過去流動性的文獻多以個別股票為主,Chordia, Roll and Subrahmanyam (2000)的研究中發現股票會隨共同因素所影響,此現象稱為流動性共變。影響流動性共變有很多原因,如:持股比例、投資人情緒等,在遇到金融危機事件會更加影響流動性共變的強烈度。本文以金融海嘯劃分為三個區間,用四項流動性指標探討流動性共變在三個區間的變化,實證結果台灣股市確實存有流動性共變,在金融海嘯時期最為強烈;其次,用情緒指標則是劃分情緒高與情緒低,顯示投資人在情緒低迷時,流動性共變會更加明顯。
Financial Markets pay attention to liquidity of individual equities, but the stock was affected with the common liquidity factors from Chordia, Roll and Subrahmanyam (2000), and it is called “commonality in liquidity.” There are many factors to affect commonality in liquidity, such as shareholding ratio or investor sentiment. And commonality in liquidity is strongly influenced when the financial crisis happens. This study is divided into three intervals of the financial crisis, and uses four liquidity indicators to examine the change during the crisis. The results show that commonality in liquidity is exist in Taiwan stock market, and the strongest when the financial crisis happens. Secondly, we divide to high emotional and low emotional of sentiment measures, and the result shows commonality in liquidity is obvious in low emotional.