本文探討流動性及投資組合持股比例對於投資組合風險值預測之影響。本文與過往文獻不同之處在於，第一，取代直接導入流動性風險因子及進入風險值估算的方法，本文使用分析流動性及投資組合的外資和散戶持股比例對於使用單變量與多變量模型計算投資組合風險值的影響。第二，本文使用台灣50 與中型100 指數之成分股建立十組權重相等的投資組合，一、使用Amihud (2002)提出的流動性不足之衡量區別個股的流動性，二、使用外資及散戶持股比例之高低區別個股間的投資組合權重。第三，過往文獻有關於流動性共變的研究指出在個別股票橫斷面上會受到整體市場流動性之影響，並探討外資及散戶持股比例是否會同樣受到整體市場流動性之影響。本文在研究期間中考慮三個危機期間，分別為2008年的金融海嘯、2011年的歐債危機以及2015年的萬點崩盤，用以分析流動性共變及投資組合持股比例之因素對於投資組合風險值估計的影響。
This paper discusses the impact of liquidity and shareholding proportion of investment portfolio on the prediction of Value at Risk (VaR) of investment portfolio. There are three main differences between this paper and previous literature. Firstly, it conducts the analysis of liquidity and shareholding proportion of foreign and private investors of investment portfolio via univariate and multivariate model to calculate the impact on VaR of investment portfolio instead of directly utilizing liquidity risk factors and conducting VaR estimation. Secondly, ten equally-weighted investment portfolios are established using Taiwan 50 Index and Medium 100 Index: (1) via measurement and distinction of liquidity of individual share in case of liquidity shortage by Amihud (2002); (2) via distinction of the portfolio weight of individual share according to the shareholding proportion of foreign investors and private investors. Thirdly, previous literature regarding the research of liquidity co-variation has pointed out that cross-section of individual shares are affected by the liquidity of the overall market and has studied whether the shareholding proportion of foreign and private investors are both affected by the liquidity of the overall market. This paper takes three crises into consideration which include the Financial Crisis in 2008, the European debt crisis in 2011 and the Market Crash in 2015 in order to analyze the impact of liquidity co-variation and shareholding proportion of investment portfolio on the prediction of VaR of portfolio.
