本文探討個股崩盤及市場崩盤風險對於流動性與流動性共變的影響。實證結果發現個股及市場崩盤風險與流動性有顯著正相關系，且市場崩盤對於流動性的影響程度大於個股崩盤的影響。市場劇烈變動時，市場崩盤與流動性有正關聯性，但是個股股價崩盤並未顯著增加或降低對於流動性影響。實證結果也顯示市場崩盤風險會增加個股流動性共變的程度。相對於投資人情緒高昂期間，投資人情緒低落期間，市場崩盤與流動性共變關係有較高程度的影響。整體而言，市場崩盤風險對於流動性及流動性共變的影響程度大於個別股價崩盤風險。

This study examines the impacts of stock price crashes and market crashes on liquidity and commonailty in liquidity. Regression results reveal several key findings. First, both stock price crashes and market crashes are positively related to future stock liquidity. Moreover, the influences of the latter are greater than the former. Second, under large market shocks, market crashes are positively associated with liquidity, whereas stock price crashes have no impacts. Third, the market crashes increase the commonality in liquidity. Market crashes have greater influences on commonailty in liquidity during the period of low sentiment compared to the period of high sentiment. To summarize, compared to stock price crashes, market crashes have greater impacts on both liquidity and commonality in liquidity.