Amihud非流动性溢价的扩展分析：来自台湾股市的证据

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal Pub Date : 2024-08-10 DOI:10.1016/j.pacfin.2024.102483

Hsiu-Chuan Lee , Donald Lien , Her-Jiun Sheu , Chung-Jen Yang

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引用次数: 0

摘要

本研究提出了一种新的非流动性衡量标准，该标准不包括隔夜收益，并纳入了时滞效应。与 Amihud（2002 年）的衡量标准以及其他不包括隔夜收益或考虑时滞效应的非流动性衡量标准相比，本研究探讨了这种新的衡量标准是否能更有效地捕捉台湾股市的非流动性溢价。横截面和时间序列资产定价测试表明，我们的计量方法在其他非流动性计量方法中占主导地位，从而产生了更有利可图的多空策略。向量自回归分析证实了总体市场的这些结果。我们的研究有助于衡量新兴市场的流动性，并为投资组合管理和资产定价模型提出了潜在的改进建议。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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An extension analysis of Amihud's illiquidity premium: Evidence from the Taiwan stock market

This study proposes a novel illiquidity measure that excludes overnight returns and incorporates the recency effect, and investigates whether this new metric more effectively captures the illiquidity premium in the Taiwan stock market relative to Amihud's (2002) measure and other illiquidity measures that exclude overnight returns or account for the recency effect. Cross-sectional and time-series asset pricing tests reveal that our measure dominates other illiquidity measures, yielding a more profitable long–short strategy. Vector autoregressive analysis confirms these results for the aggregate market. Our study contributes to the measurement of liquidity in emerging markets and suggests potential improvements for portfolio management and asset pricing models.

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来源期刊

Pacific-Basin Finance Journal BUSINESS, FINANCE-

CiteScore

6.80

自引率

6.50%

发文量

157

期刊介绍： The Pacific-Basin Finance Journal is aimed at providing a specialized forum for the publication of academic research on capital markets of the Asia-Pacific countries. Primary emphasis will be placed on the highest quality empirical and theoretical research in the following areas: • Market Micro-structure; • Investment and Portfolio Management; • Theories of Market Equilibrium; • Valuation of Financial and Real Assets; • Behavior of Asset Prices in Financial Sectors; • Normative Theory of Financial Management; • Capital Markets of Development; • Market Mechanisms.