Market illiquidity premium on stock returns: An empirical study of Taiwan stock markets
碩士 === 國立雲林科技大學 === 財務金融系 === 105 === This thesis examines the existence of illiquidity premiums in Taiwan stock markets during the period, 1982-2016. Firstly, I calculates the illiquidity premium by the method of Amihud (2014) in the four-period samples, a whole period and three sub periods, and te...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2017
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| Online Access: | http://ndltd.ncl.edu.tw/handle/3a5tgh |
| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系 === 105 === This thesis examines the existence of illiquidity premiums in Taiwan stock markets during the period, 1982-2016. Firstly, I calculates the illiquidity premium by the method of Amihud (2014) in the four-period samples, a whole period and three sub periods, and test the statistical relationship between illiquidity premium and risk factor premiums through the four-factor model. This study then constructs quint portfolios by Amihud (2002) measure in an ascending order and applies factor models to explore the relationship between stock returns and illiquidity premium. The empirical results indicate that the five-factor model increases the relative explanatory power comparing to the traditional four-factor model. Moreover, among the higher illiquidity portfolios, the illiquidity premium demonstrates significantly positive effects on stock returns and the five-factor model shows relatively smaller alphas, which in turns evidence the existence of market illiquidity premiums.
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