| 英文摘要 |
This paper explores the liquidity risk characteristics in the Taiwanese financial institutions, including domestic bank, financial holding, insurance, and securities subsectors. The liquidity indices used in this study are the Amihud index and liquidity discount. We find that the Amihud index reflects more information about macroeconomic conditions, while the liquidity discount reveals more signals concerning firm-specific liquidity risk. The financial holding companies have lower liquidity risk. The impact of systemic liquidity risk on financial holdings is less than that on the other financial subsectors. Furthermore, the non-systemic liquidity risk of financial holding strongly influences the other financial subsectors. The domestic bank and insurance subsectors are the cruxes in transferring non-systemic liquidity risk in the financial market |
