999), 475-498.
Kyle, A.S. ”Continuous auctions and insider trading.” Economertrica, 53 (1985),
1315-1335.
Lo, A. W., and A. C. MacKinlay. ”When Are Contrarian Pro?ts Due to Stock Market
Overreaction?” Review of Financial Studies, 3 (1990), 175-205.
McQueen, G., M. Pinegar, and S. Thorley. ”Delayed reaction to good news and
the cross-autocorrelation of portfolio returns.” Journal of Finance, 51 (1996),
889-920.
Mitchell, M., T. Pulvino, and E. Stafford. ”Limited Arbitrage in Equity Markets.”
Journal of Finance, 57 (2002), 551-584.
O’Hara, M., and G. Oldfield. ”The Microeconomics of Market Making.” Journal
of Financial and Quantitative Analysis, 21 (1986), 361-376.
Sadka, R., and A. Scherbina. ”Analyst Disagreement, Mispricing, and Liquidity.”
Journal of Finance, 62 (2007), 2367-2403.

指導教授

徐之強(Chih-Chiang Hsu)

審核日期

2012-6-26

推文