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研究生:施駿敏
研究生(外文):SHIH, JYUN-MIN
論文名稱:台灣股票市場流動性和央行貨幣政策關聯性之研究
論文名稱(外文):A Study on the Relationship between Liquidity of Taiwan Stock Markets and Monetary Policy
指導教授:黃金生黃金生引用關係
指導教授(外文):HUANG,CHIN-SHENG
口試委員:陳佳政徐鼎欣
口試委員(外文):CHEN,CHIA-CHENGHSU,TING-HSIN
口試日期:2020-06-09
學位類別:碩士
校院名稱:國立雲林科技大學
系所名稱:財務金融系
學門:商業及管理學門
學類:財務金融學類
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:63
中文關鍵詞:市場非流動性非流動性溢酬貨幣政策Granger 因果檢定衝擊反應
外文關鍵詞:market illiquidityilliquidity premiummonetary policyGranger causality testimpulse response function
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本研究探討台灣股票市場流動性和央行貨幣政策之關聯性。本研究使用台灣股票市場上市公司,上櫃公司,與兩者合併之整體市場為實證研究之標的。研究期間1981-2017,股票市場相關資料取自台灣經濟新報,貨幣政策指標來自中央銀行金融統計月報。本研究實證結果發現,就非流動性的溢酬而言,上市公司,上櫃公司與整體市場各達1.15%,1.22%與1.16%,三者都達到1%統計顯著之水平。在貨幣政策之影響方面,當處於雙擴張政策的時候,整個市場的非流動性獲得顯著的改善。Granger 因果檢定顯示雙擴張政策具有顯著對市場非流動性之因果關係。另外,衝擊反應圖也確認在雙擴張政策對市場非流動性改善的強度,同時,其強度隨時間流逝而降低。但在緊縮政策下,並無顯著之市場非流動性之惡化現象。
This study explores the relationship between Taiwan’s stock market liquidity and the central bank’s monetary policy. Three sets of stock listing companies are employed in the empirical tests, including Taiwan stock market, over-the-counter markets, and the integrated market of the prior two sets. The relevant stock market information are drawn from the Taiwan Economic News and the monetary policy indicators are adopted from the Central Bank's Monthly Financial Statistics during the period, 1981-2017.The empirical results find that in terms of illiquid premiums, Taiwan stock market, over-the-counter market, and the overall market amount 1.15%, 1.22% and 1.16%, with 1% statistically significant level, respectively. For the impact of monetary policy, dual expansion states can significantly improve the illiquidity of three sets of stocks. Moreover, the Granger causality test shows that the dual expansion policy exerts a significant causal relationship with market illiquidity. Finally, the impulse response function also confirms the strength of the double expansion policy for improving market illiquidity, and at the same time, the influence decreases over time. However, under the tightening policy, there is so far no significant deterioration of market illiquidity.
摘要 i
ABSTRACT ii
目錄 iii
表目錄 iv
圖目錄 v
第壹章 緒論 1
第一節 研究背景 1
第二節 研究動機 2
第三節 研究架構 3
第四節 研究流程 4
第貳章 文獻探討 5
第一節 市場流動性與金融市場 5
第二節 文獻上貨幣政策與市場流動性之關連性文獻 7
第參章 研究方法與資料 9
第一節 研究樣本 9
第二節 研究變數之定義 9
第肆章 實證結果與分析 12
第一節 敘述統計分析 12
第二節 非流動性溢酬之實證結果 18
第三節 動態分析 24
第伍章 結論與建議 45
第一節 研究結論 45
第二節 研究建議 45
參考文獻 53
一. 中文文獻 53
二. 英文文獻 54


一. 中文文獻
1. 林俊成 (2010),「台灣股市流動性溢酬之實證研究 -以金融類股為例」,國立臺灣大學經濟學研究所碩士論文。

2. 邱欣慧 (2010),「流動性與規模效應對股票異常報酬之影響」,國立高雄應用科技大學商務經營研究所碩士論文。

3. 胡星陽 (1998),「流動性對臺灣股市報酬率的影響」,中國財務學刊,第5卷第4期,頁1-19。

4. 胡凱文 (2006),「台灣股票市場流動性實證−使用Amihud (2002) 指標」,國立臺灣大學財務金融學研究所碩士論文。

5. 洪瑋蔆 (2010),「公司特性、流動性風險與股票報酬之研究-以台灣上市公司為例」,東吳大學企業管理學系碩士論文。

6. 陳隆勛 (1998),「台灣上市公司股票流動性與股票報酬關聯性之研究」,國立交通大學管理科學研究所碩士論文。

7. 陳榮昌 (2002),「台灣股票報酬之結構分析」, 國立中山大學財務管理學系碩士論文。

8. 張眾卓、王祝三 (2013),「臺灣時間序列與橫斷面股票報酬之研究:不同模型 設定、投資組合建構以及樣本選擇下之再檢測」,《經濟研究》,第 49 卷第 1 期, 頁 31-88。

9. 張紹勳 (2016),「Stata在財務金融與經濟分析的應用」,台北:五南圖書出版股份有限公司。

10. 黃琛汶 (2001),「流動性:指標與實證-台灣股票市場之上櫃轉上市」,國立政治大學國際貿易學系碩士論文。

11. 鄭舜仁 (2004). "探討影響股票流動性的因素-以時間數列橫斷面探討公司規模, 股權結構與資訊不對稱." 管理科學與統計決策 1(1): 85-97.

12. 蕭富璟 (2014). "流動性、流動性風險與股票報酬─以台灣股票市場為例" 國立彰化師範大學財務金融技術學系研究所碩士論文。

13. 謝志憲 (2011),「流動性風險與股票市場績效之相關性研究」,國立交通大學管理學院財務金融學程碩士論文。

二. 英文文獻
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4. Amihud, Y., and H. Mendelson, and B. Lauterback, 2005. Liquidity and Asset Prices, Foundations and Trends in Finace, 1, 269-364.
5. Bakshi, G., and N. Kapadia, 2003, Data-hedged Gains and the Negative Market Volatility Risk Premium, Review of Financial Studies 16, 2, 527-566.
6. Bansal, R. and A. Yaron, 2004, Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles, Journal of Finance 59, 1481-1509.
7. Berkman, H., and V. Eleswarapu, 1998. Short-Term Traders and Liquidity: A Test Using Bombay Stock Exchange Stock Exchange Data, Journal of Financial Economics 47, 339-355.
8. Bernake, B. and A. Blinder, 1992. The Federal Funds Rate and the Channels of Monetary Transmissions. American Economic Review, 82, 901-921.
9. Brockman, P., and D.Y. Chung, Commonality under Market Stress: Evidence from an Order-driven Market, International Review of Economics and Finance17, pp. 179–196.
10. Brockman, P., D.Y. Chung, and C. Pérignon, 2009, Commonality in Liquidity: A Global Perspective, Journal of Financial Quantitative Analysis44, pp. 851-882.
11. Brunnermeire, M. and L. Pedersen, 2009. Market Liquidity and Funding Liquidity, Review of Financial Studies, 22, 2201-2238.
12. Campbell, J.Y., and L. Hentschel, 1992, No News Is Good News: An Asymmetric Model of Changing Volatility in Stock Returns, Journal of Financial Economics 31,281-318.
13. Charlstrom, T., and T. Fuerst, 2010, Monetary Policy in a World with Interest on Reserves, Economic Commentary, 2010-4, Federal Reserve Bank of Cleveland.
14. Chen, H. 2009, Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure, Journal of Finance 65, 2171-2212.
15. Chordia, T., R. Roll, and A. Subrahmanyam, 2000, Commonality in Liquidity, Journal of Financial Economics56, pp. 3-28.
16. Daniel K. and S. Titman, 1997. Evidence on the Characteristics of Cross-Sectional Variation in Stock Return, Journal of Finance 52, 1-33.
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18. Fama, E.F. and K.R. French, 1992, The cross section of expected stock returns. Journal of Finance, 47, 427-466.
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21. Glosten, L.R., and P.R. Milgrom, 1985, Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders, Journal of Financial Economics 14, pp. 71–100.
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