| Summary: | 碩士 === 國立臺中科技大學 === 財務金融研究所碩士班 === 105 === The purpose of this study is to explore the impact of implied volatility indices on Taiwan stock market liquidity. First, the relationship between Taiwan''s implied volatility index and the liquidity of Taiwan''s stock market is observed. The empirical results show that Taiwan''s implied volatility index is negatively correlated with the liquidity of Taiwan stock market. When Taiwan''s implied volatility index rises, it will lead to a decrease in the liquidity of the Taiwan stock market, that is, when the volatility in the market is more obvious, it will increase the transaction costs of the market transaction process, increase the difficulty of market trading, and reduce the Taiwan stock market liquidity. This study further analyzes the impact of the implied volatility index on the liquidity of the Taiwan stock market. Empirical evidence shows that the influence is different. The possible reason is that Taiwan''s implied volatility index is close to information that fully reflects the US Implied Volatility Index. In addition, this study observes the impact of Taiwanese investor sentimental panic on Taiwan''s stock market liquidity. The empirical results that when investors are worried about the future trend of the market, will lead to Taiwan''s stock market liquidity decline.
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