期刊論文
| 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 | en |
| ISSN | 0003-6846; 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 | GBR |
| 公開徵稿 | |
| 出版型式 | 紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/72293 ) |