政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/6075
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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/6075


    Title: Common Factors in Liquidity: Evidence from Taiwan`s OTC Stock Market
    Authors: Lee Jie-Haun;Shu-Ying Lin;Wan-Chen Lee;Chueh-Yung Tsao
    Date: 2005-03
    Issue Date: 2008-11-05 16:48:49 (UTC+8)
    Abstract: While liquidity plays an important role in market microstructure research, little previous work has been devoted to the common determinants of liquidity. In this study, we investigate common factors in liquidity by means of regression analysis using daily and intraday data in the Taiwan OTC stock market. Our empirical results based on the daily data provide evidence that market- and industry-wide effects do exist in Taiwan`s OTC market. These common factors are also found in the intraday data, but the effectiveness of the factors is not the same among the different trading intervals.
    Relation: International Review of Financial Analysis, 15, 306-327
    Data Type: article
    DOI link: http://dx.doi.org/10.1016/j.irfa.2004.12.004
    DOI: 10.1016/j.irfa.2004.12.004
    Appears in Collections:[Department of Finance] Periodical Articles

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