Institute of Business and Management
|Keywords:||系統流動性;機構持股;新興市場;systematic liquidity;institutional ownership;emerging markets|
Systematic liquidity is the sensitivity of individual stock's liquidity to variations in market liquidity. This study investigates the long-term evolution of systematic liquidity, size effect and its relation to institutional ownership in an emerging market. Using the data of Taiwan Stock Exchange (TWSE) for the period of 1982 to 2008, we find systematic liquidity is significantly positively related to firm size and appears a negative time trend for all stocks and size portfolios. Since the small-cap stocks have a larger decreasing rate of systematic liquidity than large-cap stocks, the differences in systematic liquidity between large and small stocks increase over time. In contrast with the developed markets explored on the previous literature, only ownership by domestic securities investment trust companies has positive impact on systematic liquidity. Generally, ownership by foreign institutions and other domestic institutions has negative impact on systematic liquidity. The evidence indicates that foreign institutions and other domestic institutions tend to be long-term investors with less frequent trading than domestic securities investment trust companies.
Journal of Management and Systems
|Appears in Collections:||Journal of Management and System|
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