台灣股市流動性與影響景氣循環因素

Abstract

歷經2008年金融海嘯景氣衰退，股市流動性與景氣循環的關係為各研究機構所持續關心和重視之議題。傳統解釋景氣循環分為供給面和需求面因素來探討，本研究除了依照供給面和需求面因素外，引進股市價格因素和流動性的概念做為解釋景氣循環的因素。 衡量股市流動性分為三種方式：（1）Amihud (2002)所提出的非流動性比率，（2）股市週轉率，（3）股市交易成交值。本研究比較流動性和股價對景氣循環的解釋能力，並觀察其他因素區對景氣的影響，分為商品市場因素（需求面）、勞動市場因素（供給面）和貨幣市場因素來做討論。 在研究方法上，本研究利用台灣1996∼2011年時間序列資料，後續以迴歸模型、單根檢定、Granger因果關係檢定、VAR模型分析等計量方法針對各因素與景氣循環變數進行實證分析。實證結果顯示流動性對景氣循環有良好的解釋能力，流動性越好，經濟表現越好。流動性相對於股市價格也有較佳的解釋能力。

Through the financial crisis during 2008, the issue about the relationship between stock market liquidity and business cycle has become more important and relevant in every research institutes. Traditionally, there are two ways to analyze business cycle: supply side and demand side. This study use stock market liquidity and stock price to explain business cycle. There are three ways to measure stock market liquidity in this study: (1) illiquidity ratio (ILR), (2) stock turnover rate, (3) stock trading volume. This study compares the explanation ability of business cycle between stock market liquidity and stock price. In addition, we observe the effect from other determinants including goods market (demand side), labor market (supply side) and monetary market. We use the time series data in Taiwan stock market from 1996 to 2011. We construct regression models and use unit root test, Granger causality and VAR model analysis to carry out an empirical analysis. Empirical result shows that stock market liquidity is a good index to explain business cycle. We find that the more liquid is stock market the better is economic performance. Furthermore, stock market liquidity is better than stock price to explain business cycle.