本文研究 1992 年至 2011 年台灣外匯及股票市場流動性與景氣循環之關係，以 Amihud (2002)不流動性指標衡量市場流動性，研究結果發現外匯與股票市場之流動性長期存在穩定的領先落後關係(lead-lag relationship)，表示近二十年來，台灣股票市場之流動性主要受到外匯市場之流動性的影響，意即當外匯市場發生不流動(流動)的情況時，股票市場也會產生不流動(流動)的情況，顯示兩市場之流動性間存在外溢效果(spillover effect)，其主要因素為台灣股票市場組成比例以外資與散戶居多，而外資普遍被認為是具資訊優勢的一群人，造成股票與外匯市場會形成強烈的連結。此外，研究之樣本期間涵蓋國內第八次至第十二次景氣衰退期，進一步檢驗衰退期間兩市場之流動性結果發現，市場流動性指標在不同衰退期會有不同的外溢方向，隱含衰退期間內兩市場之流動性不存在長期穩定的領先落後關係，導因於市場流動性指標能反應景氣衰退形成原因。最後， N{AE}s, Skjeltrop and {O}degaard (2011) 發現股票市場流動性可以作為景氣的領先指標，本文以相同的景氣預測模型，採台灣實質國內生產毛額成長率作為景氣指標，研究結果發現外匯及股票市場流動性皆能夠有效預測景氣指標，又以外匯市場流動性更為領先，此隱含外匯與股票市場之流動性確實存在長期穩定的領先落後關係。本文考慮市場流動性指標在不同衰退期會有不同的外溢方向，同時將外匯及股票市場之流動性納入景氣預測模型，結果發現雙市場流動性指標之預測模型解釋能力比單一市場流動性指標之預測模型更為優秀，因此建議景氣指標預測模型應同時納入外匯與股票市場之流動性指標，藉以反應景氣衰退形成原因的不同。This paper explores the relationship between foreign exchange and stock market liquidity with business cyclefrom 1992 to 2011 in Taiwan. We evaluate market liquidity by Amihud (2002) illiquidity measure, the result shows that there is a long-run and stable lead-lag relationship between foreign exchange and stock market liquidity. That means stock market liquidity is affected by foreign exchange market liquidity in recent 20 years. In other words, if foreign exchange market liquidity gets worse thenstock market liquidity will also gets worse. That shows that there is a spillover effect between foreign exchange and stock market liquidity. The main reason is that Taiwan stock market is mostly composed by foreign institutional ownership, and it causes that foreign exchange and stock market have a strong connection. In addition, this sample period includes five-times recession, we explores the relationship between foreign exchange and stock market liquidity in different recessions and we find that the direction of spillover effect will be different if the relationship between foreign exchange and stock market liquidity is in different recessions. This implys that there is no a long-run and stable lead-lag relationshipbetween foreign exchange and stock market liquidity in recession period. The reason is that market liquidity can response the origin of recession. In final, N{AE}s, Skjeltrop and {O}Degaard (2011) suggest us that stock market liquidity is a good predictor for estimating the future state of the economy. So, we take the same in-sample prediction model and use real GDP growth rate of Taiwan as proxy for state of the economy. The result shows that foreign exchange and stock market liquidity are bothgood predictor for estimating the future state of the economy and we find that foreign exchange market liquidity is more leading. We consider that the direction of spillover effect will be different if the relationship between foreign exchange and stock market liquidity is in different recessions, so we suggest putting foreign exchange and stock market liquidity together into the in-sample prediction model. In this way, we find that the performance of two markets liquidity model is better than single liquidity model, because two markets liquidity model can response different origin of recessions.
