教師資料查詢 | 類別: 期刊論文 | 教師: 林蒼祥 Lin William T. (瀏覽個人網頁)

標題:Price informativeness and predictability: how liquidity can help
學年99
學期1
出版(發表)日期2011/01/01
作品名稱Price informativeness and predictability: how liquidity can help
作品名稱(其他語言)
著者Lin, William T.; Tsai, Shih-Chuan; Sun, David S.
單位淡江大學財務金融學系
出版者Abingdon: Routledge
著錄名稱、卷期、頁數Applied Economics 43(17), pp.2199-2217
摘要Information asymmetry and liquidity concentration has been widely discussed in literatures. This study shows how liquidity influences not only forecasting performances of term structure estimation, but also information transmission and price adjustment across markets. Our analysis helps understanding how extreme market movements affect one another. This study examines, and provides a rationale for incorporating, liquidity in estimating term structure. Forecasting performance can be greatly enhanced when conditioning on trading liquidity. It reduces information asymmetry in the sense of Easley and O’Hara (2004) and Burlacu et al. (2007). We adopt a time series forecasting model following Diebold and Li (2006) to compare behaviour of forecasted price errors. Our findings indicate that forecasted price errors in markets with less depth would influence those with more. Information asymmetry induces volatile trading first and then price adjustment is transmitted to another market due to insufficient market depth. Cross-market price adjustment could be as much as 21 bps on average. Compared with previous studies, our results establish a valid reason to condition on liquidity when forecasting prices.
關鍵字
語言英文
ISSN0003-6846; 1466-4283
期刊性質國外
收錄於SSCI
產學合作
通訊作者Tsai, Shih-Chuan; Sun, David S.
審稿制度
國別英國
公開徵稿
出版型式紙本
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