流動性與報酬率

Liquidity and Return

陳勇志(Yung-Chih Chen)

指導教授 ： 林秋發

國立虎尾科技大學/管理學院/經營管理研究所/碩士(2010年)

摘要

長期以來報酬率一直是投資人所關注的焦點，而報酬率受到許多因素所影響，在Amihud and Mendelson(1986)提出以買賣價差做為衡量流動性的代理變數來探討報酬率後，便獲得後續學者廣泛的討論。買賣價差乃是衡量流動性的代理變數之一，本研究以其他衡量流動性的方法週轉率做為流動性之代理變數，探討我國證券市場中流動性與報酬率之關係，由台灣經濟新報(TEJ)資料庫中找尋相關變數之月資料做為資料來源，透過簡單迴歸與多元迴歸模型，輔以T檢定，驗證流動性對報酬率的影響。此外，本研究亦同時控制淨值市價比、公司規模大小以及beta值等可能影響報酬率之變數，一併探討我國證券市場中是否也同時存在淨值市價比效應與規模效應。由實證結果得知，在我國證券市場中流動性與報酬率呈現顯著負向關係且存在規模效應，但不存在淨值市價比效應。

關鍵字

報酬率 ； 買賣價差 ； 流動性 ； 週轉率

並列摘要

Rate of return has long been a focus of investor concern, while the rate of return is affected by many factors, in Amihud and Mendelson (1986) put forward the bid-ask spread as a proxy measure of liquidity to explore the rate of return, they receive follow-up academic discussion. Bid-ask spread is one of the measure liquidity for proxy variables, the study uses other methods to measure liquidity as a the proxy variable that is turnover rate to explore the relationship between liquidity and return by Taiwan Economic Journal database to find information on relevant variables as a source of information, through simple regression and multiple regression model, supplemented by T test, verify the liquidity how to effect on the rate of return. In addition, this study also control the ratio of book to market, the company size and beta values that may affect the rate of return, be examined whether Taiwan's stock market also exists book to market effect and size effect. The empirical results show, in our stock market liquidity and rate of return present a significant negative relationship and exists the size effect, but there is no book to market effect.

並列關鍵字

Rate of return ； Bid-Ask spread ； Liquidity ； Turnover rate

參考文獻

1. Amihud, Y. and H. Mendelson, 1986,“Liquidity and Stock

Auditing and Finance, 3, pp. 369-395.

3. Amihud, Y., & Mendelson, H., 1989, The effect of

computer base trading on volatility and liquidity. In:

Liquidity Be Measured?” Pacific-Basin Finance Journal,