| Summary: | 碩士 === 國立中興大學 === 會計學研究所 === 105 === This study examines which is best measurement method of ETF liquidity ,taking FTSE TWSE Taiwan 50 Index as an Example.The liquidity of the financial market plays a very important role in the whole market. After the 2008 financial crisis and the 2011 European debt crisis, because of its product passive investment characteristics, ETF gradually flourish in the financial market.
In the past, many scholars have proposed the method of measuring liquidity. In this study, we use the turnover rate, Amihud liquidity ratio, Amivest liquidity ratio, option ratio,Which is based on the flow rate of 50ETF. This study is based on the Parkinson high and low price volatility factor and the simple regression method is used as the empirical method. It is found prediction outcome that the turnover rate is the most optimal of the four methods, and it is very suitable for Taiwan market refers to the 50 ETF liquidity forecast
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