臺灣博碩士論文加值系統

文獻中針對股利發放對流動性影響的研究主題較缺乏，而流動性一直被實務者、研究者和主管機關所重視，因為市場流動性對於金融資產的價格有直接且重要的影響。因此本研究想衡量台灣上市公司股票除權除息後的流動性變化，藉由觀察公司在發放股票股利或現金股利的期間，是否會改變投資人的交易行為而使的股票流動性改變。本研究以股利的發放日為事件日，比較事件前後以買賣價差、流動比率及市場深度等三種衡量流動性指標的變化及觀察造成有效價差變動的原因是否來自於資訊不對稱。實證結果顯示，以買賣價差、流動比率與市場深度衡量的結果為事件後流動性下降。以資訊不對稱衡量的結果為事件後無助於減低資訊不對稱的現象。

關鍵字 現金股利 股票股利 流動性

Owing to the lack of the impact of dividend on liquidity, we provide evidence on this subject in Twain Stock Exchange. The liquidity has being focused by practice, researcher and the government monitor, because it has direct and important influence on asset price. This research use ex-dividend day as the event day, and we use effective spread, liquidity ratio and market depth to measure the liquidity. Furthermore we investigate whether the effective spread change comes from asymmetric information. We compare the liquidity before and after and the event. Our evidence shows that the liquidity decreases after the event, especially for small companies. We guess that the event does not release inside information to the market and informed traders trade more aggressive after the event. The condition may be obvious for small companies.

Keyword : cash dividend, stock dividend, liquidity

目錄

摘要 I
Abstract II
致謝辭 III
目錄 IV
圖目錄 V
表目錄 VI
一、 緒論 1
1. 研究動機與目的 1
2. 研究內容 3
二、 文獻探討 4
1. 股利的意義及文獻 5
2. 流動性的定義及重要性 7
3. 流動性衡量的方法 10
4. 流動性相關文獻 13
5. 小結 14
三、 研究方法 15
1. 資料的蒐集與整理 15
2. 變數的衡量 16
四、 實證結果 19
1. 以有效價差衡量流動性的變化 19
2. 流動性的變化來自資訊不對稱? 21
3. 以流動比率來衡量流動性 23
4. 以市場深度來衡量流動性 25
五、 結論與建議 27
參考文獻 28

林宏彥，(2008)，「股票市場流動性與股利政策」，中正大學財務金融所，碩士論文。
張雅惠，(2001)，「台灣上市公司現金股息宣告效果之研究」，義守大學管理科學研究所，碩士論文。
黃致超，(2003)，「我國上市公司股票股利除權後對長期績效影響之研究」，南華大學財務管理研究所，碩士論文。
楊世芬，(2000)，「台灣上市公司現金股利宣告效果之實證研究」，義守大學管理科學研究所，碩士論文。
詹場、胡星陽，（2000），「流動性衡量方法之綜合評論」，國家科學委員會研究彙刊，第11卷第3期，205-221。

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