Commonality in Liquidity-the case of Taiwan 50 index

• Main Authors: June-Hung Chen, 陳俊宏
• Other Authors: Yu-chuan Huang
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/50688859443466156360

碩士 === 國立高雄第一科技大學 === 財務管理所 === 91 === This paper mainly explores liquidity commonality in Taiwan stock market. We meaure liquidity as quoted spread and deviation between order supply and order demand. The empirical findings indicate that Taiwan stocks exist liquidity commonality. We show that liquidity commonality is due to supply and demand co-movement. By regression analysis for quoted spread, we find liquidity commonality and return commonality is caused by order-type co-movement and order-flow co-movement. Under liquidity commonality, it would poses impact to Markowitz’s tranditional diversification strategies and wiped out portfolio returns.