摘 要
過去，許多針對股票流動性大小與股票報酬間相關性的研究發現，流動性較低的股票，往往必須付出較高的報酬，始能獲得投資人的青睞。因此在股票流動性與其報酬間往往具有顯著的負向關係。而在風險驅避的假設之下，理性的投資人理應希望投資標的之流動性不會有太大的變化，因此對於流動性變化較高的股票，投資人希望得到較高的報酬作為補償。本研究假設股票流動性的變異程度與其報酬率間應具有正向的關係。本研究以股票之周轉率以及成交量作為流動性之替代變數，探討流動性以及流動性變異與股票報酬間之關係。然而本研究的實證分析發現，相對於以上的假設，在控制了規模、淨值市價比以及成交量和周轉率的大小後，台灣上市公司製造業族群中，部分產業其股票報酬與股票流動性的變異間存在有顯著負向關係；而股票的流動性與報酬率間呈反向關係，此與過去的文獻相一致。

Abstract
Past literature on the relationship between the liquidity and the stock return showed that in order to attract the investors, the stocks with lower liquidity have to give more premium to the investor. That is there exists a strong negative relationship between the liquidity and return. Under the risk-adverse world, the rational investors should hope that there wouldn’t be higher variation in liquidity. With the higher variation, the investors require to gain more premium for compensation. This paper hypothesizes the positive relationship between the variation of liquidity and the return. We use turnover and trading volume as the proxies of liquidity. Evidence reveals that there is a negative relation between the liquidity and return in part of the manufacture industries of the Taiwan stock market after controlling the size, book-to-market ratio, trading volume and turnover. However, the variation of liquidities are negatively correlated with stock returns.

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