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

本研究项目的目的有两个方面；研究风险因素对资产价格的影响，分析流动性与市场微观结构的关系。研究报告指出，在全球金融危机期间，流动性紧缩和金融担保的交易对手风险对资产价格产生了巨大影响。对于第二个研究目的，我们还发现，在非流动性市场或经济停滞的市场中，回报反转可能会很突出。进一步推断，新的季度披露报告要求有助于降低私人信息交易的程度，从而导致价格稳定。

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.