The pricing of systematic liquidity risk on Taiwan OTC stock market
碩士 === 國立政治大學 === 國際經營與貿易學系 === 105 === By constructing a bivariate diagonal BEKK Garch (1,1)-in-mean model and using the covariance between the excess market return and turnover rate as aggregate systematic liquidity proxy, the study tries to examine whether systematic liquidity risk was priced on...
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| Format: | Others |
| Language: | zh-TW |
| Online Access: | http://ndltd.ncl.edu.tw/handle/71682026383364574786 |