庫藏股制度讓上市上櫃公司能夠在公開市場上買回自家公司的股票，一般而言，公司在宣告股票買回事件後，對於投資人而言等於是公司發出一項對未來前景樂觀的訊息，因此該宣告公司的股價通常會有一波上漲的情勢，但是投資人是否會因此而多去購買，導致股票的流動性提高？本研究結合股票買回和流動性間的相關性，探討公司進行股票買回後對股票之市場流動性的影響，並進一步將買回事件依不同之影響因素分層，分別考慮公司規模、股價、產業別、買回目的、買回執行比例、內部人及三大法人持股比例等，並在不同分層下，利用三種流動性衡量指標，觀察股票在前後期流動性變化的情形。
　　在成對樣本平均數差異檢定下，實證結果顯示，樣本股票在宣告股票買回後，流動性提高，支持流動性增加的假說，股票買回和流動性之間為正向關係。在分層因素的討論之下，公司規模愈小或股價愈低，則公司進行股票買回的動作，將有助於提高股票在市場的流動性。非電子類股、買回目的為註銷及維護股東權益者，進行股票買回，可使其股票的市場流動性提高。內部人持股比例較高與較低的公司進行股票買回，也會導致股票短期進出，流動性增加；三大法人持股比例較高的公司進行股票買回，將使一般散戶投資人跟從主力投資，流動性提高。買回執行比例多寡並非影響流動性增減的因素，但股票買回後之流動性仍有呈現大部分提高的情況，支持流動性增加的假說。

　　Treasury stock system allows listed companies to buy back their own shares in the open market. In general, when the company announced stock repurchase event, investors are optimistic about the prospects of the company. Therefore, the company's stock price usually rises. But will investors buy more stocks, leading to increased liquidity of stocks? This study combines with stock repurchase and liquidity to investigate the impact of stock repurchase on liquidity. Further events will be studied by different factors stratified, including firm size, stock price, industry, the purpose of stock repurchase, the proportion of execution, the holding ratio of insiders and institutional investors. By using three types of liquidity measures, the study is to observe the changes of liquidity of stocks in the different situations.
　　After conducting mean difference in pair-sample test, the empirical results indicate that the sample stocks in the stock repurchase announcement, the outcome supports liquidity increase hypothesis. In terms of the stratification factors, the smaller of the company size or lower stock price will help increase the liquidity of the stock in the market. Non-electronics sector, aims to buy back equity write-off shares can improve market liquidity. Higher or lower percentage of insider ownership shares in　companies will lead to the increase of stock liquidity. Higher holding shares proportion of institutional investor in companies will increase liquidity. The amount of execution ratio is of no factors, but the liquidity of the stock repurchase still supports the liquidity increase hypothesis.

摘要 ................................................................................................................................ i
Abstract ......................................................................................................................... ii
目錄 ...............................................................................................................................iii
表目錄 ............................................................................................................................ v
圖目錄 ........................................................................................................................... vi
第一章 緒論 ................................................................................................................ 1
　　第一節研究背景與動機 ...................................................................................... 1
　　第二節研究目的 .................................................................................................. 4
　　第三節研究流程與架構 ...................................................................................... 4
第二章理論與文獻探討 ............................................................................................ 7
　　第一節股票買回動機之相關理論 ...................................................................... 7
　　第二節股票買回對流動性影響之相關理論 ...................................................... 7
　　第三節股票買回對流動性影響之文獻探討 .................................................... 10
　　第四節股票買回決定因素之文獻探討 ............................................................ 13
第三章研究方法 ...................................................................................................... 15
　　第一節流動性變數定義 .................................................................................... 15
　　第二節研究方法 ................................................................................................ 17
第四章實證結果與分析 .......................................................................................... 20
　　第一節股票買回前後流動性的變化 ................................................................ 20
　　第二節以規模、股價為分層 ............................................................................ 25
　　第三節以產業別、買回目的為分層 ................................................................ 27
　　第四節以買回執行比例、內部人及三大法人持股比例為分層 .................... 28
第五章結論與建議 .................................................................................................. 32
　　第一節研究結論 ................................................................................................ 32
　　第二節研究建議 ................................................................................................ 33
參考文獻 ...................................................................................................................... 34

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