Relevant bibliographies by topics / Stock market liquidity / Dissertations / Theses
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Dissertations / Theses on the topic 'Stock market liquidity'

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Published: 4 June 2021
Last updated: 26 July 2025

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1

Stahel, Christof W. "International stock market liquidity." Connect to this title online, 2004. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1091726658.

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Thesis (Ph. D.)--Ohio State University, 2004.<br>Title from first page of PDF file. Document formatted into pages; contains xi, 110 p.; also includes graphics. Includes bibliographical references (p. 70-76).
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2

Lange, Joe. "An intraday analysis of stock market liquidity /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 1998. http://wwwlib.umi.com/cr/ucsd/fullcit?p9906485.

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3

Tian, Shu. "Essays on Stock Market Liquidity and Liquidity Risk Premium." ScholarWorks@UNO, 2010. http://scholarworks.uno.edu/td/1153.

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This dissertation addresses issues concerning liquidity and its volatility. It consists of two essays. The first essay, "Liquidity, Macro Factors and the U.S. Equity Flows to Emerging Markets", examines the role of liquidity on equity flows from the U.S. to fifteen emerging markets around the world. Since liquidity has many dimensions, an emphasis is placed on utilizing various measures of liquidity. Moreover, both static and dynamic analyses, as well as short and long-horizon regressions, are performed to investigate the research questions. The results suggest that a liquid market attra
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4

Kim, Jaemin. "The impact of open market share repurchases on volatility and liquidity : are open market share repurchase firms making the market for their own shares? /." Thesis, Connect to this title online; UW restricted, 2001. http://hdl.handle.net/1773/8795.

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5

Ozdemir, Duygu. "Stock Market Liquidity Analysis: Evidence From The Istanbul Stock Exchange." Master's thesis, METU, 2011. http://etd.lib.metu.edu.tr/upload/12613789/index.pdf.

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The purpose of this thesis is to identify the factors playing a key role in the determination of the Turkish stock market liquidity in aggregate terms in a time series context and discuss the joint dynamics of the market-wide liquidity with its selected determinants and the trade volume. The main determinants tested are the level of return, the return volatility and the monetary stance of the Central Bank of the Republic of Turkey. The expected positive relationship between the liquidity and the return is confirmed, while the negative effect of the volatility on liquidity appears one-week lat
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6

Cândido, Maria Teresa. "Financial market liquidity, asset pricing, and financial crises /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 1998. http://wwwlib.umi.com/cr/ucsd/fullcit?p9914068.

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7

Vo, Minh Tue 1965. "Insider trading, asymmetric information, and market liquidity : three essays on market microstructure." Thesis, McGill University, 2002. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=38528.

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This thesis comprises three essays on market microstructure, focusing on the issues of insider trading, asymmetric information and market liquidity. The first essay examines the effects of the mandatory disclosure regulations on the trading behavior of informed traders. Specifically, we compare the (perfect Bayesian) equilibrium when disclosure is mandatory to the equilibrium when insiders do not have to disclose their trades. We show that under mandatory disclosure the market becomes more efficient and more liquid, making the uninformed traders unambiguously better off. We also show that in o
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8

Zheng, Xinwei. "Commonality in liquidity : evidence from the Chinese stock market." Thesis, Durham University, 2008. http://etheses.dur.ac.uk/1321/.

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The thesis examines the commonality in liquidity on the Chinese stock market from three different aspects. Using a proprietary set of data from China, I confirm that commonality in liquidity is present in China and seems more significant and pervasive than that of similar markets. Its existence is robust to the influences of the size, industry, and up and down markets effects. In parallel to a market-wide component, I find in the commonality construct an industrial component. Liquidity of large firms' stocks is found to be more likely to move with market liquidity. I also find that Chinese inv
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9

Nikiforov, Andrei I. Brockman Paul D. "Three essays on stock market liquidity and earnings seasons." Diss., Columbia, Mo. : University of Missouri--Columbia, 2009. http://hdl.handle.net/10355/7016.

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Title from PDF of title page (University of Missouri--Columbia, viewed on Feb 26, 2010). The entire thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file; a non-technical public abstract appears in the public.pdf file. Dissertation advisor: Dr. Paul Brockman. Vita. Includes bibliographical references.
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10

Söderberg, Jonas. "Essays on the Scandinavian stock markets /." Växjö : Växjö University Press, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:vxu:diva-2449.

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11

Dufour, Alfonso. "Essays on the econometrics of inter-trade durations and market liquidity /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 1999. http://wwwlib.umi.com/cr/ucsd/fullcit?p9944222.

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12

Bieger, Jasper, and Keegan Floquet. "The fundamental drivers of stock market liquidity : international, emerging markets and African evidence." Thesis, Stellenbosch : Stellenbosch University, 2003. http://hdl.handle.net/10019.1/53638.

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Thesis (MBA)--Stellenbosch University, 2003<br>ENGLISH ABSTRACT: According to the World Bank's leading economists Beck and Demlrquc-Kunt one of the major competitive advantages of countries competing for long-term economic growth is the existence of an efficient and liquid domestic stock market. A number of studies have already been performed to examine solitary aspects of stock liquidity, however, rather little work has been done to comprehensively investigate its fundamental set of determinants. Furthermore, none of these studies has ever attempted to specifically focus on African sto
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13

Dalsenius, Martin. "Effects of Stock Market Liquidity on Growth: Empirics and Theory." Thesis, Uppsala University, Department of Economics, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-8077.

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<p>Historically, it has been difficult to obtain solid data on stock market liquidity for large parts of the world. In recent years, however, the availability of data has improved, but does still have troubles with concentrations to recent years and to relatively wealthy countries. Thus, samples based on balance between industrialized and developing countries may easily come to include very few of the poorest countries. Also, recent theory suggests differences in the impact of stock market liquidity on growth between very poor and other countries. While several papers that have used these data
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14

Luo, Yiyang M. Eng Massachusetts Institute of Technology. "A study of stock market liquidity from 1973 to 2015." Thesis, Massachusetts Institute of Technology, 2016. http://hdl.handle.net/1721.1/105979.

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Thesis: M. Eng., Massachusetts Institute of Technology, Department of Electrical Engineering and Computer Science, 2016.<br>This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections.<br>Cataloged from student-submitted PDF version of thesis.<br>Includes bibliographical references (pages 63-66).<br>In this thesis we analyze US stock market liquidity in the period of 1973 to 2015 from three perspectives: price impact, turnover ratio, and trading frequency. We use the Center for Research in Security Prices (CR
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15

Alhassan, Abdulrahman. "Global Market Liquidity and Corporate Investments." ScholarWorks@UNO, 2017. http://scholarworks.uno.edu/td/2372.

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The dissertation consists of two essays. The first essay investigates how oil market factors impact on liquidity commonality in global equity markets. I identify two transmitting channels of the effect on liquidity commonality, namely oil price return and volatility. Using a sample of firms drawn from 50 countries spanning from Jan 1995 to Dec 2015, I find that both effects in oil explain the liquidity commonality in countries with higher integration to oil market. In addition, I show that oil volatility effect is more pronounced in net oil exporters compared to net oil importers after control
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16

Samarasinghe, Ama Pramudinie. "Exploring the spillover effects of stock market liquidity on the banking sector." Thesis, Queensland University of Technology, 2021. https://eprints.qut.edu.au/226478/1/Ama%20Pramudinie_Samarasinghe_Thesis.pdf.

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This thesis conducts the first comprehensive empirical assessment of the theories surrounding the co-evolution of capital markets and banking system using four distinct studies which explore the spillover effects of stock market liquidity on different aspects of bank business. While an increase in stock market liquidity strengthens bank market power, it results in a decline in traditional bank business. However, banks continue to retain their market power by expanding into non-traditional business complemented by liquid capital markets. Further, enhanced stock market liquidity improves bank pr
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17

Li, Weitian, and Xi Hong. "Market illiquidity and market excess return: Cross-section and time-series effects : A study of the Shanghai stock exchange." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-24614.

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The purpose of the current paper is to explore the cross-sectional relationship between market illiquidity and market excess return on stocks traded in the Shanghai Stock Exchange(SSE)over-time; using data from monthly and yearly databases of CSMAR(China Securities Market and Accounting Research) and statistics annual Shanghai Stock Exchange from 2001.1-2012.12. We believe that the empirical tests on the stocks traded in the New York Stock Exchange (NYSE) of the well-established paper by Amihud(2002)would be potentially useful to be tested in a different setting, the SSE; in doing so, we apply
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18

Hallberg, Martin, and Marcus Ryhage. "Effects of Monetary Policy on Stock Market Liquidity : Empirical Analysis on the Swedish Market." Thesis, Umeå universitet, Nationalekonomi, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-160987.

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After the 2008-2009 crisis, many studies have been done to assess the stock market liquidity and what influences this. The monetary policy of a central bank can have a broad impact of a country's economy and is believed to also affect the stock market. In addition, the goal of the central bank differs for every country which may affect the transmission effects seen in previous studies. This study takes a closer look at how monetary policy affect stock market liquidity fora small open economy, Sweden. The method of use includes vector autoregression, Granger tests and impulse response functions
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19

Råsbrant, Jonas, and Ridder Adri De. "The liquidity impact of open market share repurchases." KTH, Entreprenörskap och Innovation, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-122242.

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We examine the market liquidity impact of open market share repurchases in a computerized order driven market. Using a detailed dataset of daily repurchase transactions on the Stockholm Stock Exchange together with intraday data on bid-ask spreads and order depths enable us to examine liquidity effects on the actual repurchase days. Overall, we find that repurchase trades inside the order driven trading system contributes to market liquidity through narrower bid-ask spreads and deeper market depths. After controlling for total trading volume, price, and volatility we still find a significant d
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Chen, Chun-hung. "Essays on after hours market /." Thesis, Connect to this title online; UW restricted, 2006. http://hdl.handle.net/1773/7470.

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21

Klimes, Micong. "Liquidity in the German stock market an analysis using order book data." Marburg Tectum-Verl, 2004. http://deposit.d-nb.de/cgi-bin/dokserv?id=2987370&prov=M&dok_var=1&dok_ext=htm.

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Klimes, Micong. "Liquidity in the German stock market : an analysis using order book data /." Marburg : Tectum, 2007. http://deposit.d-nb.de/cgi-bin/dokserv?id=2987370&prov=M&dok_var=1&dok_ext=htm.

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23

Meera, Ahamed Kameel. "The Effects of Stock Delistings on Firm Value, Risk, Market Liquidity and Market Integration: With Evidence on Wealth Effects from the Stock Exchanges of Malaysia and Singapore, Using GARCH." Thesis, University of North Texas, 1996. https://digital.library.unt.edu/ark:/67531/metadc278898/.

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This study examines the effects of delisting on firm value, risk and market liquidity. In a world where markets are becoming increasingly integrated, delistings may prove counter productive. We use the unique event, free from company specifics, that occurred on January 2, 1990 in the stock exchanges of Singapore and Malaysia to test for the above effects. On that day, dual listed companies were required to delist from the foreign stock exchange. We also use this event to test if the Singapore and Malaysia markets are globally integrated. Since financial data is found to show persistence in v
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24

Groß-Klußmann, Axel. "An econometric analysis of intra-daily stock market liquidity, volatility and news impacts." Doctoral thesis, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2012. http://dx.doi.org/10.18452/16572.

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In dieser Dissertation befassen wir uns mit ökonometrischen Modellen und empirischen Eigenschaften von Intra-Tages (Hochfrequenz-) Aktienmarktdaten. Der Fokus liegt hierbei auf der Analyse des Einflusses, den die Veröffentlichung von Wirtschaftsnachrichten auf die Aktienmarktaktivität hat, der Vorhersage der Geld-Brief-Spanne sowie der Modellierung von Volatilitätsmaßen auf Intra-Tages-Zeitintervallen. Zunächst quantifizieren wir die Marktreaktionen auf Marktneuigkeiten innerhalb eines Handelstages. Zu diesem Zweck benutzen wir linguistisch vorab bearbeitete Unternehmensnachrichtendate
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Verrier, Tatjana [Verfasser], Dirk [Akademischer Betreuer] Schiereck, and Andreas [Akademischer Betreuer] Hackethal. "Selected Essays in Stock Market Liquidity : Innovative XLM Measure at the Frankfurt Stock Exchange; Cloudy Skies, Time of the Day and the Role of Designated Sponsors for Stock Market Liquidity / Tatjana Verrier. Dirk Schiereck. Andreas Hackethal." Kiel : ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften / Leibniz-Informationszentrum Wirtschaft, 2010. http://d-nb.info/1008612103/34.

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26

Tsai, Chih-Wen, and 蔡志文. "Monetary Policy,Liquidity and Stock Market." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/94902908538576012957.

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27

Lin, Hong-Yan, and 林宏彥. "Stock Market Liquidity and Dividend Policy." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/24309706989555383049.

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28

Jain, Ke-Rong, and 簡克融. "Stock Liquidity and Debt Market Timing." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/08568039050893254066.

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碩士<br>國立臺北大學<br>統計學系<br>102<br>This study investigates the debt financial policy of firms having higher stock liquidity. Lipson and Mortal (2009) show that higher stock liquidity encourages firms to raise external financing from equity market, resulting in a lower leverage. However, through the 1971-2011 US listed company’s data, we find that some firms with high stock liquidity issue more additional debt instead. Focusing on top stock liquidity firms, we examine the difference of firm characters between high leverage (study group) and low leverage (control group) after matching with industry
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Tsai, CHEN-HAO, and 蔡振豪. "Market Liquidity During Stock Repurchase Period." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/17777769746497053277.

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30

Hai, Hoang Van, and 黃文海. "Measuring Liquidity in Taiwan Stock Market." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/94757656616164316889.

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碩士<br>明新科技大學<br>企業管理研究所<br>100<br>Abstract Liquidity, or how easy an investment is to buy or sell, is becoming increasingly important in financial markets. If liquidity is regarded as a positive factor, then lack of liquidity would be expected to have a negative impact on the valuation of the less liquid companies. The objective of this dissertation 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. This study’
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31

Muktiyanto, Ihda. "Determinant Factors of Market Liquidity in the Indonesian Equity Market." Thesis, 2015. https://vuir.vu.edu.au/29790/.

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Liquidity refers to the ability of a financial market to trade large volumes of assets quickly at low cost, and it covers a wide range of market dimensions including size, time and cost. Prior studies have found that liquidity is one of the most significant of an efficient financial market and that it affects costs of equity, returns and valuations, market stability, and economic growth. Although studies and discussions on various aspects and dimensions of liquidity have been well documented, the sources of liquidity variation vary greatly across markets. The main research question of this the
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Young, Nicara Romi. "Liquidity and the convergence to market efficiency." Thesis, 2017. https://hdl.handle.net/10539/24391.

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Master of Commerce (Finance) in the Finance Division, School of Economic and Business Sciences at the University of the Witwatersrand, Johannesburg, 6 September 2017<br>The aim of this study is to investigate the relationship between market liquidity changes on the Johannesburg Stock Exchange (JSE), and the market’s degree of efficiency. Market efficiency is characterised in terms of two philosophies: Fama’s (1970) Efficient Markets Hypothesis, and Shiller’s (1981; 2003) informational efficiency designation. Efficiency was tested using measures of return predictability, a random walk benchmark
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Huang, Chin-Yen, and 黃金燕. "Liquidity commonality under market stress in Taiwan stock market." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/34334544666348858395.

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碩士<br>國立中央大學<br>財務金融學系<br>101<br>This thesis studies liquidity commonality in the stock market under different phases of market states. Liquidity commonality implies the systemic liquidity risk, and investors cannot diversify this risk with portfolio allocation. If investors have to bear more liquidity risk, they might require more risk premium for compensation. The occurrence of recent financial crisis leads to increasing systemic risk. This thesis also investigates how liquidity commonality varies before and after the financial crisis. The empirical results show that commonality in liquidity
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Tsai, Pei-Jung, and 蔡佩容. "Stock Market Liquidity and Taiwan Business Cycle." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/r6ee2y.

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碩士<br>朝陽科技大學<br>財務金融系碩士班<br>100<br>This study discusses the relation between the stock market liquidity and macroeconomic business cycle variables in Taiwan. We choose illiquidity measure ILR in Amihud (2002) and turnover ratio to be two indicators of stock market liquidity. The sample period is from January 1990 to December 2010. By using Regression Analysis model, we examine whether the stock market liquidity is s leading indicator of the businesses cycle in Taiwan. This study finds that turnover ratio has leading effects on Recession of Taiwan, but illiquidity measure ILR isn’t better than
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Silva, Tiago Miguel Santos. "Stock market liquidity impact on economic development." Master's thesis, 2018. http://hdl.handle.net/10400.8/3826.

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Este trabalho analisa a relação entre a liquidez do mercado de capitais e o desenvolvimento económico dos países, que ultimamente tem sido alvo de interesse de vários investigadores por se considerar que a liquidez do mercado de capitais tem um impacto considerável no desenvolvimento económico de um país. No entanto, todos os estudos conhecidos utilizam apenas no crescimento económico como proxy para o desenvolvimento económico, em vez de se aplicar um índice composto por várias dimensões de forma a representar o verdadeiro desenvolvimento económico de um país. Assim, o objetivo principal des
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鄭涵云. "Stock Market Liquidity And Positive Feedback Trading." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/9ne6dm.

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碩士<br>東吳大學<br>經濟學系<br>107<br>This study contributes to the literature by investigate whether the feedback trading exists in the U.S. aggregate stock market and it will change due to liquidity. We extend the feedback trading model of Sentana and Wadhwani (1992) to incorporate the effect of liquidity. We use the Amihud iliiquid measure (Amihud, 2002) to proxy the aggregate liquidity and the S&P 500 index data to run our model. The empirical results show that the positive feedback trading effect exists in daily frequency rather weekly frequency. Moreover, this effect would be stronger when the li
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Chen, Hsin-Chih, and 陳新智. "Liquidity Risk Evaluation─Appreciations on Taiwan Stock Market." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/28119683977999583929.

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碩士<br>世新大學<br>財務金融學研究所(含碩專班)<br>93<br>Value at Risk（VaR） was main tool of market risk management but traditional VaR did not appreciate liquidity risk to make that VaR did not give correct information and was misvalue VaR to lead a large number of damages. Generally speaking liquidity risk was that asset which was disclosed price at market was different with actual bid-ask price to make problem. Bangia et al.（1999） propose to account spread to produce measure exogenous liquidity risk model and other Erwan（2001）propose to measure endogenous liquidity risk model and the other GARCH model which a
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林秀錦. "Information disclosure、earning quality and stock market liquidity." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/61228141182284496326.

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碩士<br>國立政治大學<br>會計研究所<br>98<br>Investors confidence in companies is decreasing due to the increasing rigged cases around the world. Therefore, information transparency and accuracy receives much more attention than ever. In order to protect the capital market and ensure information accuracy, the authorities have taken several steps such as relevant laws introduction and regulation amendments. The purpose of establishing Information Transparency and Disclosure Ranking System in Taiwan is to expect the companies would take information disclosure more seriously. This research is to explore the im
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Shih, Meng-Chih, and 施孟志. "Taiwan Stock Market Liquidity and the Business Cycle." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/35281821122381907413.

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碩士<br>國立臺灣大學<br>經濟學研究所<br>100<br>Since the financial crisis, it becomes an important topic to predict the GDP growth rate in a country. Generally speaking, the stock market is always a leading indicator. After extracting the information we need from the stock market, we can use it to calculate an easy index to predict the business cycle. Therefore, we are able to adopt remedial measures preventing the recession. Taiwan stock market is constituted by individual investors most. This is different from the developed countries. As a result, the stock index volatility in Taiwan is very intense. It i
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Syu, Pei-Shen, and 許佩珊. "Share Collateralization, and the Market Liquidity during Stock." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/22403711226702350701.

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碩士<br>國立高雄應用科技大學<br>商務經營研究所<br>99<br>We collect actual share repurchases announced by Taiwan listed firms from August7, 2000 to December 31, 2010. First, we examine whether the agency problem affect market liquidity. In addition, we examine whether the higher proportion of collateralized shares can improve stock market liquidity. In this paper, the liquidity measurement based on bid-ask spread. We indicate that the bid-ask spreads decline and stock liquidity increase when share repurchase programs are announced. The result remains the same when the stock price, transaction price and volatility
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Fu, Chia-Yin, and 傅家音. "Liquidity and Price Discovery on Taiwan’s Stock Market." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/34s8g2.

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碩士<br>國立虎尾科技大學<br>財務金融研究所<br>102<br>This paper examines the liquidity and price discovery on Taiwan’s stock market. We use bid-ask spreads and market depth to measure the liquidity of stock market and then use message scale model, which extends the impact model of Hasbrouck(1988) to analyze the price discovery. The empirical results confirm that most of the liquidity of smaller firms better than those of larger firms, although the firms of size of the price discovery are not significant different.
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Pan, Hao-wen, and 潘顥文. "A Comparative Study of the Liquidity Premium between A-stock Market and B-stock Market." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/46428699311585950094.

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碩士<br>東吳大學<br>企業管理學系<br>99<br>In this paper, we investigate the asset pricing role of liquidity. Our analysis employs monthly data of A-stock Market and B-stock Market of Shanghai Stock Exchange, covering the sample period 2000 to 2009. We provide a comprehensive analysis by using two widely adopted liquidity measures, including Turnover Rate (Datar et al., 1998) of the trading quantity dimension and Illiquidity Factor (Amihud, 2002) of the price impact dimension. The models considered include the capital asset pricing model (CAPM; Datar et al., 1998), the three-factor model (Fame and French,
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Co, Richard. "Effects of information asymmetry on market liquidity /." 2000. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&res_dat=xri:pqdiss&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&rft_dat=xri:pqdiss:9959088.

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44

HUANG, TE-WEI, and 黃德瑋. "The Relationship between Taiwan Stock Market Liquidity and Stock Price Crash Risk." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/39369222415400244067.

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碩士<br>銘傳大學<br>財務金融學系碩士班<br>105<br>Prior research suggests that managers withhold bad news from investors because of career and short-term compensation concerns and that when a sufficiently long-run of bad news accumulates and reaches a critical threshold level, managers tend to give up. At that point, all the negative firm-specific shocks become public at once leading to a crash. Prior research has offered differing views on the impact of stock liquidity on crash risk: (1) Governance theory suggests that higher stock liquidity may result in lower crash risk, because it facilitates monitoring o
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HIEU, NGO QUANG, and 吳光孝. "The impact of financial crisis on stock market liquidity." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/dsbjrr.

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碩士<br>明新科技大學<br>管理研究所碩士班<br>104<br>In this paper, we study the crisis event effect the liquidity by using daily data from 1996-2013 for TWSE listed stocks and then determine the relationship between the market liquidity and market returns and compares the relationship the liquidity risk and market risk during the time of crisis and without crisis. We construct Amihud’s liquidity measure using daily data as a proxy for liquidity and estimate liquidity commonality of each stock from the market model time series regression. Evidence found that market liquidity is impaired when the stock market do
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陳愉婷. "The Sources of Liquidity Commonality on Taiwan Stock Market." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/04354698896234406426.

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碩士<br>國立交通大學<br>財務金融研究所<br>100<br>The purpose of this paper is to find out the sources of liquidity commonality on Taiwan stock market. To calculate eight liquidity proxies, we use the data consisting of limit order submissions and executions. We analyze the cross-sectional common liquidity provision of each trader types(domestic institutions、foreign institutions and retail traders). And, we divide sample stocks based on the holding proportion by foreign institutions and retail traders respectively to observe the commonality in liquidity provision of each trader types; the results of retail tr
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van, Hees Thomar Pepijn. "The impact of stock market liquidity on business cycles." Master's thesis, 2019. http://hdl.handle.net/10400.14/29168.

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It is a common empirical finding that stock market liquidity tends to dry up before a recession. This thesis estimates the effect of different liquidity measures on business cycles. Using seven different liquidity measures, separated into four categories that differ in their nature of measuring liquidity, it is shown that the effect of liquidity on GDP growth and recessions differ among measures and categories in the United States for the period 1952-2011. The analysis consists of a Granger-causality test, in-sample predictions, and out-of-sample forecasting. The findings indicate that the mar
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Hsieh, Chih-hsien, and 謝志憲. "The Relationship between Liquidity Risk and Stock Market Performance." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/48002085881277506391.

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碩士<br>國立交通大學<br>管理學院財務金融學程<br>99<br>We collect the samples from the public listed companies ,and OTC companies of Taiwan for the period from 1988 to 2009. We refer the way that Fabozzi & Francis (1979) identify the bear or bull market to exploit both the long-term trend and the monthly return separately. All the samples are classified by two criteria: bear or bull; listed or OTC. Two indexes, Quarterly return P/B ratio, are used for investigating the differences between Liquidity risk and Profit risk. Initially we take the Stepwisel regression to find the independent variables, then use th
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Wang, Tzu-Chun, and 王咨淳. "Taiwan Stock Market Liquidity and Determinants of Business Cycle." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/05446068589201467282.

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碩士<br>國立臺灣大學<br>經濟學研究所<br>100<br>Through the financial crisis during 2008, the issue about the relationship between stock market liquidity and business cycle has become more important and relevant in every research institutes. Traditionally, there are two ways to analyze business cycle: supply side and demand side. This study use stock market liquidity and stock price to explain business cycle. 　　There are three ways to measure stock market liquidity in this study: (1) illiquidity ratio (ILR), (2) stock turnover rate, (3) stock trading volume. This study compares the explanation ability of bus
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Liang, Chiao-Ming, and 梁巧明. "The Study of Liquidity Commonality in Taiwan Stock Market." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/ph7na2.

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碩士<br>國立臺中科技大學<br>財務金融系碩士班<br>102<br>Financial Markets pay attention to liquidity of individual equities, but the stock was affected with the common liquidity factors from Chordia, Roll and Subrahmanyam (2000), and it is called “commonality in liquidity.” There are many factors to affect commonality in liquidity, such as shareholding ratio or investor sentiment. And commonality in liquidity is strongly influenced when the financial crisis happens. This study is divided into three intervals of the financial crisis, and uses four liquidity indicators to examine the change during the crisis. The
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