臺灣博碩士論文加值系統

本論文主要研究主題為股票市場流動性的共同影響因子，並檢定總體經濟變數是否能對股票市場整體流動性的變動提供解釋。
過去對於流動性相關主題的研究多半著重於個別股票流動性與其股價高低，股價變動程度以及公司個別事件如股票分割等對其股票流動性所造成的影響。而本文則是針對在台灣股票市場交易之個股為標的，探討總體經濟變數對股票市場整體流動性的影響。與過去文獻實證結果相同的是，台灣股票市場交易的不同個股之流動性的確存在共同的影響因子。而在流動性解釋因子的實證方面，結果顯示總體經濟變數中的匯率，工業生產指數，以及貨幣供給額之變動率皆對股票之流動性有正面的影響。而利率與通貨膨脹變動率則與股票流動性存在著負向的相關性。除此之外，本研究也發現以上各總體變數對股票流動性的影響力會隨景氣循環的不同階段而有所差異。
本論文之實證結果不但增進我們對股票市場整體流動性長期變化的了解，同時也更進一步建立起總體經濟與股票市場流動性之間的關聯。

This study investigates the common factors of the stock market liquidity and examine whether the variations of liquidity can be explained by the general macroeconomic variables. In contrast with pervious research which focuses on the firm-specific determinants of liquidity, our study emphasizes the influence of a macro-perspective aspect on the market-wide liquidity. Consistent with what other studies documented in the U.S. security market, we first evidence commonality in liquidity in Taiwan stock market. We also find exchange rate, industrial production index, and money supply are positively correlated with stock liquidity while interest rate and inflation rate are negatively related to liquidity. Furthermore, we show that macroeconomic variables impose influences of different magnitudes on stock liquidity during different stages of business cycles though the empirical results are not statistically significant in our study. This research helps us learn more about the relationship between stock market liquidity and the macro economy and provides another prospect of how liquidity changes in the long run.

Abstract.....................................................Ⅰ
Contents.....................................................Ⅱ
1.Introduction...............................................1
2.Literature Review..........................................6
2.1Commonality in Liquidity.................................6
2.2Relationship between Stock Returns and Macro-economic Factors......................................................7
3.The Data...................................................9
4.Liquidity Measures.........................................11
5.Seasonality in Liquidity...................................14
6.Empirical Systematic Movements in Measures of Liquidity....19
6.1Empirical evidence of common factors of liquidity........19
6.2Economic Variables and Systematic Liquidity..............25
6.2.1The Macroeconomic Variables...........................26
6.2.2Empirical Tests and Returns...........................32
6.3Business Cycle and Liquidity.............................38
6.3.1The Business Cycle....................................38
6.3.2Empirical Results.....................................41
6.3.3Economic Variables and Business Cycle.................46
7.Conclusion.................................................49
References...................................................51

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