大型機構投資人資金流動性與指數報酬之關聯 -以全球37個國家為例

Abstract

本研究利用泰勒價差(TED SPREAD)做為衡量大型機構投資人資金流動性的指標，探討資金流動性與全球37個國家指數報酬之關聯。研究結果發現，若美國大型機構投資人發生資金流動性不足之情形，則全球37個國家的指數報酬都會受到影響而下跌。受此影響最大的前三名國家分別為英國、瑞典、瑞士；而受此影響最小的前三名國家為巴基斯坦、以色列、南韓。此外，這現象在經濟自由度越高、國家發展水平越高、人均GDP越高的國家越明顯；而外債總額越多、外債負債比越高的國家也會有同樣的情形出現。

This study uses “TED SPREAD” as the indicator of US institutional investors’ funding liquidity to examine the relationship between index return and funding liquidity. The result shows that the tighter US institutional investors’ funding liquidity is, the worse the index returns around the world would be. And this effect is most significant in UK while least significant in Pakistan. Furthermore, the result also shows that country’s economy which is highly developed and liberalized is more influenced by US institutional investors’ funding illiquidity. Additionally, the country’s economy with much external debt is seriously influenced, too.