Title

融資交易對資產流動性的影響

Translated Titles

Margin Trading and Asset Liquidity

Authors

吳韜奎

Key Words

流動性不足 ; 週轉率 ; 混合資料 ; 融資餘額 ; 資產流動性 ; Pooled Data ; Balance of Margin Loan ; Asset Liquidity ; Turnover Ratio ; Illiquidity

PublicationName

朝陽科技大學財務金融系學位論文

Volume or Term/Year and Month of Publication

2014年

Academic Degree Category

碩士

Advisor

方世詮;林鳴琴

Content Language

繁體中文

Chinese Abstract

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。

English Abstract

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.

Topic Category 管理學院 > 財務金融系
社會科學 > 財金及會計學
Reference
  1. 王咨淳,2012。台灣股市流動性與影響景氣循環因素,臺灣大學經濟學研究所學位論文。
    連結:
  2. 曾秋萍,2009。台灣公債市場流動性影響因素─成交量高峰前後期之探討,淡江大學財務金融學系碩士在職專班學位論文。
    連結:
  3. 鄭舜仁,2004。探討影響股票流動性的因素-以時間數列橫斷面探討公司規模、股權結構與資訊不對稱,管理科學與統計決策,第一卷第一期,85-97。
    連結:
  4. Amihud, Y., 2002. Illiquidity and stock returns: cross-section and time-series effects, Journal of financial markets, 5(1), 31-56.
    連結:
  5. Amihud, Y., and Mendelson, H., 1989. The Effects of Beta, Bid‐Ask Spread, Residual Risk, and Size on Stock Returns, The Journal of Finance, 44(2), 479-486.
    連結:
  6. Brunnermeier, M. K., and Pedersen, L. H., 2009. Market liquidity and funding liquidity, Review of Financial studies, 22(6), 2201-2238.
    連結:
  7. Chordia, T., Roll, R., and Subrahmanyam, A., 2000. Commonality in liquidity, Journal of Financial Economics, 56(1), 3-28.
    連結:
  8. Chordia, T., Roll, R., and Subrahmanyam, A., 2001. Market liquidity and trading activity, The Journal of Finance, 56(2), 501-530.
    連結:
  9. Chordia, T., Sarkar, A., and Subrahmanyam, A., 2005. An empirical analysis of stock and bond market liquidity, Review of Financial Studies, 18(1), 85-129.
    連結:
  10. Demsetz, H., 1968. The cost of transacting, The Quarterly Journal of Economics, 82(1), 33-53.
    連結:
  11. Fleming, M. J., 2001. Measuring treasury market liquidity (No. 133), Staff Report, Federal Reserve Bank of New York.
    連結:
  12. Granger, C. W., and Newbold, P., 1974. Spurious regressions in econometrics, Journal of econometrics, 2(2), 111-120.
    連結:
  13. Gromb, D., and Vayanos, D., 2002. Equilibrium and welfare in markets with financially constrained arbitrageurs, Journal of financial Economics, 66(2), 361-407.
    連結:
  14. Hamao, Y., and Hasbrouck, J., 1995. Securities trading in the absence of dealers: Trades and quotes on the Tokyo Stock Exchange, Review of Financial Studies, 8(3), 849-878.
    連結:
  15. Hameed, A., Kang, W., and Viswanathan, S., 2010. Stock market declines and liquidity, The Journal of Finance, 65(1), 257-293.
    連結:
  16. Hardouvelis, G. A., 1988. The predictive power of the term structure during recent monetary regimes, Journal of Finance, 43(2), 339-356.
    連結:
  17. Hasbrouck, J., and Seppi, D. J., 2001. Common factors in prices, order flows, and liquidity, Journal of financial Economics, 59(3), 383-411.
    連結:
  18. Jacoby, G., Fowler, D. J., and Gottesman, A. A., 2000. The capital asset pricing model and the liquidity effect: A theoretical approach, Journal of Financial Markets, 3(1), 69-81.
    連結:
  19. Karolyi, G. A., Lee, K. H., and Van Dijk, M. A., 2012. Understanding commonality in liquidity around the world, Journal of Financial Economics, 105(1), 82-112.
    連結:
  20. Koch, A., Ruenzi, S., and Starks, L., 2010. Commonality in liquidity: a demand-side explanation, In AFA 2010 Atlanta Meetings Paper.
    連結:
  21. Kyle, A. S., and Xiong, W., 2001. Contagion as a wealth effect, Journal of Finance, 56(4), 1401-1440.
    連結:
  22. Lehmann, B. N., and Modest, D. M., 1994. Trading and liquidity on the Tokyo stock exchange: a bird's eye view, Journal of Finance, 49(3), 951-984.
    連結:
  23. Næs, R., Skjeltorp, J. A., and Ødegaard, B. A., 2011. Stock market liquidity and the business cycle, Journal of Finance, 66(1), 139-176.
    連結:
  24. O'hara, M., 1995. Market microstructure theory (Vol. 108), Cambridge, MA: Blackwell.
    連結:
  25. Phillips, P. C., and Perron, P., 1988. Testing for a unit root in time series regression, Biometrika, 75(2), 335-346.
    連結:
  26. Roll, R., 1984. A simple implicit measure of the effective bid‐ask spread in an efficient market, Journal of Finance, 39(4), 1127-1139.
    連結:
  27. Schwert, G. W., and Seguin, P. J., 1990. Heteroskedasticity in stock returns, Journal of Finance, 45(4), 1129-1155.
    連結:
  28. Seguin, P. J., 1990. Stock volatility and margin trading, Journal of Monetary Economics, 26(1), 101-121.
    連結:
  29. Sias, R. W., and Starks, L. T., 1997. Return autocorrelation and institutional investors, Journal of Financial economics, 46(1), 103-131.
    連結:
  30. Stoll, H. R., 1989. Inferring the Components of the Bid‐Ask Spread: Theory and Empirical Tests, Journal of Finance, 44(1), 115-134.
    連結:
  31. Wermers, R., 1999. Mutual fund herding and the impact on stock prices, Journal of Finance, 54(2), 581-622.
    連結:
  32. 參考文獻
  33. 中文文獻
  34. 許志豪,2013。影響流動性共性的因素探討:台灣股票市場實證,國立臺北商業技術學院財務金融研究所學位論文。
  35. 詹場、胡星陽,2001。流動性衡量方法之綜合評論,行政院國家科學委員會研究彙刊:人文及社會科學,第十一卷第三期,205-221。
  36. 謝文良、林允永,2005。流動性與價格發現之研究,淡江大學財務金融學系暨研究所研究報告。
  37. 蘇香珍,2006。台灣公債市場流動性影響因素探討,國立中正大學財務金融所學位論文。
  38. 英文文獻
  39. Handa, P., and Schwartz, R. A., 1996. Limit order trading, The Journal of Finance, 51(5), 1835-1861.
  40. Lippman, S. A., and McCall, J. J., 1986. An operational measure of liquidity, American Economic Review, 76(1), 43-55.
  41. Vayanos, D., 2004. Flight to quality, flight to liquidity, and the pricing of risk (No. w10327), National Bureau of Economic Research.
Times Cited
  1. 張以誠(2015)。資訊模糊與回饋交易。長榮大學經營管理研究所學位論文。2015。1-45。