文獻中針對股利發放對流動性影響的研究主題較缺乏,而流動性一直被實務者、研究者和主管機關所重視,因為市場流動性對於金融資產的價格有直接且重要的影響。因此本研究想衡量台灣上市公司股票除權除息後的流動性變化,藉由觀察公司在發放股票股利或現金股利的期間,是否會改變投資人的交易行為而使的股票流動性改變。本研究以股利的發放日為事件日,比較事件前後以買賣價差、流動比率及市場深度等三種衡量流動性指標的變化及觀察造成有效價差變動的原因是否來自於資訊不對稱。實證結果顯示,以買賣價差、流動比率與市場深度衡量的結果為事件後流動性下降。以資訊不對稱衡量的結果為事件後無助於減低資訊不對稱的現象。 關鍵字 現金股利 股票股利 流動性
Owing to the lack of the impact of dividend on liquidity, we provide evidence on this subject in Twain Stock Exchange. The liquidity has being focused by practice, researcher and the government monitor, because it has direct and important influence on asset price. This research use ex-dividend day as the event day, and we use effective spread, liquidity ratio and market depth to measure the liquidity. Furthermore we investigate whether the effective spread change comes from asymmetric information. We compare the liquidity before and after and the event. Our evidence shows that the liquidity decreases after the event, especially for small companies. We guess that the event does not release inside information to the market and informed traders trade more aggressive after the event. The condition may be obvious for small companies. Keyword : cash dividend, stock dividend, liquidity