金融危機中保險公司之無流動性交易

Illiquid Trades on Insurance Companies in Financial Crisis

楊斯傑(Szu-Chieh Yang)

指導教授 ： 蘇永成

國立臺灣大學/管理學院/財務金融學研究所/碩士(2011年)

https://doi.org/10.6342/NTU.2011.10871

摘要

2008年因為雷曼兄弟的倒閉，導致了一連串的股市恐慌性賣壓，並使市場處於缺乏流動性的情況，其中對保險公司的股票影響特別嚴重。因此，這篇論文目的是要檢驗保險公司股價的流動性與報酬的關係以及對造市者行為的影響。
實證結果發現如下：1. 造市者在金融海嘯之前日常存貨量不足，當遇到買賣單不均衡的情況，造市者因此被迫調整報價。而在金融海嘯之後，這個情況卻不復見。2. 造市者相信在當日出現的買賣單不均衡內含資訊不對稱，因此他們會調整報價以反映該資訊，在海嘯之前，造市者會部分調整，等待更新的資訊以確認之前的資訊為真。然而，在海嘯之後，造市者一遇到買賣單不均衡，會立即調整報價，因為他們確信在海嘯時的大單交易，內含資訊必定為真。3. 買賣單不均衡與股價的波動率之間關聯性很低，表示造市者對非預期的委託單變動有良好的應變能力，使其不至於大幅影響股價。4. 保險公司的流動性在海嘯之後確實變差。5. 雖然市場在海嘯後流動性變差，但投資人並沒有要求明顯的流動性溢酬。

關鍵字

金融海嘯 ； 買賣單不均衡 ； 流動性 ； 造市者 ； 保險公司

並列摘要

The bankrupt of Lehman Brothers in 2008 triggered a series of panic selling on stocks, especially the stock of insurance companies, which makes the illiquidity of stock markets. Therefore, in this study we examine the relation between insurance companies’ stock liquidity and return, and market makers’ behavior when market is illiquid.
Our empirical findings include 1. Before financial crisis market makers’ inventory level of stock is not sufficient, hence, they have to adjust quote price when they confront order imbalances. Nevertheless, the impacts of order imbalances become insignificant after crisis. 2. Market makers do not adjust quote price as much as to fully reflect the information because they need time to assert that the imbalances contain information before financial crisis. Nevertheless, they fully adjust quote price simultaneously when they confront large order imbalance after financial crisis, because they consider that large order imbalances are definitely informed trading when market is illiquid. 3. Connection between order imbalances and price volatility is low. It means that market makers have great ability to stable price volatility when facing the unexpected shocks. 4. Market of insurance companies has less liquidity after financial crisis. 5. While the market is illiquid after crisis, investors do not require significant higher liquidity premium.

並列關鍵字

order imbalancefinancial crisis ； insurance company ； market maker ； liquidity

參考文獻

1. Acharya, V., and L. Pedersen, 2005, Asset pricing with liquidity risk, Journal of Financial Economics 77, 385-410.

2. Admati, A. and P. Pfleiderer, 1988, A theory of intraday patterns: Volume and price variability, Review of Financial Studies 1, 3-40.

3. Amihud, Y., and H. Mendelson, 1986, Asset pricing and the bid-ask spread, Journal of Financial Economics 17, 223-249.

4. Amihud, Y., 2002, Illiquidity and stock returns: Cross-section and time-series effects, Journal of Financial Markets 5, 31-56.

5. Baker, M., and J. Stein, 2004, Market liquidity as a sentiment indicator, Journal of Financial Markets 7, 271-299.