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研究生:蔡宜恆
研究生(外文):Tsai,Yi-Heng
論文名稱:國際股市流動性與金融危機之研究
論文名稱(外文):A Study of International Stock Market Liquidity and Financial Crisis
指導教授:柯伯昇柯伯昇引用關係
指導教授(外文):Ko,Po-Sheng
學位類別:碩士
校院名稱:國立高雄應用科技大學
系所名稱:商務經營研究所
學門:商業及管理學門
學類:貿易學類
論文種類:學術論文
論文出版年:2009
畢業學年度:97
語文別:中文
論文頁數:47
中文關鍵詞:股票市場流動性次貸風暴
外文關鍵詞:Stock market liquiditySubprime mortgage crisis
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本研究首先利用Amihud(2002)的ILLIQ指標作為流動性的衡量,針對2006年1月1日至2009年3月31日國際主要13個股票市場共3,981個個股進行流動性的檢驗,取集樣本資料來源為datastream資料庫,我們發現國際大型股票市場的流動性都相當高,且股票市場流動性存在著自我回歸AR(1)效果,這意味著若當日股票市場的高流動性將伴隨著影響次日的高流動性市場,反之亦然,另外,本研究採用VAR和Granger因果關係測試,檢驗每日市場流動性與每日流動性衝擊對於每日股票市場報酬率之間的關係,發現股票市場報酬率將是造成市場流動性的主要原因。
最後,利用回歸模型針對次級房貸期間美國股票市場報酬率和股票市場流動性衝擊對其他金融市場流動性進行回歸測試,發現各國股票市場流動性衝擊和市場報酬率之間存在負相關的關係,且美國股票市場流動性衝擊相較於美國的股票市場報酬率對於其他國際股票市場流動性的影響更具有其影響力。
This paper uses the Amihud (2002) ILLIQ measure to examine liquidity for international stock markets. The data for the stock markets are collected from Datastream, and the period of this study is from January 1, 2006 to March 31, 2009. The results show that market liquidity of the largest stock markets is high. The stock market liquidity is strongly autoregressive. A highly liquid market today will be followed by the next day, and vice versa. We use VAR model and Granger causality test to figure out that market return Granger caused market illiquidity. A similar relationship is found between daily market illiquidity shock and daily market return.
Finally, Using regression model to test the different impacts of US stock market return and stock market illiquidity shock on other stock market illiquidity shock during the US subprime mortgage crisis, We find that negative correlation relationship between the illiquidity shock and stock market return, and illiquidity shock in US stock market is more important than its return in impacting the liquidity level of other markets.
中文摘要 I
英文摘要 II
誌謝 III
目錄 IV
表目錄 V
圖目錄 VI
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究流程 4
第四節 論文架構 5
第二章 文獻探討 6
第一節 流動性實證研究 6
第二節 流動性危機相關實證研究 8
第三節 流動性與銀行危機相關研究 9
第四節 流動性導致金融市場蔓延 10
第三章 研究方法 12
第一節 資料來源與處理 12
第二節 資料分析方法 17
第四章 實證結果與分析 26
第一節 流動性衡量結果 26
第二節 單根檢定 27
第三節 最適落後期數選擇 30
第四節 Granger因果關係檢定 32
第五節 回歸模型測試 37
第五章、結論與建議 42
第一節 結論 42
第二節 建議 43
參考文獻 44
一、中文部分
1. 美國次級房貸風暴成因、影響、對策及對我國金融業之啟示,存款保險資訊季刊,第二十一卷,第二期,頁104-144。
2. 詹場與胡星陽(2001),「流動性衡量方法之綜合評論」,國家科學委員研究彙刊:人文及社會科學,第十一卷,第三期,頁205-221。
3. 胡凱文(2005),「台灣股票市場流動性實證−使用Amihud(2002)指標」,國立台灣大學財務管理研究所碩士論文。
4. 蕭清文(2002),「股票報酬與流動性溢酬的關係-以台灣股市為例」,私立文化大學會計學研究所碩士論文。
5. 楊奕農(2006),時間序列分析經濟與財務上之應用(初版四刷),雙葉書廊。
二、英文部分
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2. Allen, F., and D. Gale, (2000), “Financial contagion,” Journal of Political Economy, 108, 1-33.
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4. Balduzzi, P., E. J. Elton, and T. C. Green, (2001), “Economic news and bond prices: evidence from the US treasury market,” Journal of Financial and Quantitative Analysis, 36, 523-543.
5. Brunnermeier, M. K., and L. H. Pedersen, (2006), “Market liquidity and funding liquidity,” Working Paper.
6. Boyer, B. H., T. Kumagai, and K. Yuan, (2006), “How do crises spread? evidence from accessible and inaccessible stock indices,” Journal of Finance, 61, 957-1003.
7. Calvo, G., (1999), “Contagion in emerging markets: when wall sreet is a carrier,” Working Paper.
8. Cifuentes, R., G. Ferrucci, and H. S. Shin, (2005), “Liquidity risk and contagion,” Journal of the European Economic Association, 3, 556-566.
9. Chordia, T., A. Sarkar, and A. Subrahmanyam, (2005), “An empirical analysis of stock and bond market liquidity,” Review of Financial Studies, 18, 85-129.
10. Chordia, T., R. Roll, and A. Subrahmanyam, (2001), “Market liquidity and trading activity,” Journal of Finance, 56, 501-530.
11. Dickey, D. A., and W. A. Fuller, (1981), “Likelihood ratio statistics for autoregressive time series with a unit root,” Econometrica, 59, 1057-1072.
12. Diamond, D. W., and P. H. Dybvig, (1983), “Bank runs, deposit insurance, and liquidity,” Journal of Political Economy, 91, 401-419.
13. Enders, W., (2004), Applied Econometric Time Series. New York: John Wiley & Sons, Inc.
14. Engle, R. F., and C. W. J. Granger, (1987), “Cointegration and error correction: representation, estimation, and testing,” Econometrica, 55, 251- 276.
15. Engle, R. F., and B. S. Yoo, (1987), “Forecasting and testing in cointegrated systems,” Journal of Econometrics, 35, 143-159.
16. Estrada, D., and O. R. Daniel, (2006), “A market risk approach to liquidity risk and financial contagion,” Working Paper.
17. Fleming, M. J., and E. M. Remolona, (1999), “Price formation and liquidity in the US Treasury market: The response to public information,” Journal of Finance, 54, 1901-1915.
18. Forbes, K. J., and R. Rigobon, (2002), “No contagion, only interdependence: measuring stock market comovements,” Journal of Finance, 57, 2223-2261.
19. Fleming, M., (2003), “Measuring treasury market liquidity,” Economic Policy Review, 9, 83-108.
20. Granger, C. W. J., and P. Newblod, (1974), “Superious regressions in econometrics,” Journal of Economics, 2(2), 111-120.
21. Granger, C. W. J., (1969), “Investigating causal relations by econometric models and cross—spectral methods,” Econometrica, 37, 424-438.
22. Hamao, Y. R., R. W. Masulis, and V. K. Ng (1990), “Correlation in price changes and volatility across International stock markets,” The Review of Financial Studies, 3(2), 281-307.
23. Hameed, A., W. Kang, and S. Viswanathan, (2006), “Stock market decline and liquidity,” Working Paper.
24. Harris, F. H., T. H. McInish., G. L. Shoesmith, and R. A. Wood, (1995), “Cointegration, error correction, and price discovery on informationally linked security markets,” Journal of Financial and Quantitative Analysis, 30, 563-579.
25. Kyle, A., (1985), “Continuous auctions and insider trading,” Econometrica, 53(6), 1315-1336.
26. Lesmond, D., (2005), “Liquidity of emerging matkets,” Economics, 77, 441-452.
27. Pastor, L., and R. F. Stambaugh, (2003), “Liquidity risk and expected stock returns,” Journal of Political Economy, 111, 642-685.
28. Guillaume P., H. Sapra, and H. S. Shin, (2005), “Marking to market, liquidity, and financial stability,” IMES discussion paper series, 2005-E-11.
29. Sims, C. A., (1980), “Comparison of interwar and postwar business cycles: monetarism reconsidered,” American Economic Review, 70(2), 250-257.
30. Chen S., and S. H. Poon, (2007), “International stock market liquidity and financial crisis,” Working Paper.
31. Schnabel I., and H. S. Shin, (2004), “Liquidity and contagion: the crisis of 1763,” Journal of European Economic Association, 2, 929–968.
32. Subrahmanyam, A., (2006), “Liquidity, return, and order flow linkages between REITs and the stock market,” Working Paper.
33. Schwart, G. W., (1987), “Effects of model specification on tests for unit roots in macroeconomic data,” Journal of Monetary Economics, 20, 73-103.
34. Theocharides, G., (2005), “Contagion: evidence from the bond market,” PhD market paper, Department of Finance, The University of Arizona, Eller College of Management.
35. Yuan, K., (2005), “Asymmetric price movements and borrowing constraints: A rational expectations equilibrium model of crises, contagion, and confusion,” Journal of Finance, 60, 379-411.
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