台灣股市資產訂價模型與流動性溢酬之實證研究-以三大產業權值股為例

Abstract

觀察台灣股市過去歷史走勢可發現其波動性大，代表台灣股市有能力負荷龐大的交易量，市場交易成本低，流動性高。有鑑於此，本文從資產訂價模型角度出發，探討流動性及其餘訂價因子對台灣股市報酬率的影響。 本研究探討重心為2004年至2010年台股，依據市場型態將其分為三個期間：(1) 2004年7月至2007年10月 (2) 2007年11月至2009年1月 (3) 2009年2月至2010年8月。並以台灣電子業、金融業與傳統產業的大型權值股作為研究對象。 研究結果顯示，CAPM在各期均對台灣大型權值股有高解釋力，利用Fama- French三因子模型與虛擬變數分析法，結論如下：(1) 淨值市價影響最為顯著，電子業影響程度最高。(2) 金融業與傳產業beta值影響隨市場型態改變，電子業影響均為負，但大多係數不顯著，是以本研究無法具體判斷beta值之影響。(3)周轉率影響則與理論不同，實證結果指出其對報酬率之影響均為正向，金融業影響幅度居冠，且多頭市場時反應較大。(4) 空頭市場時各類型大型權值股周轉率明顯提高，推論原因為台灣大型股政府持股比率高，空頭時為了穩定大盤而進場大量交易。 最後，我們利用pastor與Stambaugh的方法進行產業間流動性風險之實證，發現除了在第一期有顯著的產業間流動性風險溢酬外，其餘期間均不顯著。

Through historical trend of Taiwan stock market, we observe the volatility is obviously greater than other countries. It means Taiwan assets market can load tremendous trading volumes. In other words, the trading cost is low and the liquidity is high. As a result of this phenomenon, this thesis investigates the effects of liquidity and other asset pricing factors in Taiwan. This research focuses on the performance of TAIEX from 2004 to 2010. According to different market types, we divide our data into three periods: (1) Jul, 2004 to Oct, 2007 (2) Nov, 2007 to Jan, 2009 (3) Feb, 2009 to Aug, 2010. Our main research objects are valued stock in electronic, financial and traditional industries. The empirical study indicates that CAPM has high explanatory power to valued stocks in Taiwan. We use Fama-French model and pooling regression as well. The results are: (1) Book-to-market ratio has highest explanatory power, especially in electronic industry. (2) The influence of beta coefficient on financial and traditional industries changes with market types, and the effect is insignificantly negative to electronic industry. (3) Opposite to most studies, turnover rate has a positive impact on excess returns, particularly in bull market. The biggest effect occurred in financial industry. (4) The turnover rate of all the stock enhance clearly in bear market. The reason might be that government will enter the stock market to maintain TAIEX as a big valued stock holder. It causes the tremendous trading volume when market is declining. Last, we follow Pastor and Stambaugh method to examine whether liquidity risk premium exists among industries. The evidence shows that it exists only in Jul, 2004 to Oct, 2007, and it is insignificant in other periods.