融資交易對個股流動性的不對稱影響

本文旨在探討融資交易對資產流動性的不對稱影響。在證券市場個別投資人比重相當大的台灣，融資交易使投資人要求更多的資產流動性。2008年金融風暴對市場信用交易帶來巨大的衝擊，使得流動性惡化，因此本文認為，融資餘額下跌時，對資產流動性的影響更加強烈。本文並且進一步觀察市場在資金緊縮時期，流動性不對稱影響是否會加劇。本研究以2017年12月公布之台灣中型100之成分股作為研究標的，樣本期間從2008年1月至2017年12月，共計10年。採用篩選過後64家公司以迴歸分析法檢視個股流動性受哪些因素影響。本文使用Amihud(2002)提出之流動性不足指標(Illiquidity)作為應變數，融資餘額變動率作為解釋變數，市場報酬率、個股報酬率、市場波動度、個股波動度作為控制變數。研究結果發現，融資交易確實對流動性有著不對稱影響，且在資金緊縮時期，不對稱影響更強烈。此外，64家樣本公司中，市場波動度對流動性不足指標有42家呈正向顯著影響、個股波動度對流動性不足指標59家呈負向且顯著影響。

關鍵字

流動性不足；融資餘額；資金緊縮

並列摘要

This paper discusses the asymmetric effects of margin trading on stock liquidity when balance of margin goes up or down. Furthermore, we observe whether the effects will strengthen if capital in the market becomes tight. Margin trading will lead investors to demand more assets liquidity. For instance, financial crisis made huge impacts on margin trading in 2008. Therefore, we believe the effects of margin balance changes on asset liquidity are stronger when margin balance declines. This study selects the data from the stocks included in Taiwan Mid Cap 100 index. The sample period is from January 2008 to December 2017. We use regression model to examine the asymmetric effects of margin trading on stock liquidity for individual stocks. The empirical results show that the margin trading has significant asymmetric effect on stock liquidity, and that asymmetric effects are stronger when capital in the market becomes tight. In addition, market volatility shows significant positive effects, and individual stock volatility shows significant negative effects.