台灣股票市場之機構投資人持股與系統流動性關係

Abstract

系統流動性是指個別股票流動性變化相對於整體市場流動性變化的敏感性。本文以1982至2008年台灣證券交易所資料進行實證研究，藉此探究新興市場系統流動性之長期趨勢、規模效果及其與機構投資人持股之關係。實證結果發現，系統流動性與規模呈顯著的正向關係，且不同規模股票的系統流動性長期均呈現下降趨勢，又因大型股的降幅小於小型股，故大小型股的系統流動性差異隨時間經過而擴大。不同於過去文獻所探究之已開發市場，台灣證券交易所的機構投資人，僅國內投信基金持股對系統流動性具正向影響，而外資與國內其它機構投資人持股則大致具負向影響；換言之，相較於國內投信，外資與國內其它機構投資人更傾向於不頻繁交易的長期投資者。

Systematic liquidity is the sensitivity of individual stock's liquidity to variations in market liquidity. This study investigates the long-term evolution of systematic liquidity, size effect and its relation to institutional ownership in an emerging market. Using the data of Taiwan Stock Exchange (TWSE) for the period of 1982 to 2008, we find systematic liquidity is significantly positively related to firm size and appears a negative time trend for all stocks and size portfolios. Since the small-cap stocks have a larger decreasing rate of systematic liquidity than large-cap stocks, the differences in systematic liquidity between large and small stocks increase over time. In contrast with the developed markets explored on the previous literature, only ownership by domestic securities investment trust companies has positive impact on systematic liquidity. Generally, ownership by foreign institutions and other domestic institutions has negative impact on systematic liquidity. The evidence indicates that foreign institutions and other domestic institutions tend to be long-term investors with less frequent trading than domestic securities investment trust companies.