Illiquid Trades on International Investment Banks in Financial Crisis

• Main Authors: Feng-Sou Yang, 楊峯碩
• Other Authors: 蘇永成
• Format: Others
• Language: en_US
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/30277805253294700890

碩士 === 國立臺灣大學 === 財務金融學研究所 === 99 === This article focuses on the illiquid trades on international investment banks in financial crisis. In recent years, the influence and impact of liquidity is getting more and more important, and has been one of the most popular issues in modern financial market. Order imbalance, as a key factor, which determines the stock return rather trading volume, is absolutely guaranteed to conceal some important aspects of trading. In this paper, we address these questions by first providing a comprehensive survey of recent related work in the literature followed by a brief framework of our approach. Next, we discuss our data together with our ways of processing, and then we turn to the methodology of our analysis. Later, we describe the quantitative results we have obtained accompanied by a demonstration of their statistical significance. Our results show that when market liquidity is scarce, order imbalances have a greater explanatory power in both our OLS and GARCH models thanks to the reduced market efficiency. In addition, we also demonstrated that no abnormal return could be generated by forming the trading strategy. Last but not least, we provide a conclusion based on our findings and lay down the implications that, we believe, will shed new light to this much debated issue.