臺灣博碩士論文加值系統

本文探討市場面臨壓力狀態下，台灣股票市場中個別股票的流動性與市場之流動性共變 (liquidity commonality) 的關連程度。由於投資人僅能透過投資組合分散個別股票之流動性風險，但若市場存在流動性共變，也就是系統性的流動性風險時，投資人需承擔較高流動性風險，因此會要求較高風險溢酬。近年來爆發的金融海嘯，也引起市場對流動性共變議題的高度關注。本文分析不同市場狀態下之流動性共變，並同時考慮與流動性相關之委託單失衡(order imbalance)對個股流動性的影響。整體而言，實證結果顯示台股在面臨市場壓力時，流動性共變確實顯著增加，導致投資人承擔之風險提高。本文再進一步以公司市值來分析流動性共變與公司規模之關係，發現在以不同變數衡量流動性時，流動性共變程度與公司大小之關係並無一致的結果。此外，台灣流動性共變的程度較其他國家強烈，因此台灣股市投資人與金融市場監理機構應密切注意流動性風險對於台灣股票市場的影響。

This thesis studies liquidity commonality in the stock market under different phases of market states. Liquidity commonality implies the systemic liquidity risk, and investors cannot diversify this risk with portfolio allocation. If investors have to bear more liquidity risk, they might require more risk premium for compensation. The occurrence of recent financial crisis leads to increasing systemic risk. This thesis also investigates how liquidity commonality varies before and after the financial crisis. The empirical results show that commonality in liquidity increases during period of financial crisis. Further, we find the relation between the liquidity commonality measured by spread and that measured in depth have reverse relations with company capitalization. Overall, the results show that liquidity commonality in Taiwan stock market is stronger than in other countries.

目錄
中文摘要 i
英文摘要 ii
致謝 iii
目錄 iv
表目錄 v
圖目錄 v
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 3
第三節 研究架構 4
第二章 文獻回顧與探討 5
第一節 流動性共變相關文獻 5
第二節 流動性與委託單失衡相關文獻 7
第三節 流動性與金融危機相關文獻 8
第四節 流動性與報酬波動關相關文獻 10
第三章 研究方法與資料處理 11
第一節 樣本敘述及篩選處理 11
第二節 變數定義 12
第三節 模型設定 16
第四章 實證結果分析 20
第一節 敘述統計量 20
第二節 市場流動性共變 23
第三節 納入委託單失衡下之市場流動性共變 26
第四節 不同市場狀態下之流動性共變及規模效應 27
第五章 結論 41
參考文獻 43
附錄 48

英文部分：
1.Amihud, Y., 2002, “Illiquidity and Stock Returns: Cross-Section and Time-Series Effects”, Journal of Financial Markets, 5, 31-56.
2.Blume, M. E., Mackinlay, A. C., Terker, B., 1989, “Order Imbalance and Stock Price Movements on October 19 and 20, 1987”, Journal of Finance, 44, 827-848.
3.Brown, P., Walsh, D., Yuen, A., 1997, “The Interaction between Order Imbalance and Stock Price”, Pacific-Basin Finance Journal, 5, 539-557.
4.Bauer, W., 2004, “Commonality in Liquidity in Pure Order-Driven Markets”, Working Paper.
5.Brockman, P., Chung, D. Y., 2008, “Commonality under Stress： Evidence from an Order-Driven Market”, International Review of Economics and Finance, 17, 179-196.
6.Chordia, T., Roll, R., Subrahmanyam, A., 2000, “Commonality in Liquidity”, Journal of Financial Economics, 56, 3-28.
7.Chordia, T., Roll, R., Subrahmanyam, A., 2002, “Order Imbalance, Liquidity, and Market Returns”, Journal of Financial Economics, 65, 111-130.
8.Chordia, T., Subrahmanyam, A., 2004, “Order Imbalance and Individual Stock Returns： Theory and Evidence”, Journal of Financial Economics, 72, 485-518.
9.Coughenour, J. F., Saad, M. M., 2004, “Common Market Makers and Commonality in Liquidity”, Journal of Financial Economics, 73, 1, 37-69.
10.Chordia, T., Sarkar, A., Subrahmanyam, A., 2005, “An Empirical Analysis of Stock and Bond Market Liquidity”, Review of Financial Studies, 18, 85-130.
11.Domowitz, I., Wang, Z., 2002, “Liquidity, Liquidity Commonality and Its Impact on Portfolio Theory”, Working paper.
12.Engkuchik, E. N., Kaya, H. D., 2012, “The Impact of the Asian Crisis on Stock Market Liquidity： Evidence from the Malaysian Stock Exchange”, International Journal of Business and Social Science, 3, 8, 120-127.
13.Friederich, S., Payne, R., 2002, “Dealer Liquidity in an Auction Market： Evidence from the London Stock Exchange”, Working paper.
14.Fabre, J., Frino, A., 2004, “Commonality in Liquidity： Evidence from the Australian Stock Exchange”, Accounting and Finance, 44, 357-368.
15.Furfine, C., 2012, “Futures Market Liquidity during the Financial Crisis”, Working paper.
16.Goyenko, R., Ukhov, A., 2009, “Stock and Bond Market Liquidity： A Long-Run Empirical Analysis”, Journal of Financial and Quantitative Analysis, 44, 01, 189-212.
17.Goyenko, R., Subrahmanyam, A., Ukhov, A., 2011, “The Term Structure of Bond Market Liquidity and Its Implications for Expected Bond Returns”, Journal of Financial and Quantitative Analysis, 46, 1, 2011, 111-139.
18.Handa, P., Schwartz, R.A., Tiwari, A., 1998, “The Ecology of an Order-Driven Market”, Journal of Portfolio Management, 24, 2, 47-55.
19.Halka, G., Huberman, D., 2001, “Systematic Liquidity”, Journal of Financial Research, 24,161-178.
20.Hasbrouck, J., Seppi, D., 2001, “Common Factors in Prices, Order Flows and Liquidity”, Journal of Financial Economics, 59, 383-411.
21.Hameed, A., Kang, W., Viswanathan, S., 2010, “Stock Market Declines and Liquidity”, Journal of Finance, 65, 1, 257-293.
22.Jens, D. N., Gyntelberg, J., Sangill, T., 2012, “Liquidity in Government versus Covered Bond Markets”, Working Papers.
23.Kempf, A., Mayston , D., 2005, “Commonalities in the Liquidity of a Limit Order Book”, Technical Report, University of Colonge.
24.Kumar, S., Shah, A., 2006, “Commonality in Liquidity of an Open Electronic Limit Order Book Market”, Conference Paper.
25.Lien, B., Zurawski, A., 2012, “Liquidity in the Australian Treasury Bond Futures Market”, Reserve Bank of Australia, 49-58.
26.Narayan, P. K., Zhang, Z., Zheng, X., 2010, “Some Hypotheses on Commonality in Liquidity： New Evidence from the Chinese Stock Market”, Economics Series 2010_10, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
27.Omura, K., Tanigawa, Y. and Uno, J., 2000, “Execution Probability of Limit Order on the Tokyo Stock Exchange,” working paper.
28.Pukthuanthong-Le, K., Visaltanachoti, N., 2009, “Commonality in Liquidity： Evidence from Stock Exchange of Thailand”, Pacific Basin Finance Journal, 17, 1, 80-99.
29.Schwartz, R.A., Cohen, L.M., 1993, “Reshaping the Equity Markets： A Guide for the 1990s”, Business One Irwin, 126-128.
30.Shen, P., Starr, R. M., 2002, “Market-Makers’ Supply and Pricing of Financial Market Liquidity”, Economics Letters, 76, 53-58.
31.Sahar M. R. Mahran, 2011, “Study the Impact of the Global Crisis on Stock Prices and Liquidity in the Stock Market”, Conference Paper.

中文部分：
1.吳嘉峻，「市場與指數流動性共變實證分析­-以台灣股票市場為例」，淡江大學財務金融學系碩士論文，2009。
2.林怡君，「個股流動性分析及金融風暴的影響—以台灣50為例」，朝陽科技大學保險金融管理系碩士論文，2009。
3.林楷模，「波動率指數期貨與標準普爾500指數成分股之流動性共變」，台灣大學財務金融系碩士論文，2009。
4.柯美珠、蕭慧玲與邱敬貿，「市場深度、價差與委託單不均衡之關聯分析」，績效與策略研究，3(2)，129-156頁，2006。
5.陳永盛，「台灣股票市場委託單不均衡與流動性共變關係之分析」，淡江大學財務金融學系碩士論文，2009。
6.游宗翰，「台灣證劵市場之流動性共變現象市場狀態與波動性高低之實證研究」，淡江大學財務金融學系碩士論文，2009。
7.黃玉娟、林明白，「買賣單不平衡、價差和報酬之探討：以台指期貨在台灣期貨交易所及新加坡交易所為例」，財務金融學刊，11(2)，71-98頁，2003。
8.謝文良、林苑宜，「台灣股市之流動性共變現象」，《證券市場發展季刊》，24(4)， 135-186頁，2012。