An Analysis of Liquidity Changes during Stock Market Downturns from the Perspective of Capital Flights

[[abstract]]流動性喪失是金融危機的主要現象，也是導致危機更加惡化的原因。雖然在金融危機中，整體市場的流動性大幅降低，但是具有某些特性的證券，相對地仍受到投資人青睞，而保有較高流動性。從過去文獻可知，在股市重挫時期，投資人會更關心股票的價格波動、流動性和公司治理，因而將資金轉移至低價格波動、高流動性和公司治理較佳的股票。基於此金融危機之資金轉移觀點，本研究檢驗台灣股市下跌時，股票的價格波動、流動性和公司治理等特性，是否會影響股票的流動性變化和價格變化關係，以及如何影響股票的系統流動性風險。[[abstract]]The lack of liquidity is always identified as the symptom of market crash and is blamed for exacerbating its consequences. Although the market wide liquidity decreases during financial crisis, some securities experience a smaller decrease than others. According to literature, investors are concerned for volatility, liquidity and corporate governance of stocks during bad times. They tend to reallocate their capital to those stocks with lower volatility, higher liquidity, and better corporate governance. Based on the perspective of capital flights, this study examines the cross-sectional differences in illiquidity to return sensitivity and systematic liquidity risk among stocks that differ in volatility, liquidity, and corporate governance during market declines.[[note]]NSC99-2410-H327-01