各類投資人流動性提供差異之研究

Time-Varying Liquidity Provision

周俊宇(Chun-Yu Chou)

指導教授 ： 林蒼祥

共同指導教授 ： 蔡蒔銓(Shih-Chun Tsai)

淡江大學/商管學院/財務金融學系碩士班/碩士(2013年)

https://doi.org/10.6846/TKU.2013.01033

摘要

我們每天都可以觀察到股市成交量隨時間流逝所變動的情形，卻無法解釋各類投資人流動性提供差異的行為，本研究企圖建構出投資人提供流動性的代理變數，並藉此探討投資人流動性提供差異之原因。
本研究將投資人區分為外資、大額散戶、小額散戶、自營商及其他國內法人五類，之後再把各類投資人的下單行為分成積極與消極兩類，研究市況與公司性質對投資人提供流動性之影響變化。
實證結果顯示，各類投資人都會顯著提供市場流動性。小額散戶會選擇股票週轉率高和低帳面市值比的公司提供流動性。大額散戶與機構投資人都會選擇市值大與高股票週轉率的公司提供流動性，並且發現自營商為小公司流動性的主要提供者。
市況對小額散戶提供流動性的影響均為正相關，與大額散戶提供流動性之行為差異頗大。而市況對機構投資人提供流動性的影響是一致的，當委託單不平衡、價格波動度與資訊不對稱愈高時，對機構投資人提供流動性的影響是增加的。市場雜訊愈高則會讓機構投資人減少流動性的提供。
最後本研究利用資訊不對稱與雜訊對投資人流動性提供差異的影響，判斷大額散戶為流動性交易者，積極的小額散戶為雜訊交易者，積極的機構投資人則為資訊交易者。

關鍵字

積極度 ； 流動性 ； 價差 ； 資訊不對稱

並列摘要

The trading volume of Taiwan stock market changes over time, but we can’t actually explain the difference between the liquidity provided by different types of investors, therefore, in this study we observe the trading behavior of the stock market traders, and try to analyze the reason why different types of investors does not provide the same liquidity.
We separate the investors in to five groups and categorize the orders into two types, aggressive and passive, then investigate the impact of market and corporate types on the liquidity provided by investors.
The evidence shows that all kinds of investors significantly provide market liquidity. Small individual traders would prefer trading stock with high turnover rate and low book-market ratio. On the other hand, big individual traders and institutional investors would rather trade the stock with large-cap and high turnover rate, and we also find that dealer is the main liquidity provider of small-cap stock.
Market and the liquidity provided by small individual traders are positively correlated, that is differ from the big individual traders. However, market influence the institutional investor in the same way, they provide higher liquidity when orders imbalance, price volatility and information asymmetry go higher, but provide less liquidity when market noise is high.
Finally, we observe information asymmetry proxies and market noise proxies. We conclude that big individual investors are liquidity traders, while aggressive small individual investors are noise traders, and institutional investors are informed traders.

並列關鍵字

Aggressive ； Liquidity ； Spread ； Information Asymmetry

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