教師資料查詢 | 類別: 期刊論文 | 教師: 曾永慶 YUNG-CHING TSENG (瀏覽個人網頁)

標題: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
語言英文(美國)
ISSN0927-538X
期刊性質國外
收錄於SSCI;
產學合作
通訊作者
審稿制度
國別美國
公開徵稿
出版型式,電子版,紙本
相關連結
Google+ 推薦功能,讓全世界都能看到您的推薦!