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    题名: 2007年金融風暴前後台灣金融市場流動性之比較研究
    其它题名: Liquidity Conditions in Taiwan`s Security Market before and after the 2007 Financial Crisis
    作者: 張興華
    贡献者: 金融系
    日期: 2013
    上传时间: 2016-04-20 14:30:46 (UTC+8)
    摘要: 2007-2008年之金融風暴造成總體金融環境之流動性大幅下降，並透過金融中介機構對客戶之緊縮資金，直接影響個別金融資產市場之流動性。本研究主要目的在探討此次金融風暴前後台灣金融市場流動性變化的情況。流動性的觀念雖然概念上容易定義，但在實際衡量上，文獻上提出多種指標，而每一個指標側重流動性的某一特定層面。本研究將依據Chang and Lin (2012)的作法，採用Gourieroux等學者所提出的無母數核密度方法來估計由成交值加權的交易存續期間之條件機率密度函數，以此建構可涵蓋成交數量、時效性、以及價格影響等三個屬性的流動性測度指標。同時也將計算文獻中常用的Amihud流動性指標，以及買賣價差。一方面比較金融風暴前後這些指標變動的情況，一方面比較這些指標之間的差異，以期對市場流動性之變化有更深入的了解。
    The recent global financial crisis has made liquidity risk in financial markets more important than ever.While the crisis itself was a major economy-wide liquidity event, it also impacted individual asset markets’ liquidity as financial intermediaries pass the high cost of funds onto their clients. This research aim to measure how the liquidity conditions in Taiwan’s security market was impacted by the crisis. However, measuring market liquidity remains an elusive task as liquidity has several dimensions. As a result, a wide variety of measurement proxies for liquidity have been proposed in the literature, with each measure focuses only on a particular attribute dimension of liquidity. In the research I’ll use the composite liquidity studied in Chang and Lin (2012), which is based on the kernel density function estimation procedure proposed by Gourierous el al. (1999). The benefit of this composite measure is that it covers all three major dimensions of market liquidity: volume, immediacy, and price impact. I’ll also calculate the widely used Amihud ratio and its various modifications. The purpose is to (1) compare the liquidity conditions of Taiwan’s security market before and after the crisis; and (2) compare the performances of various liquidity measures to check the validity of the new composite measure and to get a better understanding of the change in market liquidity.
    關聯: 計畫編號 NSC 102-2410-H004-064
    数据类型: report
    显示于类别:[金融學系] 國科會研究計畫

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