權益市場中違約風險、流動性風險與報酬間之動態關聯性分析

Abstract

當有違約事件發生的時點，資訊交易者與一般流動性交易者會根據其資訊進行交易與進出市場，而導致市場流動性的變動，且對於任何承受風險要求額外的報酬。 而當市場流動性的惡化迫使公司籌資成本連帶上升，短期資金需求周轉不靈，不履行財務義務的機率將增加，亦即增加了違約風險，使得違約事件有叢聚的現象。 因此，本研究試圖了解市場的流動性、違約風險與報酬間資訊的傳導過程，透過結構自我迴歸模型與衝擊反應分析，了解權益市場中違約風險、市場流動性與市場報酬間三者的領先落後關係與變動方向以及未預期變動對變數間的影響。 實證結果發現權益流動性與違約風險有反饋的關係，且此種現象在小規模公司中更加顯著。 並且，在當市場處於高違約風險時期時，市場流動性的下降對違約風險的影響會更加顯著，進而加速公司倒閉的速度。 實證結果也指出對權益投資者而言，所關心的是證券的流動性，而非公司的違約風險，當證券的流動性下降時，投資者會要求較高的報酬，也就是所謂的流動性溢酬。

When distress events happen, informed traders and liquidity traders will adjust their investment portfolios or get in or out from equity market, inducing market liquidity condition to change over time. Furthermore, the deterioration of market liquidity will cause the cost of raising capital to increases, and the probability of fulfilling financial obligation would substantially decrease. That could be the reasons why the distress events always cluster together in history. Motivated by argument above, this study tries to explore the information transmission process between default risk, liquidity risk and stock return. Through structural VAR model and impulse response analysis, we can realize the direction of lead-lag relationship and influence of unexpected innovation. Empirical result indicates that there is feedback relationship between market-wide default risk and liquidity risk, especially in small-size firms market. Moreover, the positive influence of increasing liquidity risk on future default risk is larger in high distress-risk period, in turn, accelerating the speed of firm falling into bankruptcy. However, to equity investors, as shown in empirical result, what investor really care about is the tradability of their stocks, therefore they will ask for higher returns during illiquidity period.