市場與指數流動性共變實證分析­-以台灣股票市場為例

Index Inclusion and Commonality in Liquidity：Evidence from Taiwan Stock Market

吳嘉峻(Chia-Chun Wu)

指導教授 ： 謝文良

共同指導教授 ： 林允永(Yun-Yung Lin)

淡江大學/商學院/財務金融學系碩士班/碩士(2009年)

https://doi.org/10.6846/TKU.2009.00285

摘要

流動性共變是近年市場微結構中新興的議題，Chordia et al. (2000)實證發現NYSE市場中個股流動性與市場流動性存在連動行為，亦即存在流動性共變之現象。Brockman et al. (2006)以Chordia et al. (2000)的觀點為基礎，探討香港證券交易所（SEHK）是否存在指數流動性共變，實證結果發現指數內的成分股流動性共變程度顯著於市場內非指數成分股所組成的群組，表示香港證券交易所的確存在指數流動性共變。
本研究根據Chordia et al. (2000)和Brockman et al.（2006）的理論與方法對台灣股票市場作一系列研究探討。在市場流動性共變方面，發現集中市場與店頭市場皆存在流動性共變。在產業流動性共變方面，集中市場與店頭市場的產業流動性共變顯著程度皆小於市場流動性共變，但仍不可否認台灣股票市場的確存在產業流動性共變。在規模效果方面，在價差相關之流動性衡量指標中，規模小的公司群組之流動性共變顯著程度高於規模大的公司群組，隱含著小公司存在較明顯的資訊不對稱，因此受市場波動影響較大，而在深度相關之流動性衡量指標則出現相反的結果。在指數流動性共變方面，不論是台灣50指數或MSCI台灣指數，在價差相關之流動性衡量指標中，指數流動性共變程度皆顯著於市場流動性共變，而在深度與價格深度方面，則無顯著的實證結果，因此大致上本研究發現台灣股票市場的確存在指數流動性共變之現象。

關鍵字

流動性共變 ； 買賣價差 ； 市場深度 ； 流動性 ； 指數流動性共變

並列摘要

Commonality in liquidity is the newly domain of market microstructure research. Chordia et al. (2000) investigated empirical work about the phenomenon of commonality in liquidity in NYSE and manifested the existence of commonality in liquidity in NYSE. Brockman et al. (2006) followed the theory of Chordia et al. (2000) to investigate the phenomenon of index inclusion in liquidity in SEHK. Brockman et al. (2006) demonstrated that SEHK exit definitely the phenomenon of index inclusion in liquidity.
The study depended on the theories and methodologies of Chordia et al. (2000) and Brockman et al. (2006) took a series of research about index inclusion and commonality in liquidity in Taiwan. The empirical findings include the following： (1) In market-wide commonality in liquidity, the study identifies the phenomenon of commonality in liquidity in TSE and OTC. (2) In market and industry commonality in liquidity, even though market-wide commonality is more remarkable than industry commonality in TSE and OTC, the existence of industry commonality can not to be disregarded. (3) In size effect, TSE and OTC exit indeed the phenomenon of size effect in spread-related measures. Smaller stocks are more sensitive to market-wide shocks in Taiwan stock market because smaller stocks exit more asymmetric information than larger stocks. Nevertheless, there is an opposite result in death-related measures that larger stocks exit more prominent commonality in liquidity than smaller stocks. (4) In index-related commonality, the index inclusion firms have strong commonality in liquidity and the index-related commonality is more influential than market-wide commonality for the index stocks.

並列關鍵字

Commonality in Liquidity ； Liquidity ； Bid-ask spread ； Depth ； Index-related commonality

參考文獻

4.楊馥嘉（2005），台灣首檔ETFs 及其成分股市場流動性之研究，淡江大學管理科學研究所碩士論文

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