本研究係探討股票市場流動性與景氣循環之關係,樣本期間為1990年1月至2010年12月,選取台灣景氣變動之變數與流動性衡量指標(ILR流動性不足指標、週轉率指標),建立迴歸模型,並檢視股市流動性是否領先景氣循環。本文利用1990年到2010年季資料,所選取之變數包括:ILR流動性不足指標、週轉率指標、台灣景氣變動、風險溢酬及每季日報酬之標準差,藉此找出各別變數間之關係。 本研究結果發現,週轉率指標對於台灣景氣變動具有領先效果,但以流動性不足ILR指標而言,卻未有週轉率領先效果解釋力為佳。週轉率領先景氣循環變數一季,且為正向影響。因此本文認為以迴歸結果來看,週轉率可做為台灣景氣變動之領先指標。以VAR之結果發現流動性不足ILR指標及週轉率指標皆對於台灣景氣變動具有領先效果。
This study discusses the relation between the stock market liquidity and macroeconomic business cycle variables in Taiwan. We choose illiquidity measure ILR in Amihud (2002) and turnover ratio to be two indicators of stock market liquidity. The sample period is from January 1990 to December 2010. By using Regression Analysis model, we examine whether the stock market liquidity is s leading indicator of the businesses cycle in Taiwan. This study finds that turnover ratio has leading effects on Recession of Taiwan, but illiquidity measure ILR isn’t better than turnover ratio. Turnover ratios are positively ahead of business cycle variables about one season. Therefore, we think that the turnover ratio can be used as a leading indicator of the Recession of Taiwan.