臺灣博碩士論文加值系統

有鑑於金融風暴爆發之前，各國股票指數及週轉率都異常增加甚至創新高之現象，以及金融風暴時股價發生崩盤，致使許多投資人血本無歸，因此本研究利用週轉率作為股票流動性的衡量指標，並以臺灣上市電子類股作為研究對象，探討股票流動性與崩盤風險之間的關係。本研究之實證結果發現，股票流動性並不會有穩定股價的作用，反而會促使股價發生崩盤風險。本研究豐富了股票流動性及股價崩盤風險之相關文獻，並從微觀經濟視角瞭解股票流動性對股價崩盤風險的影響。

In the past, the global stock market has experienced a phenomenon of "skyrocket and drop sharply". Many people''s property has disappeared overnight. This article observes that before the outbreak of the financial turmoil, the stock index and turnover rate of various countries have increased abnormally or even reached new highs. The reason for the crash risk is the liquidity of the stock and there is a positive relationship between the two. This study uses the turnover rate as a measure of stock liquidity, and uses Taiwan-listed electronic stocks as the research object to explore the impact of stock liquidity and crash risk. The empirical results show that the liquidity of the stock will not have the effect of stabilizing the stock price, but will cause the stock price to collapse. After adding other control variables for testing, the results of this study remain unchanged. This empirical results of this study enriches the relevant literature on stock liquidity and stock price crash risk, and understands the effect of stock liquidity on stock price crash risk from a microeconomic perspective.

摘要 i
ABSTRACT ii
誌謝 iii
目次 iv
圖目次 vi
表目次 vii
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 7
第三節 研究架構及流程 8
第二章 文獻探討 9
第一節 股票流動性 9
第二節 股票流動性與崩盤風險之關係 11
第三章 研究方法 13
第一節 研究樣本及資料來源 13
第二節 研究假說 13
第三節 變數定義 14
第四章 實證結果 17
第一節 敘述統計 17
第二節 皮爾森相關分析 19
第三節 實證結果 21
第五章 結論與建議 24
第一節 結論 24
第二節 建議 25
參考文獻 26

中文部分
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胡星陽 (1998)，「流動性對台灣股票報酬率的影響」，中國財務學刊，第5卷，第4期，頁1-19。
郎偉芳 (2011)，「此次金融危機的影響及各國因應措施之探討」，行政院經濟建設委員會綜合計劃處，頁165-202。
郭秋榮 (2009)，「全球金融風暴之成因對我國影響及因應對策之探討」，經濟研究，第9 期，頁59-89。
陳美菊 (2009)，「全球金融危機之成因影響及因應經濟研究」，經濟研究年刊，第9期，頁261-296。
詹場、胡星陽 (2001)，「流動性衡量方法之綜合評論」，國家科學委員會研究彙刊：人文及社會科學，第11卷，第3期，頁205-221。
鄒萍 (2015)，「貨幣政策、股票流動性與股票價格暴跌風險」，南方經濟，第33卷，第7期，頁29-46。
蕭翠玲 (2009)，「國際因應次貸危機措施對國內改進流動性管理之借鏡」，國際金融參考資料，第57期，頁46-94。
戴馨 (2018)，「股票流動性與股價崩盤風險關係的研究」，哈爾濱工業大學碩士論文。

英文部分
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