股票市場流動性與總體景氣循環：來自台灣的廣泛性證據

Abstract

本文以台灣股市為樣本，探討股市流動性與總體景氣循環的動態關係。Granger因果檢定結果顯示，台灣股市流動性對於未來總體景氣循環具預測能力，但總體景氣循環卻無法捕捉股市流動性趨勢。再者，時間序列迴歸結果顯示，在控制其他攸關變數後(例如股市報酬率)，前一季股市流動性的下降(提高)依然能夠顯著地預測本季總體景氣即將衰退(成長)態勢。而相對於大型股票，台灣小型股票流動性較具有預測未來總體景氣循環的能力，此結果符合安全性轉移或流動性轉移的理論預期。更進一步地，本文發現台灣機構投資人參與股市意願的強弱程度能夠顯著正向地解釋股市流動性動態。再以2008年金融海嘯期間為例，本文亦發現，在總體景氣衰退(成長)期間，台灣機構投資人普遍顯現出集體退出(進入)股市的傾向；而礙於最低持股限制，台灣投信法人則傾向在景氣衰退(成長)期間逐漸減少(增加)持有小型股票且同時逐漸增加(減少)持有大型股票。整體而言，本文研究貢獻在於提供廣泛性證據驗證台灣股市流動性確實涵蓋關於未來總體景氣的資訊成份，特別是小型股票流動性的資訊內涵更為攸關；而台灣股市流動性對於總體景氣循環所具備的預測能力至少可部份歸因於台灣機構投資人的持股交易動態。

Using a sample of the Taiwan Stock Exchange (TWSE) during 1982Q1-2012Q2, this paper provides comprehensive evidence on testing the relation between stock market liquidity and the business cycle. The Granger causality test shows that the TWSE market liquidity appears to predict the future state of the real economy, while the real economy cannot capture the variation of the market liquidity. Further, results of the time-series regressions indicate that after controlling for other well-known predictors of the business cycle, a decline (increase) in market liquidity in the previous quarter is still significantly related to an economic downturn (turnaround) in this quarter. Compared to large-cap stocks, the liquidity of small-cap stocks are more powerful in predicting future economic conditions, which is consistent with the expectation of flight-to-quality or flight-to-liquidity. Using the ownership by the TWSE’s three major institutional investors to capture the institutional market participation, we find that the institutional market participation contributes positively the TWSE market liquidity. By studying the case of the financial tsunami during 2008Q1-2010Q4, we also find that, on average, TWSE institutional investors tend to flee (enter) the stock market altogether during economic recessions (expansions). Due to binding stake constraints, TWSE mutual funds tend to shift their portfolios from small (large) to large (small) stocks during economic recessions (expansions). Overall, this paper contributes to literature by providing comprehensive evidence to confirm that Taiwan stock market liquidity indeed contains information about future real economic activity (especially for the liquidity of small stocks) and that the predictive ability of market liquidity for the economic growth is due, at least in part, to the dynamic in institutional market participation.