Thông tin chung
  English
  Đề tài NC khoa học
  Bài báo, báo cáo khoa học
  Hướng dẫn Sau đại học
  Sách và giáo trình
  Các học phần và môn giảng dạy
  Giải thưởng khoa học, Phát minh, sáng chế
  Khen thưởng
  Thông tin khác
  Tài liệu tham khảo
  Hiệu chỉnh
 
Số người truy cập: 107,697,446

 A study of liquidity in the Taiwan stock market during finance crisis from 2007 to 2011
Tác giả hoặc Nhóm tác giả: Nguyen Truong Son; Hoang Van Hai
Nơi đăng: Eurpean Jounal of Economics, Finance and Administrative Sciences. ISSN 1450 - 2275. SSCI; Số: 63;Từ->đến trang: 50 -65;Năm: 2014
Lĩnh vực: Kinh tế; Loại: Bài báo khoa học; Thể loại: Quốc tế
TÓM TẮT
Liquidity is an important factor in financial markets from the previous researchs. The objective of this paper was to contribute to determine the quantitative impact of liquidity factors in Taiwan stock market. To reach this purpose, a unique data-set was used to study liquidity effects in Taiwan stock market, covering more than 1,340 stocks from 2007 to 2011. This study’s analysis explores time-series and cross sectional aspects of common stock returns, with the main focus on the quantification of the impact of liquidity factors. From the results, A wide range of liquidity measures was employed, though this study’s time series regression analysis found out that liquidity effects account for approximately 16% of the explained market-wide daily stock returns. During the periods of crisis, the economic impact of the liquidity measures increases significantly. In addition, the cross-sectional analysis based on Fama-Macbeth regressions shows that liquidity explains an important part of the variation in daily stock return across stocks. These results provide important insights regarding the liquidity drivers of daily stock return, particularly during the periods of crisis.
ABSTRACT
Liquidity is an important factor in financial markets from the previous researchs. The objective of this paper was to contribute to determine the quantitative impact of liquidity factors in Taiwan stock market. To reach this purpose, a unique data-set was used to study liquidity effects in Taiwan stock market, covering more than 1,340 stocks from 2007 to 2011. This study’s analysis explores time-series and cross sectional aspects of common stock returns, with the main focus on the quantification of the impact of liquidity factors. From the results, A wide range of liquidity measures was employed, though this study’s time series regression analysis found out that liquidity effects account for approximately 16% of the explained market-wide daily stock returns. During the periods of crisis, the economic impact of the liquidity measures increases significantly. In addition, the cross-sectional analysis based on Fama-Macbeth regressions shows that liquidity explains an important part of the variation in daily stock return across stocks. These results provide important insights regarding the liquidity drivers of daily stock return, particularly during the periods of crisis.
© Đại học Đà Nẵng
 
 
Địa chỉ: 41 Lê Duẩn Thành phố Đà Nẵng
Điện thoại: (84) 0236 3822 041 ; Email: dhdn@ac.udn.vn