台灣證券市場流動性的跨國比較分析

An Empirical Analysis of the Liquidity of Taiwan Stock Market: A Cross-Country Comparison

本研究主要目的是探討台灣證券市場流動性問題，藉由建構一跨國的流動性分析模型，分析市場流動性與相關變數之間的關聯性。然而，由於跨國的流動性分析模型是以較為長期的角度來剖析流動性問題，無法探討到較短期的事件影響。是以，本研究進一步採用高頻率的資料，建立單一市場模型，並運用時間序列方法來分析短期事件可能對流動性產生的衝擊。實證結果發現，除了總體經濟的因素外，制度面的因素包括監理制度及投資誘因等，都會顯著地影響市場流動性。此外，不同的流動性定義，得到的實證結果可能大相逕庭，此將會衍生出不同的政策意涵；亦即，政府若不先釐清流動性的定義，則在政策的選用上，可能會收到相反的效果。值得一提的是，短期重大事件發生及交易制度改變，對台灣證券市場流動性的影響毫無疑問具有顯著的效果。

This paper aims to investigate the stagnant liquidity of Taiwan stock market over the last few years. For this purpose, we collect a panel dataset from five Asian stock markets and analyze the relationships between market liquidity and relevant determinats. In addition, this paper applies time series models with daily data to discuss the effects of particular events on the liquidity of Taiwan stock market. According to the empirical results, market liquidity would be significantly affected by macroeconomic circumstances as well as regulation factors (such as financial regulation and investment incentives). However, it is found that the results and conclusions are clearly distinct when we discuss different market liquidity proxies. Therefore, the government should specify what kind of market liquidity they want to improve or the government’s policy may not be effective. Moreover, it is noteworthy that particular events and changes in trading system can substantially influence the market liquidity in Taiwan.