Liquidity and Holding Periods: Evidence from Futures Markets

[[abstract]]流動性顧客效果(Amihud and Mendelson 1986)主張，流動性越低的資產，越會被長期投資者持有，反之，流動性越高的資產，越會被短期投資者持有。本文以2000年1月~2009年12月台灣期貨交易所的台股期貨、電子期貨及金融期貨為研究對象，檢驗期貨契約的不流動性與持有期間關係。實證結果發現，台股期貨的不流動性越高，期貨持有期間越長；而在電子期貨與金融期貨中，該效果並不存在。再者，景氣循環對期貨不流動性與期貨持有期間關係具干擾效果。最後，期貨契約之價格波動性與期貨持有期間具負向關係，而期貨契約之定價偏誤和價格波動性則與期貨不流動性具正向關係。[[abstract]]The liquidity clientele effect proposed by Amihud and Mendelson (1986) asserts that assets with higher (lower) illiquidity will be held by investors with longer (shorter) holding periods This study examines the relationship between illiquidity and holding periods for three index futures contracts traded on the Taiwan Futures Exchange (TAIFEX) form 2000 through 2009 The result shows that a significantly positive relationship between holding periods and illiquidity for one future contracts Furthermore we find that the business cycle has a moderating effect on the relationship between illiquidity and holding periods Finally the price volatility is negatively related to the holding periods while the mispricing and the price volatility are positively related to illiquidit