臺灣股市流動性與景氣循環

Taiwan Stock Market Liquidity and the Business Cycle

施孟志(Meng-Chih Shih)

指導教授 ： 林建甫

國立臺灣大學/社會科學院/經濟學研究所/碩士(2012年)

https://doi.org/10.6342/NTU.2012.00601

摘要

預測GDP成長率的方法，在金融海嘯發生後愈受重視。一般而言，證券市場是國家總體經濟變數的先行指標，如何從證券市場的眾多訊息中抽絲剝繭，使用方便處理計算的指標預測景氣循環，就可以在下一次類似金融海嘯所帶來的經濟衰退之前，預測危機的發生，搶先一步推出補救措施，減少經濟衰退帶來的負面衝擊，以穩定經濟繁榮與社會情勢。
但臺灣證券市場不同於歐美等已開發國家之證券市場，臺灣以散戶投資人佔多數，股市波動度高，是否能以相同的方法預測景氣循環，是個值得探討的議題。本文係利用VAR模型，使用外資法人得以進入臺灣證券市場後的季資料，衡量流動性指標與其他變數，對於GDP成長率的影響。
本文的實證結果顯示，價格衝擊的流動性指標對於GDP成長率是顯著的，而代表散戶投資人的變數對於GDP成長率也顯著，與傳統上認為證券市場裡的散戶投資人是無知的觀念違背，散戶投資人對於未來經濟情勢也具備預測能力。本文也發現，將成交量周轉率當作流動性指標無法預測GDP成長率。除了價格衝擊的流動性指標與代表性散戶籌碼，五大行庫的利差也顯著影響GDP成長率，五大行庫的利差擴大，下一期的GDP成長率可樂觀看待。

關鍵字

證券市場 ； 股市流動性 ； 景氣循環 ； 單根檢定 ； VAR模型 ； Granger關係檢定

並列摘要

Since the financial crisis, it becomes an important topic to predict the GDP growth rate in a country. Generally speaking, the stock market is always a leading indicator. After extracting the information we need from the stock market, we can use it to calculate an easy index to predict the business cycle. Therefore, we are able to adopt remedial measures preventing the recession.
Taiwan stock market is constituted by individual investors most. This is different from the developed countries. As a result, the stock index volatility in Taiwan is very intense. It is an interesting topic that whether we can use the same indicator to predict the business cycle or not. We use the VAR model and seasonal data to measure the GDP growth rate by the stock market liquidity and other variables after the QFIIs allowed to enter Taiwan stock market.
In this thesis, the Amihud liquidity indicator is robust to the GDP growth rate. The adjusted debit balance finance which is used to measure individual investors’ activities is robust as well. This result disobliges the traditional concept. We found that individual investors have predicting ability about the future macroeconomic situation. We also found that the credit spread from five largest banks is robust to the GDP growth rate. If the spread is getting bigger, it means that we should be optimistic to the GDP growth rate next period.

並列關鍵字

Stock market ； Liquidity ； Business cycle ； Unit root test ； VAR model ； Granger causality test

參考文獻

胡星陽 (1998), 流動性對台灣股票報酬率的影響, 中國財務學刊,Vol.5, no.4.

Amihud, Y. (2002), “Illiquidity and stock returns: Cross-section and time-series effects”, Journal of Financial Markets, 5, pp.31-56.

Avramov, D., Tarun, C., and Amit, G. (2006), “Liquidity and autocorrelation of individual stock returns”, Journal of Finance, 61, pp.2365–2394.

Beber, A., Brandt, W. M., and Kavajecz, A. K. (2010), “What does equity sector orderflow tell us about the economy?”, Unpublished Working Paper, University of Amsterdam.

Bencivenga, V., R., Smith, B., D., and Starr, R., M. (1995), “Transaction costs, technological choice, and endogenous growth”, Journal of Economic Theory, 67(1), pp.153-177.