股票購回期間之市場流動性研究

Market Liquidity during Stock Repurchases Period

10.6226/NTURM2008.19.1.299

王錦瑩(Jin-Ying Wang)

股票購回 ； 市場流動性 ； 買賣價差 ； stock repurchase ； liquidity ； bid-ask spreads

臺大管理論叢

19卷1期（2008 / 12 / 01）

299 - 325

繁體中文

本文探討台灣的上市公司在股票購回期間的市場流動性變化，以買賣價差衡量市場流動性。本文的實證結果發現，在公司股票購回期間，股票買賣價差會有縮小的現象，在考慮股價、成交量與股價波動度後亦同，因此，公司的股票購回行為會改善其股票的市場流動性。本文也發現，公司並不會利用其資訊優勢，以成本極小化的方式，選擇有利時機購回股票。投資人也不會因為公司積極的股票購回行為而退出市場。綜合而言，本文的研究結果符合競爭造市者假說之論點。

This paper explores stock repurchase effect on market liquidity in Taiwan. Results indicate that bid-ask spreads narrow during the stock repurchase period. Results remain the same after controlling for price, volume, and volatility Thus, stock repurchase improves market liquidity. This paper finds that in regard to stock repurchase timing, corporations do not use information advantage to buy back stocks toward cost minimization Investors also do not withdraw from the market when firms actively buy back their stocks Therefore the competing market hypothesis powerfully explains liquidity impact of open market repurchase.

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