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題名：崩盤風險、股票流動性
書刊名：商管科技季刊
作者：羅進水／吳政宏
作者(外文)：Lo, Chin-shui／Wu, Jheng-hong
出版日期：2018
卷期：19:2
頁次：頁169-199
主題關鍵詞：崩盤風險；股票流動性；流動性共變；Commonality in liquidity；Crash risk；Stock liquidity
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
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  • 共同引用共同引用:12
  • 點閱點閱:18
本文探討個股崩盤及市場崩盤風險對於流動性與流動性共變的影響。實證結果發現個股及市場崩盤風險與流動性有顯著正相關系，且市場崩盤對於流動性的影響程度大於個股崩盤的影響。市場劇烈變動時，市場崩盤與流動性有正關聯性，但是個股股價崩盤並未顯著增加或降低對於流動性影響。實證結果也顯示市場崩盤風險會增加個股流動性共變的程度。相對於投資人情緒高昂期間，投資人情緒低落期間，市場崩盤與流動性共變關係有較高程度的影響。整體而言，市場崩盤風險對於流動性及流動性共變的影響程度大於個別股價崩盤風險。
This study examines the impacts of stock price crashes and market crashes on liquidity and commonailty in liquidity. Regression results reveal several key findings. First, both stock price crashes and market crashes are positively related to future stock liquidity. Moreover, the influences of the latter are greater than the former. Second, under large market shocks, market crashes are positively associated with liquidity, whereas stock price crashes have no impacts. Third, the market crashes increase the commonality in liquidity. Market crashes have greater influences on commonailty in liquidity during the period of low sentiment compared to the period of high sentiment. To summarize, compared to stock price crashes, market crashes have greater impacts on both liquidity and commonality in liquidity.
期刊論文
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21.蘇玄啟、羅仙法、袁正達、楊俊彬(20160100)。股票市場流動性與總體景氣循環：來自臺灣的廣泛性證據。管理與系統，23(1)，65-106。new window  延伸查詢new window
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會議論文
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研究報告
1.Kempf, A.、Mayston, D.(2005)。Commonalities in the Liquidity of A Limit Order Book。  new window
2.Zheng, X.、Zhang, Z.(2006)。Commonality in Liquidity in Emerging Markets: Evidence from the Chinese Stock Market。  new window
其他
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2.Gabrielsen, A.，Marzo, M.，Zagaglia, P.(2011)。Measuring Market Liquidity: An Introductory Survey，http://arxiv.org/pdf/1112.6169.pdf。  new window
 
 
 
 
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