| Summary: | 博士 === 國立高雄第一科技大學 === 管理研究所 === 99 === 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 1986 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 compamies 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 compamies.
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