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標題: 買賣價差、流動性與流動性風險
作者: 黃銘申
關鍵字: 買賣價差;流動性;流動性風險
出版社: 企業管理學系研究所
This article discusses the relationship between stock volume, company scale, bid-ask spread by OLS. When the liquidity is changing, how is the stock abnormal return varying? Liquidity risk means that the seller is more than the buyer or the willing of the purchase is low, the risk of the commerce behavior is not eagerly. How is the stock abnormal return changing when the liquidity risk varying. Furthermore, this article will probe into the damage risk for investors when stock return rate is fixed by Monte Carlo Simulation Method to judge the different liquidity and liquidity risk.
The evidences show that: (1)bid-ask spread is negative related to the stock volume, the frequency of the transactions, and company scale. The stock abnormal return is positive related to the market exceed return, high minus low (HML), momentum, liquidity and information asymmetry, and is negatively related to the market liquidity risk and stock liquidity risk.(2)Stock abnormal liquidity varying is negative related to the abnormal depth and breadth, and is positive related to the stock abnormal return, abnormal volume, and trading cost.(3)The damage of the low-liquidity stock is larger than high-liquidity, and the damage of the high-liquidity risk is larger than low-liquidity risk.

Appears in Collections:企業管理學系所

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