股票股利一直為台灣上市公司所偏好的一項股利政策之一。而股票股利實際上只有改變資產負債表的結構，對於公司實際未來現金流量並沒有影響。故股票股利之發放對股票市場影響理論上應不存在，實際上卻非如此。部分學者認為股票股利的發放會使得股價下降至一合理區間，更吸引投資人來購買以增加股票流動性；或藉由股票股利的發放使流通在外的股數增加，交易量增大而流動性增加。而先前文獻多探討股票股利對股價的影響，本研究著重於股票股利發放後，投資人是否會因為股價下降而多去購買，導致流動性增加，利用三種流動性衡量指標實證分析，並根據結果推測實證可能的原因。結果摘要如下： 1. 以除權日衡量流動性： 除權日前後十天及二十天以買賣價差衡量的結果流動性增加，但以週轉率和馬丁指數衡量的結果流動性均下降。 2. 以宣告日衡量流動性： 宣告日前後十天及二十天以買賣價差衡量的結果流動性下降，但以週轉率和馬丁指數衡量的結果流動性均增加。 本研究實證結果顯示，除權日之後股票的流動性並沒有增加，表示台灣股市並不支持最適價格假說，推測造成這樣的原因除了不同偏好、不同預期投資人會在除權日前先行操作外，另外一可能因素為資訊的先行反應。故加入宣告日作為事件日加以實證，發現除了買賣價差外，宣告日後流動性的確有增加，實證支持宣告效果有可能使投資人先行反應操作。 Paying stock dividends is a common financial policy of Taiwanese firms. Yet, stock dividends merely increase shares outstanding with a corresponding decrease in stock price, and should have no effect on firm valuations and investors’ behavior. However, many studies indicate the contrary. Stock dividends seem to have impacts on various stock characteristics such as volatility, returns, and liquidity. This study investigates empirically the change in stock liquidity around ex-dividend and stock dividends announcement dates. The findings suggest that stock liquidity decreases after stock dividend distributions. This is inconsistent with the optimal price range hypothesis. Since the information of stock dividends are released at the announcement date, we perform tests around the announcement date to control for possible information leakage at that date. The empirical results suggest that liquidity does increase after announcement dates. Hence, it is likely that the effects of stock dividends on liquidity have been impounded at the announcement date.
