Responsive image
博碩士論文 etd-0617118-082744 詳細資訊
Title page for etd-0617118-082744
論文名稱
Title
法人流動性對低波動異常現象的影響
Liquidity Risk for Institutional Investors Impact on Low-volatility Anomaly
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
46
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2018-04-23
繳交日期
Date of Submission
2018-07-17
關鍵字
Keywords
低波動異常現象、流動性傳遞效果、法人
low-volatility anomaly, transmission of liquidity risk, institutional investor
統計
Statistics
本論文已被瀏覽 5778 次,被下載 312
The thesis/dissertation has been browsed 5778 times, has been downloaded 312 times.
中文摘要
Ang, Hodrick, Xing, and Zhang (2006)研究結果發現美國股票市場的股票具有高風險但低報酬的特性,此研究結果與傳統財務理論提倡的高風險高報酬的論點並不一致,稱之低波動異常現象(Low-volatility anomaly)。相關文獻指出法人的交易行為可能是影響風險與報酬之間為負向關係的因素之一。近期的研究指出有資金限制的法人容易推升高波動股票的價格,使得高波動股票後續具有較低的異常報酬,此交易行為可能會產生低波動異常現象。另一方面,套利限制(limits of arbitrage)也是影響法人利用套利方式將股票拉回基本價值的影響因素,行為財務學者指出當機構投資人的套利風險上升,會提高他們的套利成本。特別而言,當銀行內部資金市場狀態處於資金流動性緊縮時,會降低法人的資金流動性導致他們傾向出售手上所持有的股票以增加流動性,此交易行為容易加強低波動異常現象。截止至2015年2月法人佔台股成交比重已高達51.8%,其中隨著國際化各國開放外國資金進入,使得國際資金就佔達台灣股市市值三分之一,總體而言,觀察法人的交易行為對台灣股票市場具有重要的意義。因此,研究法人在資金流動性對低波動異常現象的影響具有重要的意義,本研究得出相關結論如下:
1. 台灣市場存在低波動異常現象。
2. 法人的淨買入正向增強低波動異常現象,表示法人在形成期持續買入高波動股票,推升股票價格,而後在持有期1周法人停止購買高波動股票,導致高波動股票價格下降,使得高波動股票報酬低於低波動股票報酬。
3. 美國資金市場的流動性傳遞效果正向影響低波動異常現象。
Abstract
Ang, Hodrick, Xing, and Zhang (2006) show that there is negative relation between risk and expected return in U.S stock markets, which is referred to “low-volatility anomaly”. This anomaly counters finance theory argument that high risk is compensated with the higher return. Prior literature documents that constrained institutional investors bid up high-volatility assets, high-volatility stocks is associated with low alpha, and thus may generate in the low-volatility anomaly. On the other hand, behavioral finance theory argues that with limited liability or risk aversion, arbitrageurs might be unwilling or unable to decrease mispricing due to the limits of arbitrage. Therefore, institutional trading plays an influential role of low-volatility anomaly. Particularly, the tightness of liquidity in institutional investors following the tightness of the interbank market. Consequently, institutional investors tend to liquidate existing holding stocks to increase their liquidity. This selling pressure may cause the low-volatility anomaly. According to an official report in 2015, the proportion of institutional investors on Taiwan stock is reaching to 51.8% and among this, foreign institutional investors hold over one-third of the total market value. Hence, there is an important implication to investigate the institutional trading on Taiwan stock market. In this study, Taiwan stock market as setting, we examine whether the liquidity of institutional investors have impact on the low-volatility anomaly. The empirical results are as following:
1. Taiwan stock market has low-volatility anomaly.
2. The net buying of institutional investor has a significantly positive impact on the low-volatility anomaly. Furthermore, we show that during the holding period 1 week, the institutional investors suspend buying on high-volatility stocks; leading to downward stock prices. Accordingly, high-volatility stocks underperformance than low-volatility stocks.
3. The liquidity risk from U.S. interbank market can transmit to Taiwan stock market through subsidiaries and thereby influence the liquidity of Taiwan stock market. Therefore, the transmission of liquidity risk has positive impact on the low-volatility anomaly.
目次 Table of Contents
論文審定書 i
摘要 ii
Abstract iii
目錄 v
圖次 vii
表次 viii
第一章 緒論 1
第一節 研究動機 1
第二節 研究架構 6
第二章 文獻探討 7
第一節 低波動異常現象 7
第二節 法人的交易行為 9
第三節 資金流動性的傳遞效果對內部資金市場和股票市場影響 10
第三章 建立假說 13
第四章 研究方法 15
第一節 投資組合建構 15
第二節 美國流動性的傳遞效果影響台灣內部資金流動性 17
第三節 樣本來源及控制變數說明 18
第四節 模型建立 20
第五章 實證結果 21
第一節 敘述性統計 21
第二節 台灣股票市場的低波動異常現象 23
第三節 法人交易行為與低波動異常現象 25
第四節 流動性的傳遞效果對低波動異常現象的影響 29
第六章 結論與建議 32
第一節 結論 32
第二節 研究貢獻 34
第三節 未來研究方向 34
參考文獻 35
參考文獻 References
中文文獻
邱臙珍(2014),「流動性共變影響因子之研究:資金流動性與機構投資人交易行為觀點」,經濟研究, 50(2),211-289。
徐維志(2016),「台灣股市應用低風險異常現象形成之中立策略」,國立中山大學。
張獻文(2014),「流動性共變與台灣市場波動度」,國立高雄第一科技大學。
彭怡姿(2017),「機構法人持股與公司股價報酬波動性之關係」,銘傳大學。
彭淮南(2014),「美國可能升息對台灣之影響及因應,暨四波選擇性信用管制與房貸風險權數調整之成效」,中央銀行。
劉晉嘉(2011),「跨國股票市場之間的蔓延效果」,銘傳大學。
英文文獻
Akbas, F., Armstrong, W. J., Sorescu, S., and Subrahmanyam, A., 2015. Smart money, dumb money, and capital market anomalies. Journal of Financial Economics, 118, 355-382.
Amihud, Y., and Mendelson, H., 1989. The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns. Journal of Finance, 44, 479-486.
Ang, A., Hodrick, R. J., Xing, Y., and Zhang, X., 2006. The Cross-Section of Volatility and Expected Returns. Journal of Finance, 61, 259-299.
Ang, A., Hodrick, R. J., Xing, Y., and Zhang, X., 2009. High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence. Journal of Financial Economics, 91, 1-23.
Baker, M., Bradley, B., and Wurgler, J., 2011. Benchmarks as limits to arbitrage: understanding the low-volatility anomaly. Financial Aalysts Journal, 67, 40-54.
Benston, G., and Hagerman, R., 1974. Determinants of Bid-Asked Spreads in the OTC Market. Journal of Financial Economics, 1, 353-364
Bindseil, U., Nyborg, K. G., and Strebulaev, I. A., 2009. Repo Auctions and the Market for Liquidity. Journal of Money, Credit and Banking, 41, 1391-1421.
Black, F., 1971. Toward a fully automated stock exchange. Financial Aalysts Journal, 27, 29-34.
Black, F., 1972. Capital Market Equilibrium with Restricted Borrowing.Journal of business, 45, 444-456.
Brockman, P., and Chung, D. Y., 2002. Commonality in Liquidity: Evidence from an Order-Driven Market Structure. Journal of Financial Research, 25, 521-539.
Brunnermeier, M. K., and Pedersen, L. H., 2009. Market Liquidity and Funding Liquidity. Review of Financial Studies, 22, 2201-2238.
Carole, C.-F., Hendershott, T., Jones, C. M., Moulton, P. C., and Seasholes, M. S., 2010. Time Variation in Liquidity: The Role of Market-Maker Inventories and Revenues. Journal of Finance, 65, 295-331.
Cetorelli, N., and Goldberg, L. S., 2011. Global Banks and International Shock Transmission: Evidence from the Crisis. IMF Economic Review, 59, 41-76.
Coval, J., and Stafford, E., 2007. Asset fire sales (and purchases) in equity markets. Journal of Financial Economics, 86, 479-512.
Dasgupta, A., Prat, A., and Verardo, M., 2011. Institutional Trade Persistence and Long-Term Equity Returns. Journal of Finance, 66, 635-653.
Edelen, R. M., Ince, O. S., and Kadlec, G. B., 2016. Institutional investors and stock return anomalies. Journal of Financial Economics, 119, 472-488.
Förster, M., Jorra, M., and Tillmann, P., 2014. The dynamics of international capital flows: Results from a dynamic hierarchical factor model. Journal of International Money and Finance, 48, 101-124.
Fair, R. C., 2002. Events That Shook the Market. Journal of Business, 75, 713-731.
Fleming, M. J., and Remolona, E. M., 1997. What Move the Bond Market.
Frazzini, A., and Lamont, O. A., 2008. Dumb money: Mutual fund flows and the cross-section of stock returns. Journal of Financial Economics, 88, 299-322.
Frazzini, A., and Pedersen, L. H., 2014. Betting Against Beta. Journal of Financial Economics, 111, 1-25.
Giannetti, M., and Laeven, L., 2012. The flight home effect: Evidence from the syndicated loan market during financial crises. Journal of Financial Economics, 104, 23-43.
Gompers, P. A., and Metrick, A., 2001. Institutional Investors and Equity Prices. Quarterly Journal of Economics, 116, 229-259.
Jeon, B. N., Olivero, M. P., and Wu, J., 2013. Multinational banking and the international transmission of financial shocks: Evidence from foreign bank subsidiaries. Journal of Banking and Finance, 37, 952-972.
Jotikasthira, C., Lundblad, C., and Ramadorai, T., 2012. Asset Fire Sales and Purchases and the International Transmission of Funding Shocks. Journal of Finance, 67, 2015-2050.
Kaminsky, G. L., and Reinhart, C. M., 2002. Financial markets in times of stress. Journal of Development Economics, 69, 451-470.
Karceski, J., 2002. Returns-Chasing Behavior, Mutual Funds, and Beta's Death. Journal of Financial and Quantitative Analysis, 37, 559-594.
Karolyi, G. A., Lee, K.-H., and van Dijk, M. A., 2012. Understanding commonality in liquidity around the world. Journal of Financial Economics, 105, 82-112.
Kose, M. A., Otrok, C., and Prasad, E., 2012. Global business cycles: convergence or decoupling?. International Economic Review, 53, 511-538.
Kyle, A. S., 1985. Continuous Auctions and Insider Trading. Econometrica, 53, 1315-1335.
Li, X., Sullivan, R. N., and Garcia-Feijóo, L., 2014. The limits to arbitrage and the low-volatility anomaly. Financial Aalysts Journal, 70, 52-63.
Liao, L.-C., Chou, R. Y., and Chiu, B., 2013. Anchoring effect on foreign institutional investors’ momentum trading behavior: Evidence from the Taiwan stock market. North American Journal of Economics and Finance, 26, 72-91
Lintner, J., 1965. The Valuation of Risk Assets and the Selection of Risky Investment in Stock Portfolios and Capital Budgets. Review of Economics and Statistics, 47, 13-37.
Markowitz, H., 1952. The Utility of Wealth. Journal of Political Economy, 60, 151-158.
Martín, G. R., and Eduardo, L. Y., 2008. Global Factors and Emerging Market Spreads. Economic Journal, 118, 1917-1936.
Mossin, J., 1966. Equilibrium in a Capital Asset Market. Econometrica, 34, 768-783.
Nyborg, K. G., and Östberg, P., 2014. Money and liquidity in financial markets. Journal of Financial Economics, 112, 30-52.
Peek, J., and Rosengren, E. S., 1997. The International Transmission of Financial Shocks: The Case of Japan. American Economic Review, 87, 495-505.
Piazzesi, M., 2005. Bond Yields and the Federal Reserve. Journal of Political Economy, 113, 311-344.
Sharpe, W. F., 1964. Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk. Journal of Finance, 44, 425-442.
Shleifer, A., and Vishny, R. W., 1997. The Limits of Arbitrage. Journal of Finance, 52, 35-55.
Sias, R. W., 1996. Volatility and the instituational investor. Financial Aalysts Journal, 52, 13-20.
Wermers, R., 2003. Is Money Really 'Smart'? New Evidence on the Relation Between Mutual Fund Flows, Manager Behavior, and Performance Persistence. Working Paper, University of Maryland.
電子全文 Fulltext
本電子全文僅授權使用者為學術研究之目的,進行個人非營利性質之檢索、閱讀、列印。請遵守中華民國著作權法之相關規定,切勿任意重製、散佈、改作、轉貼、播送,以免觸法。
論文使用權限 Thesis access permission:校內校外完全公開 unrestricted
開放時間 Available:
校內 Campus: 已公開 available
校外 Off-campus: 已公開 available


紙本論文 Printed copies
紙本論文的公開資訊在102學年度以後相對較為完整。如果需要查詢101學年度以前的紙本論文公開資訊,請聯繫圖資處紙本論文服務櫃台。如有不便之處敬請見諒。
開放時間 available 已公開 available

QR Code