| DC 欄位 |
值 |
語言 |
| DC.contributor | 經濟學系 | zh_TW |
| DC.creator | 陳皓華 | zh_TW |
| DC.creator | Haw-Hwa Chen | en_US |
| dc.date.accessioned | 2012-6-26T07:39:07Z | |
| dc.date.available | 2012-6-26T07:39:07Z | |
| dc.date.issued | 2012 | |
| dc.identifier.uri | http://ir.lib.ncu.edu.tw:444/thesis/view_etd.asp?URN=994209001 | |
| dc.contributor.department | 經濟學系 | zh_TW |
| DC.description | 國立中央大學 | zh_TW |
| DC.description | National Central University | en_US |
| dc.description.abstract | 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。
| zh_TW |
| dc.description.abstract | 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.
| en_US |
| DC.subject | 流動性 | zh_TW |
| DC.subject | 交錯自我相關 | zh_TW |
| DC.subject | Granger因果關係 | zh_TW |
| DC.subject | Liquidity | en_US |
| DC.subject | Cross-autocorrelations | en_US |
| DC.subject | Granger causality | en_US |
| DC.title | 台灣大小公司報酬與流動性之實證研究 | zh_TW |
| dc.language.iso | zh-TW | zh-TW |
| DC.title | The Empirical Research of Return and Liquidity between Large and Small Firms in Taiwan | en_US |
| DC.type | 博碩士論文 | zh_TW |
| DC.type | thesis | en_US |
| DC.publisher | National Central University | en_US |