| 摘要: | 許多文獻已證實不僅只有美國證劵交易所有存在流動性共變，其他國家證劵交易所如香港、澳洲、倫敦及德國等亦皆存在此一現象。本研究沿用Chordia, Roll, and Subrahmanyam (2000)的研究方法來檢視台灣證劵市場是否亦存在流動性共變。利用台灣證劵交易所掛牌股票之日內資料及六個流動性變數，研究結果顯示無論有否考慮控制變數，台灣股市皆存在流動性共變。此外，和先前文獻相同，本研究亦有找到規模效果及產業效果。規模效果的結果是和Brockman, Chung and Perignon (2006)一致（以價差為流動性變數），指出隨著公司規模愈大，其受到流動性的變動影響愈不敏感，即呈反向關係。然而，以深度為流動性變數部分，則和Chordia, Roll, and Subrahmanyam (2000)及Brockman, Chung and Perignon (2006)一致，呈正相關。最後，某些文獻提到關於當市場處於不同狀態時，流動性共變是有差異。然而，本研究並沒有發現台灣證劵交易所在市場報酬向上時之流動性共變和市場報酬向下有差異。同時，關於探討台灣證劵交易所在處於高波動性和低波動性之流動性共變差異亦沒有找到明顯證據。
Many studies have been provided evidence for the existence of commonality in liquidity in both U.S. and non-U.S. stock markets, such as Hong Kong、Australia、London and German stock markets. This study examine the commonality in liquidity in Taiwan security market, using intraday data from Taiwan stock market and six liquidity measures and applying Chordia, Roll, and Subrahmanyam (2000) methodology. Evidence suggests that commonality in liquidity is present in Taiwan stock market. The results are unaltered with and without control variables. In addition, we also find that the commonality of liquidity is affected by firm size and industry. Consistence with Brockman, Chung and Perignon (2006),we find a negative relation between firm size and sensitivity to changes in marketwide liquidity (based on the spread measures). But for the depth measures, we find a positive relationship. This evidence is same with Chordia, Roll, and Subrahmanyam (2000)and Zheng and Zhang (2006). Finally, although some studies show commonality in liquidity is different during up and down markets, we do not find this evidence in Taiwan. On the other hand, no matter high or low volatility of Taiwan stock market, we find indifference of commonality in liquidity. |
