金融危機下投資銀行之無流動性交易

Illiquid Trades on Investment Banks in Financial Crisis

杜欣霈(Hsin-Pei Tu)

指導教授 ： 蘇永成

國立臺灣大學/管理學院/財務金融學研究所/碩士(2011年)

https://doi.org/10.6342/NTU.2011.01970

摘要

近年來流動性在當代財務和經濟計量學的研究上對股票市場報酬的影響引起許多討論和相關問題的發現。尤其流動性問題與市場效率性常常一起被討論，因為擁有內部訊息的造市者或許能因此創造異常報酬。我們試圖透過研究投資銀行股票在金融危機期間受流動性的價格影響，檢驗無流動性交易策略之可行性及市場效率性。

關鍵字

GARCH ； 無流動性交易 ； 買賣單不對稱 ； 金融危機

並列摘要

The effects of liquidity on stock market returns, in recent years has been the most debated and concerned issue in both contemporary finance and econometric research. In particular, this issue is closely linked to the very concept of market efficiency, which governs the laws of probability that traders with special information gain abnormal returns. We attempt to investigate the relationship between illiquid trades and market efficiency through examining price effects of liquidity on investment bank stocks during financial crisis.

並列關鍵字

GARCH ； illiquid trades ； order imbalance ； financial crisis

參考文獻

16. Lin Tze-Yi, 2010, “Commercial Bank Market Efficiency in Financial Crisis,” Graduate Institute of Finance, National Taiwan University

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