An Empirical Study on Stock Market Decline and Liquidity: Evidence from 46 Countries

本研究根據 Hameed, Kang, and Viswanathan (2010) 之研究架構以及採用 Amihud (2002) 的非流動性比率來衡量整體市場流動性。以46個主要國家為樣本，探討市場報酬與流動性的關係，並預期市場報酬下跌對於流動性的衝擊，將會大於市場報酬上漲對於流動性的影響，亦即存在著不對稱的現象。接著進而研究當市場報酬下跌時，整體流動性和融資限制之間的關聯。實證結果顯示，不同的市場報酬走勢，其對於流動性的影響將有不對稱的情形。若市場報酬處於跌勢，所造成流動性降低的幅度，會比市場報酬上漲致使流動性增加的幅度還要大。伴隨市場下跌而造成市場流動性之枯竭，在一些國家之中與金融機構資金流動性的供給緊縮有關。另一方面，波動度較高的市場，在報酬下跌期間，其流動性變動幅度亦較大。而本研究尚發現各國市場流動性和全球流動性之間，彼此具同方向的變動關係，顯現出流動性共變的現象。This paper adopts the theoretical framework of Hameed, Kang, and Viswanathan (2010) while employing Amihud’s (2002) illiquidity ratio to measure overall market’s liquidity. This empirical study examines the impact of market returns on liquidity provision in 46 countries and the prediction that liquidity levels would respond asymmetrically to positive and negative market returns. Moreover, this paper investigates the relationship between overall liquidity and funding constraints when market declines. The empirical results indicate negative market returns have much more stronger influence on market liquidity than positive market returns. Liquidity dry-ups following market declines are related to tightness in funding liquidity in some countries. On the other hand, changes in market liquidity are sensitive to higher volatility, particularly following periods of market declines. Meanwhile, this paper also suggests country market liquidity is positively related to the overall liquidity in the world, exhibiting the phenomenon of commonality in liquidity