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題名：股票市場流動性與總體景氣循環：來自臺灣的廣泛性證據
書刊名：管理與系統
作者：蘇玄啟 引用關係／羅仙法 引用關係／袁正達／楊俊彬
作者(外文)：Su, Xuan-qi／Lowe, Alpha／Yuan, Cheng-da／Yang, Jin-bin
出版日期：2016
卷期：23:1
頁次：頁65-106
主題關鍵詞：流動性；景氣循環；安全性轉移；流動性轉移；機構法人持股；Liquidity；Business cycle；Flight to quality；Flight to liquidity；Institutional ownership
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:38
  • 點閱點閱:75
本文以台灣股市為樣本，探討股市流動性與總體景氣循環的動態關係。Granger因果檢定結果顯示，台灣股市流動性對於未來總體景氣循環具預測能力，但總體景氣循環卻無法捕捉股市流動性趨勢。再者，時間序列迴歸結果顯示，在控制其他攸關變數後(例如股市報酬率)，前一季股市流動性的下降(提高)依然能夠顯著地預測本季總體景氣即將衰退(成長)態勢。而相對於大型股票，台灣小型股票流動性較具有預測未來總體景氣循環的能力，此結果符合安全性轉移或流動性轉移的理論預期。更進一步地，本文發現台灣機構投資人參與股市意願的強弱程度能夠顯著正向地解釋股市流動性動態。再以2008年金融海嘯期間為例，本文亦發現，在總體景氣衰退(成長)期間，台灣機構投資人普遍顯現出集體退出(進入)股市的傾向；而礙於最低持股限制，台灣投信法人則傾向在景氣衰退(成長)期間逐漸減少(增加)持有小型股票且同時逐漸增加(減少)持有大型股票。整體而言，本文研究貢獻在於提供廣泛性證據驗證台灣股市流動性確實涵蓋關於未來總體景氣的資訊成份，特別是小型股票流動性的資訊內涵更為攸關；而台灣股市流動性對於總體景氣循環所具備的預測能力至少可部份歸因於台灣機構投資人的持股交易動態。
Using a sample of the Taiwan Stock Exchange (TWSE) during 1982Q1-2012Q2, this paper provides comprehensive evidence on testing the relation between stock market liquidity and the business cycle. The Granger causality test shows that the TWSE market liquidity appears to predict the future state of the real economy, while the real economy cannot capture the variation of the market liquidity. Further, results of the time-series regressions indicate that after controlling for other well-known predictors of the business cycle, a decline (increase) in market liquidity in the previous quarter is still significantly related to an economic downturn (turnaround) in this quarter. Compared to large-cap stocks, the liquidity of small-cap stocks are more powerful in predicting future economic conditions, which is consistent with the expectation of flight-to-quality or flight-to-liquidity. Using the ownership by the TWSE’s three major institutional investors to capture the institutional market participation, we find that the institutional market participation contributes positively the TWSE market liquidity. By studying the case of the financial tsunami during 2008Q1-2010Q4, we also find that, on average, TWSE institutional investors tend to flee (enter) the stock market altogether during economic recessions (expansions). Due to binding stake constraints, TWSE mutual funds tend to shift their portfolios from small (large) to large (small) stocks during economic recessions (expansions). Overall, this paper contributes to literature by providing comprehensive evidence to confirm that Taiwan stock market liquidity indeed contains information about future real economic activity (especially for the liquidity of small stocks) and that the predictive ability of market liquidity for the economic growth is due, at least in part, to the dynamic in institutional market participation.
期刊論文
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4.Eisfeldt, Andrea L.(2004)。Endogenous Liquidity in Asset Markets。The Journal of Finance，59(1)，1-30。  new window
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8.Gallant, A. Ronald、Rossi, Peter E.、Tauchen, George(1992)。Stock Price and Volume。Review of Financial Studies，5(2)，199-242。  new window
9.Hameed, Allaudeen、Kang, Wenjin、Viswanathan, S.(2010)。Stock market declines and liquidity。Journal of Finance，65(1)，257-293。  new window
10.李春安、類惠貞(20090500)。正向回饋交易與股市崩盤。中華管理評論，12(2)，(3)1-(3)28。  延伸查詢new window
11.林淑瑜、莊鴻鳴、徐守德(20110400)。正向回饋交易行為對臺灣指數期貨報酬之短期動態的影響。管理與系統，18(2)，267-294。new window  延伸查詢new window
12.Cremers, M. K. J.、Mei, J.(2007)。Turning over Turnover。Review of Financial Studies，20(6)，1749-1782。  new window
13.Dahlquist, M.、Robertsson, G.(2004)。A Note on Foreigner's Trading and Price Effects across Firms。Journal of Banking and Finance，28(3)，615-632。  new window
14.Florackis, C.、Gregoriou, A.、Kostakis, A.(2011)。Trading Frequency and Asset Pricing on the London Stock Exchange: Evidence from a New Price Impact Ratio。Journal of Banking and Finance，35(12)，3335-3350。  new window
15.Longstaff, F. A.(2004)。The Flight-to-Quality Premium in U.S. Treasury Bond Prices。Journal of Business，77(3)，511-525。  new window
16.Mitchell, M.、Pedersen, L. H.、Pulvino, T.(2007)。Slow Moving Capital。American Economic Review，97(2)，215-220。  new window
17.Acharya, V. V.、Pedersen, L. H.(2005)。Asset pricing with liquidity risk。Journal of Financial Economics，77(2)，375-410。  new window
18.Bencivenga, V. R.、Smith, B. D.、Starr, R. M.(1995)。Transactions Costs, Technological Choice, and Endogenous Growth。Journal of Economic Theory，67(1)，153-177。  new window
19.Chang, R. P.、Hsu, S. T.、Huang, N. K.、Rhee, S. G.(1999)。The Effects of Trading Methods on Volatility and Liquidity: Evidence from the Taiwan Stock Exchange。Journal of Business Finance and Accounting，26(1/2)，137-170。  new window
20.Chiao, C. S.、Hung, K.、Lee, C. F.(2004)。The Price Adjustment and Lead-Lag Relations between Stock Returns: Microstructure Evidence from the Taiwan Stock Market。Journal of Empirical Finance，11(5)，709-731。  new window
21.Chordia, Tarun、Roll, Richard、Subrahmanyam, Avanidhar(2000)。Commonality in Liquidity。Journal of Financial Economics，56(1)，3-28。  new window
22.Chordia, Tarun、Sarkar, Asani、Subrahmanyam, Avanidhar(2005)。An Empirical Analysis of Stock and Bond Market Liquidity。Review of Financial Studies，18(1)，85-129。  new window
23.Coughenour, J. F.、Saad, M. M.(2004)。Common Market Makers and Commonality in Liquidity。Journal of Financial Economics，73(1)，37-69。  new window
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28.Lin, Chihuang H.、Shiu, Cheng-Yi(2003)。Foreign ownership in the Taiwan stock market: an empirical analysis。Journal of Multinational Financial Management，13(1)，19-41。  new window
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32.黃柏農(1998)。臺灣的股價與總體變數之間的關係。證券市場發展，10(4)=40，89-109。new window  延伸查詢new window
33.王瑪如、蘇永成(19980000)。臺灣股票市場與總體經濟變數之因果關係研究：二元VAR模型網狀檢定。證券市場發展，10(3)=39，65-95。new window  延伸查詢new window
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研究報告
1.黃裕烈、陳淑玲(2012)。臺灣景氣基準循環指數之檢討與改進。臺北。  延伸查詢new window
2.Beber, A.、Brandt, M. W.、Kavajecz, K. A.(2010)。What Does Equity Sector Orderflow Tell Us about the Economy?。University of Amsterdam。  new window
3.Choi, W. G.、Cook, D.(2005)。Stock Market Liquidity and the Macroeconomy: Evidence from Japan。  new window
4.Femandez-Amador, O.、Gachter, M.、Larch, M.、Peter, G.(2011)。Monetary Policy and Its Impact on Stock Market Liquidity: Evidence from the Euro Zone。University of Innsbruck。  new window
5.Florackis, C.、Giorgioni, G.、Kostakis, A.、Milas, C.(2012)。The Impact of Stock Market Illiquidity on Real UK GDP Growth。University of Liverpool。  new window
6.Fujimoto, A.(2004)。Macroeconomic Sources of Systematic Liquidity。University of Alberta。  new window
7.Kaul, A.、Kayacetin, V.(2009)。Forecasting Economic Fundamentals and Stock Returns with Equity Market Order Flows: Macro Information in a Micro Measure?。University of Alberta。  new window
8.Soderberg, J.(2008)。Liquidity on the Scandinavian Order-driven Stock Exchanges。Linnaeus University。  new window
9.Taddei, F.(2007)。Liquidity and Economic Fluctuations。Columbia University。  new window
10.Vayanos, D.(2004)。Flight to quality, flight to liquidity, and the pricing of risk。London School of Economics。  new window
學位論文
1.邱莉婷(2008)。系統流動性風險評價模型：台灣股票市場上的應用(碩士論文)。國立政治大學。  延伸查詢new window
 
 
 
 
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