股票市場流動性對經濟循環的預測能力

長久以來，股票市場的流動性下降被認為是經濟不景氣的預兆，過去當許多重大事件發生時，股票市場的流動性普遍會大幅衰退。過去歷史與研究指出，投資者的投資組合構成隨經濟循環週期而變化，投資者的參與程度也與市場流動性有關，這表示在經濟較低迷時，股市流動性與「爭取流動性」 (flight to liquidity or flight to quality)有關。「爭取流動性」為一種金融市場現象，發生在投資者出售他們認為流動性較低或風險較高的投資，而購買更多流動性投資（例如美國國債）。經Næs et al. (2011)實證結果發現，股票流動性與經濟景氣循環確實具有強烈關係。本研究根據這篇文獻，將時間分成牛市與熊市，做更深入的研究，此外也增加了影響流動性之股票共移性當作預測的財務變數，分析財務變數與流動性變數和總體經濟變數之間的相關性，結果發現流動性變數不管在樣本內外都具有對總體經濟變數的預測能力。文末增加了Fama-French (1992)的三因子分別當作分組依據重新驗證預測經濟的效果，發現受到市場波動影響較大的組別具有較高的預測總體經濟變數的能力，驗證了美國不同交易所間依然具有相同情形。

關鍵字

市場流動性；共移性；景氣循環；流動性轉移；安全性轉移

並列摘要

From decades, the decline of liquidity within the stock market has been perceived as a harbinger of economic depression. The liquidity of stock market usually declines significantly when many big events occur. According to the historical record, the composition of investors’ investing portfolios vary as the economic cycle, the degree of investors’ involvements are also related to market liquidity. Namely, when economy recedes, the liquidity of the stock market and ‘flight to liquidity’ or ‘flight to quality’ are highly correlated. The flight to liquidity or flight to quality refers to a phenomenon of financial market that occurs when investors sell the investments they consider as less liquid or higher risk in exchange of more liquid investments such as US Treasury bonds. The empirical research conducted by Næs et al. (2011) indicated that stock liquidity has a strong relationship with the circulation of economy. This study is mainly based on the founding mentioned above and divide time into bull market and bear market to keep conducting deeper and comprehensive research. Moreover, in order to analyze the relationship between the financial variables, liquidity variables and overall economic variables, the commonality of stocks that affect liquidity has also been added as a predicted financial variable within this study. As a result, the liquidity variable through either in-sample forecasting or out-of-sample forecasting, has fairly premium ability to capture the overall economic variable. At the end of the study, three factors of Fama-French (1995) has also been added as the grouping basis to re-verify the effect of economic prediction, and it was found that the group which has been affected by market fluctuations more substantially, has better ability regarding the prediction of overall economy. Verify that the same situation still exists between different U.S. exchanges