摘要 本文探討投資者信用交易行為對資產流動性的影響,其中投資人信用交易行為中又以融資餘額為主要研究對象。台灣證券市場相較於以機構投資者為主的市場組成結構,市場中的自然人,亦即個別投資人,佔有相當大的比重,其交易活動對於股票集中市場之影響不容忽視。對於個別投資人而言,信用交易的使用更加深了投資人對資產流動性的需求,因此,本文認為融資餘額的變化應該也是影響資產流動性的因素之一。 故本研究以2013年6月公告之台灣50指數成分股票為研究對象,樣本期間包括2003年1月至2013年12月,並採用混合資料 (pooled data) 迴歸來檢驗個股資產流動性與投資者融資交易行為的關係。實證結果顯示,融資餘額變動率對於流動性是有顯著的正向影響。此外,個股報酬率及個股波動性對資產流動性亦呈現正向且顯著影響。
Abstract This paper discusses the effects of margin trading on asset liquidity. The trading activities of individual investors constitute a large share of transactions in Taiwan’s stock market. For individual investors, margin trading will deepen investors’ demand for asset liquidity. Therefore, we believe that change in balance of margin loan is one of the factors that affect asset liquidity. This empirical study selects the data from the stocks included in Taiwan 50 Index. The sample period is from January 2003 to December 2013. We use pooled data regression to examine the relationship between asset liquidity and margin trading. The empirical results show that the rate of change in the balance of margin loan has a significant positive effect on asset liquidity. In addition, stocks return and stock volatility also show positive and significant effects.