流動性共變影響因子之研究：資金流動性與機構投資人交易行為觀點

The Determinants of Commonality in Liquidity: The Viewpoint of Funding Liquidity and Institutional Investors Trading Behavior

本文旨在探討大小型股公司流動性共變如何受到金融中介機構資金流動性供給面與機構投資者交易行為、投資者情緒等需求面因素影響。實證結果顯示，資金流動性供給面對小型股公司流動性共變影響幅度較大；而機構投資者持股需求面則對大型股公司相對影響較大；機構投資者持股比率之交易活動對小型股公司流動性共變的影響差異較高。而情緒指標對大小型股公司流動性共變呈現顯著的效果，投資者情緒上揚時會對大型股公司的流動性共變產生影響，而小型股公司流動性共變則在投資者情緒下降時受到影響。

This paper explores how commonality in liquidity varies across sizecap firms over time as influenced by supply-side forces related to the funding liquidity of financial intermediaries and demand-side forces related to the trading behavior of institutional investors and the change in investor sentiment. Empirical results show that small-cap firms have a stronger impact on the supply-side sources of commonality in liquidity. Large-cap firms tend to exhibit more significant commonality in liquidity for stocks with higher institutional ownership. However, the difference in the impact of institutional investors' trading on commonality in liquidity is greater for small-cap firms. We further find that commonality is related to changes in investor sentiment. Specifically, commonality in liquidity of large-cap firms increases with investor sentiment, while that of small-cap firms decreases with investor sentiment.