- 作者: 詹場、胡星陽
- 作者服務機構: *國立高雄第一科技大學財務管理系 **國立臺灣大學財務金融學系
- 中文摘要: This paper introduces, classifies and reviews the liquidity measure widely used in the literature. We clarify their assumptions, fundamental characteristics, limits of application, analysis methodologies and the relations among them. This paper also offers the criteria to choose the proper liquidity measure for empirical studies, especially when the market is order driven rather than quote driven, the assumption of market efficiency is not held, the requirements of the information about transaction cost are different for various types of investors. Finally, we summarize and review the liquidity measure applied in Taiwan stock market.
- 英文摘要: 本文就各種流動性衡量方法進行系統性的歸納、分析及評論,同時釐清其基本假設、主要性質、分析方法、使用上的潛在問題及限制,以及它們彼此間的關聯性。此外,探討當市場是委託單導向,市場效率性假設不成立,及不同類型之投資者所需之交易成本資訊不同時,各種流動性衡量方法之適用性,針對這些關鍵問題,本文提供選擇流動性衡量方法之評估要項,包括三類:應用上限制的評估要項、功能上的評估要項、以及其他潛在的評估要項。另一方面,本文也就臺灣證券市場流動性衡量方法之應用情形作一整體性的歸納及評述。
- 中文關鍵字: Taiwan security market, transaction cost, order driven market, liquidity ratio, liquidity, price impact, spread
- 英文關鍵字: 臺灣證券市場,交易成本,委託單導向市場,流動比率,流動性,價格衝擊,價差