The Relation between the Trading Activity and Stock Return in the Taiwan Stock Market---In the Case of Manufacture Industries
| Autor: | Guo-Xiang Chen, 陳國祥 |
|---|---|
| Rok vydání: | 2002 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 90 Past literature on the relationship between the liquidity and the stock return showed that in order to attract the investors, the stocks with lower liquidity have to give more premium to the investor. That is there exists a strong negative relationship between the liquidity and return. Under the risk-adverse world, the rational investors should hope that there wouldn’t be higher variation in liquidity. With the higher variation, the investors require to gain more premium for compensation. This paper hypothesizes the positive relationship between the variation of liquidity and the return. We use turnover and trading volume as the proxies of liquidity. Evidence reveals that there is a negative relation between the liquidity and return in part of the manufacture industries of the Taiwan stock market after controlling the size, book-to-market ratio, trading volume and turnover. However, the variation of liquidities are negatively correlated with stock returns. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
| Externí odkaz: |
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