市場流動性連動效應 (commonality in liquidity) 係指個股流動性隨市場整體流動性環境同步波動的現象，屬於市場微結構的系統性風險特徵。然而，機構投資人持股如何影響此一連動現象，現有實證結果仍存在分歧。過去文獻多將機構投資人視為同質群體進行分類，忽略不同機構投資人效果相互抵銷所致的估計偏誤。本研究結合「註冊地屬性」與「持股期限」之二維分類架構，將機構投資人持股區分成國內外及長短期持股，以2017至2025年臺灣上市公司為樣本，檢驗機構投資人異質性對市場流動性連動效應的影響，並以公司治理評鑑結果檢驗治理品質的調節效果。此外，由於樣本中高淨值個人投資人持股比例較高，因此本研究將其納入模型並加以控制，以排除該類持股結構所致之估計偏誤。
實證結果顯示，整體機構投資人持股與市場流動性連動效應呈顯著負向關係，顯示其在臺灣市場整體上具備穩定市場流動性的功能；高淨值個人投資人持股同樣呈顯著負向關係。惟機構投資人持股之效果隨其類型差異而分化。國內長期機構投資人持股顯著降低市場流動性連動效應，符合持股較為穩定之機構投資人有助於減緩市場流動性連動之預期；國內短期機構投資人亦呈負向效果，可能反映本國機構投資人具備在地資訊優勢，交易決策較不依賴市場整體訊號。長期機構投資人中，又以具策略性持股目的之企業法人降低市場流動性連動效應效果最為穩健。此外，公司治理評鑑品質對機構投資人持股效果具有調節作用，尤以外國機構投資人維度最為顯著，其持股在治理品質較高之企業中提升市場流動性連動效應，然而在治理評等較低的企業中則以監督功能與認證信號效果為主導。據此，本研究建議監理機關與投資者在評估市場流動性連動風險時，應將機構投資人持股組成之異質性納入考量。

Commonality in liquidity, defined as the co-movement of individual stock liquidity with aggregate market liquidity. However, the role of institutional ownership in driving this phenomenon remains empirically inconclusive. Existing literature treats institutional investors as homogeneous, obscuring net effects from offsetting influences across types. Using Taiwan Stock Exchange-listed firms from 2017 to 2025, this study employs a two-dimensional framework based on investor domicile and holding horizon to examine how ownership heterogeneity affects liquidity commonality, with corporate governance quality tested as a moderator. This study also considers the ownership structure of Individual Investors and includes it in the model as a control variable.
The results show that aggregate institutional and Individual Investor ownership both significantly reduce liquidity commonality, though effects diverge by institutional type. Domestic long-term institutions dampen co-movement, consistent with ownership stability mitigating market-wide fluctuations. Domestic short-term institutions also show negative effects, reflecting superior local information and reduced reliance on aggregate signals. Among long-term subtypes, corporate with strategic ownership exhibit the most robust negative effect. Corporate governance quality is found to condition the effect of foreign institutional ownership most prominently. Foreign ownership amplifies liquidity commonality in well-governed firms, whereas monitoring and certification effects dominate in weakly governed ones. These findings suggest that regulators and investors should account for the heterogeneity in institutional ownership composition when assessing liquidity commonality risk.

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