Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/20343
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
摘要: 
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.

本研究首先以普通迴歸方法探討股票交易量、公司規模與買賣價差之關係為何?而股票的流動性越高時,股票的報酬率將會如何變化?而流動性風險是在市場上賣方居多,或者購買意願很低,導致股票無法出售的風險。流動性風險越高的股票,其股票報酬的變化是如何?此外,本研究以蒙地卡羅分析法,探討在股票報酬率已經固定的前提下,投資者可能投資流動性高的股票或流動性低的股票,則投資者應如何衡量在不同期間所投資之不同型態股票的報酬?
實證結果發現,(1)買賣價差與股票交易量、股票交易次數、公司規模呈現顯著負相關,與股票流動性風險呈現顯著正相關;而股票異常報酬與市場超額報酬、淨值市價比風險因子、動能效應、流動性及資訊不對稱呈顯著正相關,而與市場流動性風險、股票流動性風險呈現顯著負相關;(2)股票異常流動性與股票異常深度、廣度呈負相關,與股票異常報酬、股票異常交易量、股票交易成本呈正相關;(3)流動性低的股票其可能損失的程度會比流動性高的股票為高,且流動性風險高的股票其可能損失的程度會比流動性風險低的股票為高。
URI: http://hdl.handle.net/11455/20343
Appears in Collections:企業管理學系所

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