造成台灣股市流動性共變的原因

The Sources of Liquidity Commonality on Taiwan Stock Market

陳愉婷

指導教授 ： 謝文良

國立交通大學/管理學院/財務金融研究所/碩士(2012年)

https://doi.org/10.6842/NCTU.2012.00308

摘要

本論文之目的為找出造成台灣股票市場流動性共變的原因。研究使用股票日內委託資料及日內成交資料計算八個流動性指標，分析流動性提供跨股票的共變現象。分別研究各類投資人(機構投資人、外資、個別投資人)跨股票的流動性共變顯著程度。並依據外資持股比例和個別投資人持股比例將股票分類，觀察各類型投資人的個股流動性對市場流動性的敏感程度。實證結果發現，個別投資人在各類股票的迴歸結果皆最為顯著，由此可知，個別投資人係造成台灣股市流動性共變的主要原因。

關鍵字

流動性共變

並列摘要

The purpose of this paper is to find out the sources of liquidity commonality on Taiwan stock market. To calculate eight liquidity proxies, we use the data consisting of limit order submissions and executions. We analyze the cross-sectional common liquidity provision of each trader types(domestic institutions、foreign institutions and retail traders). And, we divide sample stocks based on the holding proportion by foreign institutions and retail traders respectively to observe the commonality in liquidity provision of each trader types; the results of retail traders are the most significant for all quintile. This paper confirms that liquidity commonality on Taiwan stock market is driven by the retail traders.

並列關鍵字

Liquidity Commonality

參考文獻

Amihud, Y., “Illiquidity and stock returns: Cross-section and time series effects”,

Journal of Financial Markets, vol. 5, pp.31-56 , January 2002.

Brockman, P., and Chung, D. Y., “Commonality in liquidity: Evidence from an

Brockman, P., and Chung, D. Y., “Index Inclusion and Commonality in Liquidity: Evidence from the Stock Exchange of Hong Kong”, International Review of Financial Analysis, vol. 15, pp.291-305 , April 2006.

Chordia, T., Roll, R., and Subrahmanyam, A., “Commonality in liquidity ”,