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博碩士論文 etd-0713110-003046 詳細資訊

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  • etd-0713110-003046.pdf
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    統計 本論文已被瀏覽 1233 次,被下載 101 次
    中文姓名 葉雯婷
    英文姓名 Wen-ting Teh
    電子信箱 不公開
    系所名稱(中) 財務金融學研究所(含碩專班)
    系所名稱(英) Department of Finance
    學年度 98
    學期 2
    學位(中) 碩士
    學位(英) Master
    論文種類 碩士論文
    論文語文別 中文
    論文名稱(中) 大陸股市流動性風險是否被定價?
    論文名稱(英) Liquidity Risk and Stock Returns: Evidence from China
    頁數 41
    關鍵字(中)
  • 流動性風險
  • 流動性
  • 關鍵字(英)
  • liquidity risk
  • liquidity
  • 摘要(中) 早期由Sharpe(1964)、 Lintner(1965) and Mossin(1966)所提出的資本資產定價模型(CAPM),一直為財務上所應用並是一個重要之理論,然而,有越來越的實證研究顯示市場風險並非為決定資本資產價格的唯一因素。
      近幾年來,許多學者在流動性風險與股價報酬間做相關研究,證實流動性風險確實為股價報酬的解釋變數。因此,本研究參考Amihud(2002) Pastor and Stambaugh(2003) and Lesmond (2005)建立流動性指標,並使用時間序列迴歸及β定價模型檢視中國股票市場。
      發現流動性風險與股價報酬有顯著關係外亦能解釋橫斷面股價平均報酬差異。此外,證實CAPM在中國股票市場之有效性,並建議買賣價差為衡量中國股票市場良好流動性指標。
    摘要(英) The capital asset pricing model (CAPM) developed by Sharpe (1964)、Linter (1965) and Mossion (1966) has been one of the premier theory in finance for a long time. However, a number of studies have examined the CAPM and the evidence shows that market risk not be only factor in asset pricing.
      Recently, many empirical studies investigate the relationship between liquidity risk and stock returns. The evidence establishes the liquidity risk be a determinat of stock returns. Therefore, I refer Amihud(2002)、 Pastor and Stambaugh(2003) and Lesmond (2005) to measure liquidity using Time-serise regression and β Pricing model on China Stock Market.
      The empirical findings of this study, that there is support a significant relationship between liquidity risk and stock returns. Besides, liquidity is priced, both can explaining cross-sectional variations, also CAPM is effectiveness on China stock market.
    論文目次 第一章 研究動機.......................................1
    第二章 文獻回顧.......................................3
         2.1 市場風險相關文獻.........................3
         2.2 流動性與流動性風險相關文獻.....4
    第三章 研究方法.......................................6
         3.1 變數定義.........................................6
         3.2流動性指標衡量..............................7
         3.3流動性風險衡量.............................10   
         3.4計量架構.........................................10
    第四章 實證分析......................................13
         4.1 資料來源........................................13
         4.2 時間序列分析................................14
         4.3 實證結果........................................17
    第五章 結論..............................................24
         5.1 結論................................................24
         5.2 研究建議........................................25
    附錄...........................................................26
    參考文獻...................................................34
    參考文獻 中文文獻
    王春峰、韓冬和蔣祥林(2002)衧y動性與股票回報:基於上海股市的實證研究”<<期刊論文>>-經濟管理
    朱盈臻(2005) ”台灣股市系統性風險之檢定” <<中央大學財務金融研究所碩士論文>>
    林昭芃(2007) ”股價之價值溢酬及多因子模型之探討-以台灣股票市場為例”<<中央大學產業經濟研究所碩士論文>>
    騠頎(2005) ”國際資產配置之最適策略研究:使用拔靴複製法” <<中央大學金融研究所在職專班碩士論文>>
    黃銘申(2002) ”買賣價差、流動性與流動性風險” <<中興大學企業管理學系研究所>>
    鄭國龍(2004) ”因子與特徵模型在投資組合建構之應用” <<中央大學財務金融研究所碩士論文>>
    英文文獻
    Amihud, Y.(2002) lliquidity and Stock Returns: Cross-Section and Time-Series Effects. Journal of Financial Markets 5, 31-56.
    Amihud, Y.,and H. Mendelson (1986) Asset Pricing and the Bid–Ask Spread. Journal of Financial Economics 17, 223-249.
    Banz, R.W.(1981) The Relationships between Return and Market Value of Common Stocks. Journal of Financial Economics 9, 3-18.
    Black, F., M.C. Jensen, and M. Scholes (1972) The Capital Asset Pricing Model: Some Empirical Tests , in M. Jensen ed., Studies in the Theory of Capital Markets, 79-121. New York: Praeger Publishers.
    Chan, L., Y.Hamao, and J.Lakonishok (1991) Fundamentals and Stock Returns in Japan. Journal of Finance 46, 1739-1789.
    Chordia, T., R. Roll and A. Subrahmanyam,(2001) Market Liquidity and Trading Activity. Journal of Finance 56, 501-530.
    Datar, V. T., N. N. Naik, and R. Radcliffe(1998) Liquidity and Asset Returns: An Alternative Test. Journal of Financial Markets 1, 203-219.
    Elsas, R., M. El-shaer, and E. Theissen (2003) Beta and Returns Revisited - Evidence from the German Stock Market. Journal of International Financial Markets, Institutions and Money, 13(1), 1-18.
    Fama, E.F., and K.R. French (1992) The Cross-Section of Expected Stock Returns. Journal of Finance 47, 427-465.
    Fama, E.F., and J.D. MacBeth (1973) Risk, Return, and Equilibrium: Empirical Tests. Journal of Political Economy, 81(3), 607-636.
    Fang, V.W., and S. Tice (2009) Stock Market Liquidity and Firm Value. Journal of Financial Economics, 94,150–169
    Fetcher, J. (1997) An Examination of the Cross-Sectional. Journal of Economics and Business 49, 211-221.
    Harvey, C.R.(1995) Predictable Risk and Returns in Emerging Markets. Review of Financial Studies 8, 773-816.
    Hodoshima, J., X. Garza-G'omez, and M. Kunimura(2000) Cross-Sectional Regression Analysis of Return and Beta in Japan. Journal of Economics and Business 52, 515-533.
    Iqbal, J., and R. Brooks (2006) Alternative Beta Risk Estimators and Asset Pricing in Emerging Market: The Case of Paskitan. Journal of Multinational Financial Management 17,75-93.
    Ismail, A.G., and M.S. Shakrani (2003) The Coindtional CAPM and Cross-SectionalEvidence of Return and Beta for Islamic Unit Trusts in Malaysia. Journal of Economics and Management 11, 1-20.
    Jagannathan, R., and Z. Wang (1996) The Conditional CAPM and the Cross-Section of Expected Returns. Journal of Finance 51, 3–53.
    Lakonishok, J., and A.C. Shapiro(1986) Systematic Risk, Total Risk and Size as Determinants of Stock Market. Journal of Banking and Finance 10, 115-132.
    Lesmond, D.A.(2003) Liquidity of Emerging Markets. Journal of Financial Economics 77, 411-452.
    Marshall, B.R.(2006) Liquidity and Stock Returns: Evidence from a Pure Order-Driven Market Using a New Liquidity Proxy. International Review of Financial Analysis 15, 21-36.
    Michailidis, G., and S. Tsopoglou (2007) Beta and Returns Revisited. Evidence from International Stock Markets. MIBES.
    Pastor, L., and R.F. Stambaugh (2003) Liquidity Risk and Expected Stock Returns. Journal of Political Economy 111, 642-685.
    Rosenberg, B., K. Reid and R. Lanstein (1985) Persuasive Evidence of Market Inefficiency. Journal of Portfolio Management 11, 9-17.
    Stattman, D.(1980) Book Values and Stock Returns The Chicago. MBA: Journal of Selected Papers 4, 25-45.
    Wang, F. and Y. Xu (2004) What Determines Chinese Stock Returns? Financial Analysts Journal 60, 65-77.
    指導教授/口試委員
  • 張淑華 - 委員
  • 楊浩彥 - 委員
  • 何宗武 - 指導教授
  • 繳交日期 2010-07-13

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