異質性機構投資人的流動性偏好與流動性客群效應

Abstract

本篇論文研究股票市場中流動性市場區隔的現象，探討異質性機構投資人對流動性的不同偏好所造成的影響。實證結果證實，不同機構投資人對於流動性偏好的差異導致流動性市場區隔，且此一市場區隔為一長期現象，可持續長達數年之久，與Amihud和Mendelson (1986) 的理論模型推測一致。證明其長期存在性之後，我們發現被相同類型機構投資人偏好的股票存在流動性共移及報酬共移，這兩種共移來自於流動性市場區隔現象。此外，本篇論文亦探討了不同機構投資人對流動性偏好的差異對投資組合報酬的影響，結果顯示不同流動性偏好的機構投資人其投資組合報酬會存在顯著差異，此一發現強調了機構投資人的流動性偏好對其投資組合報酬存在實質的影響。

This paper investigates the presence of liquidity market segmentation in the stock market, focusing on the distinct preferences for liquidity among heterogeneous institutional investors. Empirical result confirms that variations in liquidity preferences among different institutional investors do lead to liquidity market segmentation, and this segmentation is observed as a long-term phenomenon, persisting for several years, aligning with the theoretical conjectures of Amihud and Mendelson (1986). Proving its long-term presence, we find stocks favored by similar investors exhibit liquidity and return co-movement. These two co-movements stem from the liquidity market segmentation phenomenon. Furthermore, this study explores the impact of varying liquidity preferences among institutional investors on portfolio returns, demonstrating substantial differences based on their respective preferences. This finding underscores the tangible influence of institutional investors' liquidity preferences on their portfolio returns.