系統流動性與風險定價

Systematic liquidity and risk pricing

歐新成(San-Seng Ao)

指導教授 ： 謝文良

國立交通大學/管理學院/財務金融研究所/碩士(2010年)

https://doi.org/10.6842/NCTU.2010.00297

摘要

自Amihud & Mendelson (1986)提出流動性溢酬理論後，流動性風險開始被定價，但仍停留在對個別流動性指標的探討上，而由於Chordia et al. (2000)發現流動性共變現象後，對流動性的探討也由總流動性風險轉變為系統流動性風險，即證券的個別流動性風險可以經過多元分散的投資組合予以分散，但是在對流動性的衡量上始終缺乏統一的指標。本研究的焦點是探討流動性的成份，根據流動性的特質選取13 個流動性指標，使用因子分析法根據其共變異的情況將指標分類，其結果分為市場寬度、即時性、市場深度以及彈性4 個面向。最後，對每一個流動性面向進行風險定價，在控制了市場風險、
規模、帳面市值比這三個共同風險因子後，即時性、彈性這兩個面向存在著顯著的異常報酬，即台灣證券市場的市場流動性屬於系統性風險的一部份，投資人承擔流動性風險可獲得風險溢酬。

關鍵字

系統流動性 ； 流動性面向 ； 流動性風險溢酬 ； 共變 ； 因子分析

並列摘要

Since Amihud & Mendelson (1986)proposed the liquidity premium theory, the liquidity risk factor was applied in the asset pricing model but only stay to research for the individual liquidity indicator . Because of Chordia et al. (2000)found strong liquidity co-movement across stocks , the research focus for the liquidity is from total liquidity risk to systematic liquidity risk .The measurement of liquidity is always lack of standard methods ,the focus of this study is to explore the component of liquidity , there use 13 liquidity measure according to characteristics of liquidity ,this research method use factor analysis to classify liquidity
measures according to their co-variance’s portion .The result is that liquidity can separate four dimensions about market breadth、immediacy、market depth and resiliency .And finally ,liquidity risk pricing is executed for every liquidity dimension after control risk factor as market risk、size、book-to-market ratio ,the result is that stock market have abnormal return for two liquidity dimension about immediacy and resiliency .The market liquidity is a part of the systematic risk in the Taiwan stock market ,investors sustain liquidity risk to gain risk
premium.

並列關鍵字

systematic liquidity ； liquidity dimension ； liquidity risk premium ； co-movement ； factor analysis

參考文獻

胡星陽(1998)，流動性對台灣股市報酬率的影響，中國財務學刊，第五卷第四期，頁1-19。

林靖中(2005)，台灣50 指數股票型基金對標的指數成分股之影響，國立成功大學企業管理研究所博士論文。

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

Amihud, Y.,& Mendelson,H. (1989). The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns. The Journal of Finance ,44,479-486

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