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研究生:盧廷瑞
研究生(外文):Ting-Jui Lu
論文名稱:股票市場流動性對經濟循環的預測能力
論文名稱(外文):The Predictive Ability of Stock Market Liquidity for the Business Cycle
指導教授:雷立芬雷立芬引用關係莊文議莊文議引用關係
指導教授(外文):Li-Fen LeiWen-I Chung
口試委員:劉祥熹李志宏
口試委員(外文):Hsiang-Hsi LiuJie-Haun Lee
口試日期:2020-06-15
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:農業經濟學研究所
學門:農業科學學門
學類:農業經濟及推廣學類
論文種類:學術論文
論文出版年:2020
畢業學年度:108
語文別:中文
論文頁數:69
中文關鍵詞:市場流動性共移性景氣循環流動性轉移安全性轉移
外文關鍵詞:market liquiditycommonality in liquiditybusiness cycleflight to liquidityflight to quality
DOI:10.6342/NTU202001711
相關次數:
  • 被引用被引用:0
  • 點閱點閱:143
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:1
長久以來,股票市場的流動性下降被認為是經濟不景氣的預兆,過去當許多重大事件發生時,股票市場的流動性普遍會大幅衰退。過去歷史與研究指出,投資者的投資組合構成隨經濟循環週期而變化,投資者的參與程度也與市場流動性有關,這表示在經濟較低迷時,股市流動性與「爭取流動性」 (flight to liquidity or flight to quality)有關。「爭取流動性」為一種金融市場現象,發生在投資者出售他們認為流動性較低或風險較高的投資,而購買更多流動性投資(例如美國國債)。經Næs et al. (2011)實證結果發現,股票流動性與經濟景氣循環確實具有強烈關係。本研究根據這篇文獻,將時間分成牛市與熊市,做更深入的研究,此外也增加了影響流動性之股票共移性當作預測的財務變數,分析財務變數與流動性變數和總體經濟變數之間的相關性,結果發現流動性變數不管在樣本內外都具有對總體經濟變數的預測能力。文末增加了Fama-French (1992)的三因子分別當作分組依據重新驗證預測經濟的效果,發現受到市場波動影響較大的組別具有較高的預測總體經濟變數的能力,驗證了美國不同交易所間依然具有相同情形。
From decades, the decline of liquidity within the stock market has been perceived as a harbinger of economic depression. The liquidity of stock market usually declines significantly when many big events occur. According to the historical record, the composition of investors’ investing portfolios vary as the economic cycle, the degree of investors’ involvements are also related to market liquidity. Namely, when economy recedes, the liquidity of the stock market and ‘flight to liquidity’ or ‘flight to quality’ are highly correlated. The flight to liquidity or flight to quality refers to a phenomenon of financial market that occurs when investors sell the investments they consider as less liquid or higher risk in exchange of more liquid investments such as US Treasury bonds. The empirical research conducted by Næs et al. (2011) indicated that stock liquidity has a strong relationship with the circulation of economy. This study is mainly based on the founding mentioned above and divide time into bull market and bear market to keep conducting deeper and comprehensive research. Moreover, in order to analyze the relationship between the financial variables, liquidity variables and overall economic variables, the commonality of stocks that affect liquidity has also been added as a predicted financial variable within this study. As a result, the liquidity variable through either in-sample forecasting or out-of-sample forecasting, has fairly premium ability to capture the overall economic variable. At the end of the study, three factors of Fama-French (1995) has also been added as the grouping basis to re-verify the effect of economic prediction, and it was found that the group which has been affected by market fluctuations more substantially, has better ability regarding the prediction of overall economy. Verify that the same situation still exists between different U.S. exchanges
目錄
摘要 I
ABSTRACT II
圖目錄 IV
表目錄 IV
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 2
第二章 文獻回顧 6
第三章 資料與研究方法 12
第一節 樣本範圍與資料來源 12
第二節 流動性變數與總體經濟變數 13
第三節 時間序列調整 16
第四章 實證結果與分析 17
第一節 敘述統計與相關係數分析 17
第二節 樣本內證據 21
第二節 樣本外證據 43
第五章 結論 64
參考文獻 65

圖目錄
圖1- 1流動性與景氣循環時間趨勢圖 3
表目錄
表4- 1:美國非流動性指標 19
表4- 2:美國非流動性指標間相關係數 19
表4- 3:變數間的相關係數 20
表4- 4:ILLIQ非流動性指標-熊市 24
表4- 5:ILLIQ非流動性指標-牛市 26
表4- 6:RS非流動性指標-熊市 28
表4- 7:RS非流動性指標-牛市 30
表4- 8:ILLIQ-C非流動性指標-熊市 32
表4- 9:ILLIQ-C非流動性指標-牛市 34
表4- 10:ILLIQ與ILLIQ-C非流動性指標-熊市 36
表4- 11:ILLIQ與ILLIQ-C非流動性指標-牛市 38
表4- 12:ILLIQ 41
表4- 13:RS 41
表4- 14:ILLIQ-C 41
表4- 15:不同流動性代理變數預測GDP成長 44
表4- 16:預測GDP成長:非流動性(dILLIQ)比對其他財務變數 45
表4- 17:預測GDP成長:財務變數比對自我回歸模型 45
表4- 18:用不同流非動性指標預測GDP成長-熊市 52
表4- 19:用不同流非動性指標預測GDP成長-牛市 52
表4- 20:Granger因果關係檢定 53
表4- 21:用不同流非動性指標預測GDP成長-熊市 57
表4- 22:用不同流非動性指標預測GDP成長-牛市 57
表4- 23:Granger因果關係檢定 58
表4- 24:用不同流非動性指標預測GDP成長-熊市 62
表4- 25:用不同流非動性指標預測GDP成長-牛市 62
表4- 26:Granger因果關係檢定 63
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