本文探討市場面臨壓力狀態下，台灣股票市場中個別股票的流動性與市場之流動性共變 (liquidity commonality) 的關連程度。由於投資人僅能透過投資組合分散個別股票之流動性風險，但若市場存在流動性共變，也就是系統性的流動性風險時，投資人需承擔較高流動性風險，因此會要求較高風險溢酬。近年來爆發的金融海嘯，也引起市場對流動性共變議題的高度關注。本文分析不同市場狀態下之流動性共變，並同時考慮與流動性相關之委託單失衡(order imbalance)對個股流動性的影響。整體而言，實證結果顯示台股在面臨市場壓力時，流動性共變確實顯著增加，導致投資人承擔之風險提高。本文再進一步以公司市值來分析流動性共變與公司規模之關係，發現在以不同變數衡量流動性時，流動性共變程度與公司大小之關係並無一致的結果。此外，台灣流動性共變的程度較其他國家強烈，因此台灣股市投資人與金融市場監理機構應密切注意流動性風險對於台灣股票市場的影響。 This thesis studies liquidity commonality in the stock market under different phases of market states. Liquidity commonality implies the systemic liquidity risk, and investors cannot diversify this risk with portfolio allocation. If investors have to bear more liquidity risk, they might require more risk premium for compensation. The occurrence of recent financial crisis leads to increasing systemic risk. This thesis also investigates how liquidity commonality varies before and after the financial crisis. The empirical results show that commonality in liquidity increases during period of financial crisis. Further, we find the relation between the liquidity commonality measured by spread and that measured in depth have reverse relations with company capitalization. Overall, the results show that liquidity commonality in Taiwan stock market is stronger than in other countries.
