流動性與個股報酬的關係

Abstract

本研究應用Pastor and Stambaugh（2003）所提出的系統流動性測度值，探討台灣股票市場之流動性。大部分流動性文獻以市場微結構為基礎，假設投資人需要交易時，因交易困難或需付出大量成本的風險，通常以價差、交易時間、交易熱絡程度等市場變數，從證券價格變動影響流動性的角度，計算流動性測度值。但Pastor and Stambaugh模型所衡量的是在市場流動性變差時，股票價值下降的風險，亦即從流動性影響證券價格的角度，計算流動性測度值，亦即當市場流動性較低時，交易值變動會引起顯著的報酬逆轉。

本研究以1981年至2009年台灣證券交易所掛牌上市的50檔股票日資料估計流動性測度值，發現金控類股對台灣股票市場流動性的影響大於其他產業的股票，當市場發生危機時，金控類股可以提供市場額外的流動性，因此可以減緩負面衝擊，但金控類股的流動性下降反而會加大市場危機。除此之外，使用個股流動性指標組成之投資組合的表現優於台灣加權股價指數、一個月定期存款、漲買跌賣交易的投資組合，表示股票流動性是個股報酬的一個月領先指標。

This study investigates the liquidity of Taiwan stock market using the systematic liquidity measure proposed by Pastor and Stambaugh（2003.） Most existing studies examine the traditional measures of microstructure-based liquidity of stock returns. Investors under liquidity risk have to pay more cost or sell at large discount price. As a result, bid-ask spread, trading period, or other market variables could be used as proxies of liquidity. Different from most existing studies, the measure of Pastor and Stambaugh focuses on the risk that values of stocks may drop due to lower liquidity when investors need to trade. Therefore, greater return reversals may be induced by the change of the order flow when liquidity is lower. Daily data of 50 firms listed on the Taiwan Security Exchange during 1981 to 2009 are used when estimating the liquidity measure. Financial holding stocks are found to have stronger effects on Taiwan stock market than other sectors. When market is in distress, financial holding stocks can provide extra liquidity to reduce the impact of negative shocks. However, when the liquidity of financial holding stocks decrease, it will amplify the negative shocks effects. Furthermore, the observed results that portfolios constitute of liquid stocks perform better than the Taiwan Weighted Stock Index, one month deposit, and momentum trading portfolios show that stock liquidity is a leading indicator of one month stock returns.