越南股市個股流動性探討

INDIVIDUAL STOCK LIQUIDITY IN VIETNAM

阮氏芳草(Thi-Phuong-Thao Nguyen)

指導教授 ： 林鳴琴

朝陽科技大學/管理學院/財務金融系/碩士(2014年)

摘要

越南股市近幾年發展迅速，股價屢屢大漲也引來全球資金注意，因此針對越南股市特性進行探討將有助於投資人對越南股市的瞭解。資產流動性是金融市場重要的表徵， 本文選取越南主要產業中56家公司為研究對象，探討個股流動性和報酬率間之關係，資料期間自2007年至2012年。本文採用交易量做為個股流動性的替代變數。解釋變數則包括：個股報酬率、市場報酬率、個股波動程度、市場波動程度。根據本文實證結果，對大多數公司而言，個股報酬率、市場報酬率和交易量之間具有正向關係。顯示報酬率較高時，個股流動性也較高。

關鍵字

個股流動性 ； 市場報酬率 ； 個股報酬率 ； 交易量

並列摘要

We select 56 firms that belong Vietnam’s main industries to find the relation between asset liquidity are stock returns. We use trading volume to be the proxy of asset liquidity. The explanatory variables include firm specific return, market return, the idiosyncratic volatility and the volatility of the market return. Based on our empirical results, the firm specific returns and market return are positive related to trading volume for most of the selected companies.

並列關鍵字

Asset Liquidity ； Volatility ； Explanatory Variables ； Trading Volume

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Brunnermeier, Markus, and Lasse Pedersen, (2009), Market Liquidity and Funding Liquidity, Review of Financial Studies 22, 2201-2238.