Common factors in liquidity: Evidence from Taiwan's OTC stock market

Jie Haun Lee; Shu Ying Lin; Wan Chen Lee; Chueh Yung Tsao

doi:10.1016/j.irfa.2004.12.004

Common factors in liquidity: Evidence from Taiwan's OTC stock market

Jie Haun Lee
, Shu Ying Lin
, Wan Chen Lee
, Chueh Yung Tsao^*

^*Corresponding author for this work

Research output: Contribution to journal › Journal Article › peer-review

7 Scopus citations

Abstract

While liquidity plays an important role in market microstructure research, little previous work has been devoted to the common determinants of liquidity. In this study, we investigate common factors in liquidity by means of regression analysis using daily and intraday data in the Taiwan OTC stock market. Our empirical results based on the daily data provide evidence that market- and industry-wide effects do exist in Taiwan's OTC market. These common factors are also found in the intraday data, but the effectiveness of the factors is not the same among the different trading intervals.

Original language	English
Pages (from-to)	306-327
Number of pages	22
Journal	International Review of Financial Analysis
Volume	15
Issue number	4-5
DOIs	https://doi.org/10.1016/j.irfa.2004.12.004
State	Published - 2006

Keywords

Commonality
Liquidity
Microstructure

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10.1016/j.irfa.2004.12.004

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title = "Common factors in liquidity: Evidence from Taiwan's OTC stock market",

abstract = "While liquidity plays an important role in market microstructure research, little previous work has been devoted to the common determinants of liquidity. In this study, we investigate common factors in liquidity by means of regression analysis using daily and intraday data in the Taiwan OTC stock market. Our empirical results based on the daily data provide evidence that market- and industry-wide effects do exist in Taiwan's OTC market. These common factors are also found in the intraday data, but the effectiveness of the factors is not the same among the different trading intervals.",

keywords = "Commonality, Liquidity, Microstructure",

author = "Lee, \{Jie Haun\} and Lin, \{Shu Ying\} and Lee, \{Wan Chen\} and Tsao, \{Chueh Yung\}",

year = "2006",

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language = "英语",

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T2 - Evidence from Taiwan's OTC stock market

AU - Lee, Jie Haun

AU - Lin, Shu Ying

AU - Lee, Wan Chen

AU - Tsao, Chueh Yung

PY - 2006

Y1 - 2006

N2 - While liquidity plays an important role in market microstructure research, little previous work has been devoted to the common determinants of liquidity. In this study, we investigate common factors in liquidity by means of regression analysis using daily and intraday data in the Taiwan OTC stock market. Our empirical results based on the daily data provide evidence that market- and industry-wide effects do exist in Taiwan's OTC market. These common factors are also found in the intraday data, but the effectiveness of the factors is not the same among the different trading intervals.

AB - While liquidity plays an important role in market microstructure research, little previous work has been devoted to the common determinants of liquidity. In this study, we investigate common factors in liquidity by means of regression analysis using daily and intraday data in the Taiwan OTC stock market. Our empirical results based on the daily data provide evidence that market- and industry-wide effects do exist in Taiwan's OTC market. These common factors are also found in the intraday data, but the effectiveness of the factors is not the same among the different trading intervals.

KW - Commonality

KW - Liquidity

KW - Microstructure

UR - https://www.scopus.com/pages/publications/33748196463

U2 - 10.1016/j.irfa.2004.12.004

DO - 10.1016/j.irfa.2004.12.004

M3 - 文章

AN - SCOPUS:33748196463

SN - 1057-5219

VL - 15

SP - 306

EP - 327

JO - International Review of Financial Analysis

JF - International Review of Financial Analysis

IS - 4-5

ER -

Common factors in liquidity: Evidence from Taiwan's OTC stock market

Abstract

Keywords

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