公司研發多樣性對股票流動性的影響

The Impact of Corporate Innovation Diversity on Stock Liquidity

蕭芳其(Fang-Chi Hsiao)

指導教授 ： 王衍智

國立臺灣大學/管理學院/財務金融學研究所/碩士(2022年)

https://doi.org/10.6342/NTU202200953

摘要

本文選用1950年至2018年的美國公司進行公司專利研發多樣性對股票流動性影響的研究，以賀芬達指數建構研發多樣性變數進行迴歸分析，並使用買賣價差法、Turnover法、Amihud法等三種方式計算公司股票的流動性，檢驗專利研發多樣性和股票流動性之間的相關性。本研究採用普通最小平方法估計迴歸結果，其結果顯示公司專利研發多樣性對於股票流動性的降低或提升，可能是因使用不同股票流動性的估計方法而異。使用買賣價差法估計股票流動性，結果顯示研發多樣性越高股票流動性越高。而以Turnover法估計股票流動性，結果因是否加入交乘項而異。以Amihud法估計股票流動性，研究結果顯示研發多樣性越高股票流動性越低。因此本研究認為公司專利研發多樣性對股票流動性的影響為未有確定結論，未來可能待學者更深入的分析進行討論，以釐清專利研發多樣性對股票流動性的影響為何。

關鍵字

研發多樣性 ； 股票流動性 ； 公司規模 ； 資產報酬率 ； 現金比率 ； 槓桿比率 ； 市值帳面比

並列摘要

This paper studies the US companies from 1950 to 2018 to analyze the impact of corporate innovation diversity on stock liquidity. The Herfindahl Index is used to calculate the innovation diversity and conducted the OLS regression analysis. The bid-ask spread method, Turnover method, and Amihud method are used to calculate the liquidity of the company's stock, and examine the correlation between innovation diversity and stock liquidity. The least square method is used to estimate the regression result. The results show that whether the innovation diversity increase or decrease the stock liquidity depends on method we used to calculate the stock liquidity. When the bid-ask spread method is used, it shows that the higher the innovation diversity the higher the stock liquidity. When the Turnover method is used, the results vary depending on whether or not the interaction variables are added. Using the Amihud method to estimate stock liquidity, the results show that the higher the innovation diversity, the lower the stock liquidity. Therefore, the impact of innovation diversity on stock liquidity is a puzzle. In the future, it may be further discussed by scholars with more in-depth analysis to clarify the impact of innovation diversity on stock liquidity.

並列關鍵字

Innovation Diversity ； Stock Liquidity ； Firm Size ； ROA ； Cash Ratio ； Leverage Ratio ； M/B Ratio

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