台灣股票市場之機構投資人持股與系統流動性關係
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![表 4 個股之流動性貝它與機構投資人持股之橫斷關係 Panel A: 觀察期間1982~2008年 模式1 模式2 模式3 模式4 模式5 本國投信基金持股 0.341 *** 0.324 ** [2.69] [2.54] 非投信基金之其它本國機構持股 -0.130 * -0.065 [-1.81] [-1.43] 本國機構持股 -0.043 [-0.96] 外資持股 -0.063 -0.092 * [-1.31] [-1.81] ln(Size ) 規模 0.111 *** 0.118 *** 0](https://thumb-ap.123doks.com/thumbv2/9libinfo/8356777.176610/15.1092.101.991.126.591/模式模式模式模式模式本國投信非投信基金之本國機構持股持股規模.webp)
![表 9 不含個股均權平均市場流動性變化之系統流動性分析 Panel A：不同規模股票組合流動性Beta 大型股 中型股 小型股 1.049 1.030 0.853 0.196 *** [18.099] Panel B：流動性Beta時間趨勢 (β t =η+θt+ε t ) 大型股 中型股 小型股 0.924 *** 0.951 *** 0.914 *** 0.011 [28.777] [26.232] [22.308] [0.254] 0.007 *** 0.004 ** -0.003 0.01](https://thumb-ap.123doks.com/thumbv2/9libinfo/8356777.176610/25.774.93.701.148.732/不含個權平均系統流小型股Panel時間趨勢βt=η+θ大型股小型股.webp)
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