投資者保護對市場流動性風險之影響

Abstract

2008年開始的次級房貸風暴使全球經濟體分別受到程度大小不一的衝擊並造成金融市場的恐慌，各國股票市場大幅下跌、市場流動性處於凝滯或凍結的狀態。風暴產生時金融恐慌之情緒快速的散播，使得風暴之危害不僅限於單一機構、單一市場或單一國家。本文嘗試利用各國法律對投資者保護程度的好壞來解釋當金融風暴產生時，造成市場間流動性差異的原因。 本研究利用美國存託憑證(ADR)探討2006~2009年次級房貸期間，不同國家法律對投資者保護程度的優劣對ADR流動性的影響。實證結果顯示投資者保護制度愈健全的ADR在金融危機時期具有較高的流動性；反之，投資者保護制度愈差的ADR在金融危機時期流動性會明顯降低。另外，我們的實證結果也顯示市場上存在著財富效果:當市場下跌時由於投資者的財富縮水，會減少其在市場買賣的能力及欲望因而造成市場流動性降低。

The ‘Subprime Crisis’ beginning in 2008 struck global economies widely by different degrees and caused a major panic throughout financial markets. Stock markets around the world dropped dramatically, freezing up market liquidity. As the crisis spread-out rapidly, it endangered not only a single market or country but caused a worldwide breakdown. This study attempts to explore the differences of market liquidity during the financial crisis by investigating its relation with investor protection laws in various countries. This study uses ADRs to analyze the effect of investor protection laws of different countries on the liquidity of ADR during the financial crisis between 2006 and 2009. The empirical result demonstrates that the liquidity of ADRs from countries with better investor protection laws is higher during subprime crisis; conversely, the liquidity of ADRs from countries with vague investor protection laws is lower. In addition, our result also showes that the wealth effect exists within markets: when market decrease results from the reduction of investors’ wealth, it lowers their ability and will to trade in the market which thus lessens the market liquidity.