Stock Liquidity and Information Demand

• Main Authors: Yun-Chia Huang, 黃韻綺
• Other Authors: Yi-Hou Huang
• Format: Others
• Language: en_US
• Online Access: http://ndltd.ncl.edu.tw/handle/34920422562421579501

碩士 === 元智大學 === 商學碩士班(財務金融學程) === 102 === We link the stock liquidity and information demand, and then we use SVI replacement for information needs become proxy variable. We analyzed the relationship between them. There are many previous studies, the demand for information about proxies are indirect relationship in recent years, the rise of computer technology, we find a new and direct proxies to replace the original information needs of investors, we are using Google trend search frequency (SVI), we use Russell 3000 stocks, samples from 2004-2012 years, which according to Da et al. (2011) considered 1.SVI more suitable when information demand of proxies 2.more timely and 3.more can measure retail. We mainly study is to combine this new variable SVI and stock liquidity, and find pure liquidity. We use pure liquidity combined with three-factor model to do to prove our design variables (ILLIQ) ̂^SVI,ε ̂^ILLIQ can also become a factor affecting on return. We prove that liquidity include information risk.