本研究旨在探討隱含波動率指數對臺灣股票市場流動性之影響。首先,以臺指隱含波動率指數對臺灣股票市場流動性之關係與影響作為觀察,實證結果顯示臺指隱含波動率指數與臺灣股票市場流動性呈現顯著負相關,當臺指隱含波動率指數上升,會導致臺灣股票市場流動性降低,即當市場上波動起伏較為明顯時,會使得市場交易過程之交易成本提高,增加市場交易之困難度,進而降低臺灣股票市場流動性。其次,近來經濟與金融趨向全球化之發展,國際間金融市場與證券市場之關係日漸緊密,連動性大幅提升,本研究因而將美國芝加哥期權交易所之隱含波動率指數做進一步觀察,觀察美國隱含波動率指數對臺灣股票市場流動性之影響,實證顯示與臺指隱含波動率指數之影響呈不同走向,可能原因是臺指隱含波動率指數已接近充分反映美國隱含波動率指數之資訊。而隱含波動率指數富含多元資訊,且可揭露市場中投資者情緒變化,因此有「投資者情緒恐慌程度指標」之別稱,本研究進而觀察當臺灣投資者情緒過度恐慌,對臺灣股票市場流動性之影響,實證指出當投資者對市場未來走勢感到恐慌不安,會導致臺灣股票市場流動性降低。綜合言之,市場流動性為證券市場一大重要角色,又因影響市場流動性之因素非常廣泛,如金融環境、交易機制、投資者情緒與國際間情勢等,皆可能牽動市場的流動性,讓投資者瞭解市場流動性之重要性,與制定投資策略及風險評估時,可觀察更多更深入之面相。
The purpose of this study is to explore the impact of implied volatility indices on Taiwan stock market liquidity. First, the relationship between Taiwan's implied volatility index and the liquidity of Taiwan's stock market is observed. The empirical results show that Taiwan's implied volatility index is negatively correlated with the liquidity of Taiwan stock market. When Taiwan's implied volatility index rises, it will lead to a decrease in the liquidity of the Taiwan stock market, that is, when the volatility in the market is more obvious, it will increase the transaction costs of the market transaction process, increase the difficulty of market trading, and reduce the Taiwan stock market liquidity. This study further analyzes the impact of the implied volatility index on the liquidity of the Taiwan stock market. Empirical evidence shows that the influence is different. The possible reason is that Taiwan's implied volatility index is close to information that fully reflects the US Implied Volatility Index. In addition, this study observes the impact of Taiwanese investor sentimental panic on Taiwan's stock market liquidity. The empirical results that when investors are worried about the future trend of the market, will lead to Taiwan's stock market liquidity decline.