Empirical analyses on price discovery process of assets : Focusing on effects of liquidity and asymmetric informati

本研究目的有二：探讨风险因素对资产价格的影响，以及分析流动性与市场微观结构的关系。该研究报告指出，在全球金融危机期间，流动性紧缩和来自金融担保的交易对手风险对资产价格产生了巨大影响。至于第二个研究目的，也发现回报逆转可能在流动性不足的市场或经济停滞的市场中很突出。此外，它推断，新的季度披露报告要求有助于减少私人信息为基础的交易的程度，导致价格稳定。

The purposes of this research project are two-folds ; to investigate effects of risk factors on asset prices, and to analyze relationship between liquidity and market microstructure. The research reports that liquidity squeeze and counterparty risk from financial guarantees had enormous impacts on asset prices during the global financial crisis. As for the second research purpose, it has been also found that return reversal are likely to be prominent for illiquid markets or markets in stagnated economic conditions. Furthermore it infers that the new quarterly disclosure reporting requirements helped reduce the degree of private information-based trades, leading to price stability.