臺灣50指數成分股與市場的流動性差異

本文欲探討臺灣50指數成分股之流動性與資本市場其他股票的流動性兩者之間的差異，以探討與臺灣50指數成分股市值相近的公司，如果加入臺灣50指數，其所可能減少的流動性不足程度。實證結果顯示不論是全樣本、以時間拆分的兩個子樣本或以市值拆分的二十個子樣本，臺灣50指數成分股對流動性不足指標幾乎都有顯著的解釋力。而與臺灣50指數成分股市值相近的公司，如果加入臺灣50指數，流動性不足程度有可能會比原來減少一半以上。然而，本文也用到另一種流動性代理變數—股票周轉率，但其結果卻與流動性不足指標大相逕庭，因此當公司或政府想提高股票或市場流動性而有所行動時，應須在各種廣泛的流動性指標中，釐清其中的定義。

關鍵字

ETF ；臺灣50指數；指數成分股；流動性；流動性不足

並列摘要

This paper examines the difference between the liquidity of the Taiwan 50 Index constituents and the liquidity of other stocks in the capital market, and I especially examine the companies having similar market capitalization with the Taiwan 50 Index constituents in attempt to learn the reduction of illiquidity after the addition to Taiwan 50 Index. The empirical results show that Taiwan 50 Index constituents remains a significant higher illiquidity ratio than other stocks. For the companies with similar market capitalization with the Taiwan 50 Index constituents, their illiquidity may decline more than half. I also examine another variable proxy for liquidity: turnover, yet the regression results were totally different from ILLIQ. Therefore, investor and government need to clarify the definition of liquidity when they would like to know to what extent liquidity improvement around the Taiwan Index membership.