台灣股票市場流動性實證−使用Amihud(2002)指標

Abstract

中文摘要 過去台灣大多使用成交量或是週轉率作為捕捉流動性的估計值。本文利用修正後的Amihud(2002) ILLIQ指標作為流動性的估計值，進行台灣市場流動性相關實證研究。首先，我們發現在自變數組合中不含市值及市場貝他下，流動性估計值係數顯著為正，表示流動性溢酬的確存在。綜觀來看，市值、市場貝他以及流動性估計值是比較能夠解釋台灣預期報酬的因子。其次，發現台灣股票市場個股流動性受到市場流動性正向的影響，高達97%以上的樣本股票其個股流動性系統性風險係數為正。最後我們分別估計出個股特有的流動性特徵值以及個股流動性中的系統風險因子。發現個股受大盤影響的敏感度越高者其所得流動性溢酬也越高。而多承擔個股流動性中不受大盤影響的部分並不能顯著獲得溢酬，再次提醒我們唯有不可分散風險才值得獲得額外的風險補償。

Abstract In this paper, we use the revised Amihud(2002) illiquidity proxy to do some empirical tests in Taiwan stock market. First, we find that there is a cross-sectional positive return-illiquidity relationship when size and market beta are not included in the independent variables. Second, we find that the relationship between individual illiquidity and market illiquidity is statistically positive. Last, we use the concept of market model to estimate two variables. One is the firm-specific illiquidity level and the other is the systematic illiquidity risk. From the cross-section regression, there is a statistically positive relationship between return and the systematic illiquidity risk when size and market beta are not included in the independent variables.