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  Euro Debt Crisis and Commonality in Liquidity-Evidence from Taiwan Stock Market
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Tác giả hoặc Nhóm tác giả: Nguyen Truong Son; Hoang Van Hai
Nơi đăng: Proceeding of "Vietnam International Conference in Finance - 2014"; Số: 1;Từ->đến trang: 20 - 46;Năm: 2014
Lĩnh vực: Kinh tế; Loại: Báo cáo; Thể loại: Quốc tế
TÓM TẮT
Liquidity plays a central role in the stock market. In micro perspective, the behavior and common determinant of liquidity receive more attention from practitioners. The aim of this paper is to examine the change of liquidity across trading days of the week and five minutes time interval within trading day. Another aim is to determine whether common factors, market- and industry-wide, firm size and firm attributes cause the co-movement in individual liquidity. Five minute data is employed in this paper, that including transaction price, trading volume and the best bid (ask) price, best bid (ask) volume of 642 stocks from Taiwan stock market for the period April 1 to December 30, 2011. By running time series regression associated with dummy variable representing for each interval and each day, the results show that intraday and interday pattern of liquidity exist, reserved J shaped pattern is pronounced for quoted spread, proportional quotes spread, effective spread, proportional effective spread, and inverted L shaped pattern with quoted depth and trading volume. The results from time series regression for each stock also provide information to confirm that the market-wide, firm size and firm attribute factor exist and have a clear influence on liquidity in Taiwan stock market.
ABSTRACT
Liquidity plays a central role in the stock market. In micro perspective, the behavior and common determinant of liquidity receive more attention from practitioners. The aim of this paper is to examine the change of liquidity across trading days of the week and five minutes time interval within trading day. Another aim is to determine whether common factors, market- and industry-wide, firm size and firm attributes cause the co-movement in individual liquidity. Five minute data is employed in this paper, that including transaction price, trading volume and the best bid (ask) price, best bid (ask) volume of 642 stocks from Taiwan stock market for the period April 1 to December 30, 2011. By running time series regression associated with dummy variable representing for each interval and each day, the results show that intraday and interday pattern of liquidity exist, reserved J shaped pattern is pronounced for quoted spread, proportional quotes spread, effective spread, proportional effective spread, and inverted L shaped pattern with quoted depth and trading volume. The results from time series regression for each stock also provide information to confirm that the market-wide, firm size and firm attribute factor exist and have a clear influence on liquidity in Taiwan stock market.
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