The measurements of Buy- and Sell-order illiquidity for the Taiwan stock markets
碩士 === 國立勤益科技大學 === 工業工程與管理系 === 102 === Buy- and sell-order on the stock price has the same influence in the previous literature of liquidity. This study intends to verify whether buy- and sell- order on the stock price have the same influence with Brennan at al. (2012) model for the Taiwan stock m...
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/vc96e6 |
| Summary: | 碩士 === 國立勤益科技大學 === 工業工程與管理系 === 102 === Buy- and sell-order on the stock price has the same influence in the previous literature of liquidity. This study intends to verify whether buy- and sell- order on the stock price have the same influence with Brennan at al. (2012) model for the Taiwan stock markets. The results indicate that buy and sell lambdas are significantly positively correlated with illiquidity indexes. Moreover, the finding also shows that the liquidity premium in equities major comes from buy-order side.
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