Commonality in liquidity, liquidity distribution, and financial crisis: Evidence from country ETFs
學年 102
學期 2
出版（發表）日期 2014-04-05
作品名稱 Commonality in liquidity, liquidity distribution, and financial crisis: Evidence from country ETFs
作品名稱（其他語言）
著者 Hsiu-Chuan Lee; Yung-Ching Tseng; Chung-Jen Yang
單位
出版者
著錄名稱、卷期、頁數 Pacific-Basin Finance Journal 29, pp.35–58
摘要 This paper explores commonality in liquidity for country ETFs. Using data from 21 country ETFs, the empirical results present the strong commonality in liquidity among country ETFs. Furthermore, the paper shows that the magnitude of commonality in liquidity for country ETFs varies with the liquidity distribution. The empirical results also indicate that the extent of liquidity commonality for country ETFs is stronger in times of financial crisis than in non-crisis periods. Finally, the paper also finds that the impacts of supply- and demand-side effects on commonality in liquidity for country ETFs vary with liquidity distributions, and the results are consistent with the funding-liquidity mechanism and investor sentiment hypotheses.
關鍵字 Commonality in liquidity;Liquidity distribution;Financial crisis;Funding-liquidity mechanism;Investor sentiment;Country ETFs
語言 en_US
ISSN 0927-538X
期刊性質 國外
收錄於 SSCI
產學合作
通訊作者
審稿制度 是
國別 USA
公開徵稿
出版型式 ,電子版,紙本
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機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/106012 )

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