The systemic and non-systemic liquidity risk in Taiwanese financial institutions

Abstract

本研究探討臺灣金融類股流動性風險的特徵，研究樣本包含本國銀行、金控、保險與證券產業，本研究採用Amihud流動性風險指標與流動性折扣率衡量每家金融機構的流動性風險。研究結果發現Amihud指標反映較多總體經濟訊息，流動性折扣率則包含較多屬於個別公司特質的風險訊息。相較於其他金融產業，金控公司的流動性風險較低，也較不易受到系統性流動風險所影響，此外，金控公司的非系統性流動風險則顯著影響其他金融機構的流動性。在金融市場中，本國銀行與保險公司是傳遞非系統性流動風險的關鍵產業。

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 nonsystemic liquidity risk in the financial market.