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| 研究生： |
梁紀芬 |
|---|---|
| 論文名稱： |
股市流動性之動能效果 Momentum Effect in Liquidity |
| 指導教授： |
郭維裕
George Kuo |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 國際經營與貿易學系 Department of International Business |
| 論文出版年： | 2006 |
| 畢業學年度： | 91 |
| 語文別： | 英文 |
| 外文關鍵詞： | Abcdrmal turnover ratio, Turnover ratio |
| 相關次數： | 點閱：83 下載：33 |
| 分享至: |
| 查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報 |
我們在此文中檢視了股市流動性的動能效果，並將此效果連結到相對應股票的報酬表現上。我們發現過去六個月平均流動性較高的股票，在未來三年中也會具有較高的流動性。此外，我們發現買入較高流動性的股票，賣出流動性較低的股票，會有正的報酬。我們希望此研究能夠幫助投資人獲取更多有用的資訊。
We examine the predictability of liquidity, the momentum effect in liquidity, and we also would like to link this effect to expected stock returns. We find that stocks with high liquidity in the past six month will be traded with high liquidity in the future (within 3 years) and that all of the zero-cost portfolios, which buy high liquidity stocks and sell low liquidity stocks, have positive returns. We hope the results in this study will help uninformed trader to obtain more information in the stock market.
Abstract ......................................................................................................................1
1. Introduction ..........................................................................................................1
2. Data and Methodology .........................................................................................6
2.2 Liquidity Measurement...................................................................................7
2.3 Test Procedures: Details .................................................................................8
3. The Momentum Effect in Liquidity: Empirical Results .......................................9
3.1Main Findings of Momentum Effect in Liquidity .........................................10
3.2 Profitability of these portfolios .....................................................................14
4. Conclusions .........................................................................................................17
Reference ...................................................................................................................19
Appendix ...................................................................................................................21
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