許多文獻已證實不僅只有美國證劵交易所有存在流動性共變，其他國家證劵交易所如香港、澳洲、倫敦及德國等亦皆存在此一現象。本研究沿用Chordia, Roll, and Subrahmanyam (2000)的研究方法來檢視台灣證劵市場是否亦存在流動性共變。利用台灣證劵交易所掛牌股票之日內資料及六個流動性變數，研究結果顯示無論有否考慮控制變數，台灣股市皆存在流動性共變。此外，和先前文獻相同，本研究亦有找到規模效果及產業效果。規模效果的結果是和Brockman, Chung and Perignon (2006)一致（以價差為流動性變數），指出隨著公司規模愈大，其受到流動性的變動影響愈不敏感，即呈反向關係。然而，以深度為流動性變數部分，則和Chordia, Roll, and Subrahmanyam (2000)及Brockman, Chung and Perignon (2006)一致，呈正相關。最後，某些文獻提到關於當市場處於不同狀態時，流動性共變是有差異。然而，本研究並沒有發現台灣證劵交易所在市場報酬向上時之流動性共變和市場報酬向下有差異。同時，關於探討台灣證劵交易所在處於高波動性和低波動性之流動性共變差異亦沒有找到明顯證據。

Many studies have been provided evidence for the existence of commonality in liquidity in both U.S. and non-U.S. stock markets, such as Hong Kong、Australia、London and German stock markets. This study examine the commonality in liquidity in Taiwan security market, using intraday data from Taiwan stock market and six liquidity measures and applying Chordia, Roll, and Subrahmanyam (2000) methodology. Evidence suggests that commonality in liquidity is present in Taiwan stock market. The results are unaltered with and without control variables. In addition, we also find that the commonality of liquidity is affected by firm size and industry. Consistence with Brockman, Chung and Perignon (2006),we find a negative relation between firm size and sensitivity to changes in marketwide liquidity (based on the spread measures). But for the depth measures, we find a positive relationship. This evidence is same with Chordia, Roll, and Subrahmanyam (2000)and Zheng and Zhang (2006). Finally, although some studies show commonality in liquidity is different during up and down markets, we do not find this evidence in Taiwan. On the other hand, no matter high or low volatility of Taiwan stock market, we find indifference of commonality in liquidity.

中文摘要	I
英文摘要	II
目錄	III
表目錄	V
第一章 緒論	1
第一節 研究動機	1
第二節 研究目的	4
第三節 研究架構	5
第二章 文獻探討	6
第一節 流動性共變相關文獻	6
第二節 牛市與熊市之流動性共變差異相關文獻	19
第三節 金融危機與流動性之關聯相關文獻	21
第四節 全球股票交易所流動性之關聯相關文獻	24
第三章 研究方法與資料選取	26
第一節 樣本來源與選取	26
第二節 變數定義	28
第三節 實證模型	32

第四章 實證結果	35
第一節 流動性變數之敘述統計	35
第二節 流動性共變之存在	38
第三節 規模效果	42
第四節 產業效果	48
第五節 市場報酬向上和向下之流動性共變差異	54
第六節 市場高波動性和低波動性之流動性共變差異	58
第五章 結論與建議	62
第一節 研究結論	62
第二節 研究建議	64
參考文獻	65

表目錄
表3-1 流動性變數定義	29
表4-1 流動性變數之敘述統計	35
表4-2 流動性變數之每日變動率絕對值（％）	36
表4-3流動性變數間相關係數	37
表4-4 流動性共變之迴歸係數表	39
表4-5流動性共變之迴歸係數表─考慮控制變數	41
表4-6 規模效果之迴歸係數表	43
表4-6 規模效果之迴歸係數表（續）	44
表4-7 規模效果之迴歸係數表─考慮控制變數	46
表4-7 規模效果之迴歸係數表─考慮控制變數（續）	47
表4-8產業效果之迴歸係數表	49
表4-8產業效果之迴歸係數表（續）	50
表4-9 產業效果之迴歸係數表─考慮控制變數	52
表4-9 產業效果之迴歸係數表─考慮控制變數（續）	53
表4-10市場報酬向上和向下之流動性共變迴歸係數表	55
表4-11市場報酬向上和向下之流動性共變迴歸係數表─考慮控制變數	57
表4-12市場高波動性和低波動性之流動性共變迴歸係數表	59
表4-13 市場高波動性和低波動性之流動性共變迴歸係數表─考慮控制變數	61

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