近年來加密貨幣市場快速發展，逐漸成為重要投資資產。然而非流動性衝擊在股票、債券與加密貨幣市場間之資訊傳遞效果仍缺乏系統性研究。因此本研究以股票市場、債券市場與加密貨幣市場為對象，探討非流動性衝擊之資訊性及其對跨市場資產報酬的影響。 本研究使用2018年至2025年之日資料，以標普500成分股、最新發行美國國債、比特幣及以太幣分別代表股票、債券與加密貨幣市場。股票與加密貨幣市場之非流動性採用Corwin與Schultz（2012）隱含買賣價差衡量，債券市場則以相對買賣價差衡量。研究方法採用三階最小平方法（3SLS）建立跨市場聯立方程模型，並以VIX指數區分不同市場狀態。 實證結果顯示，股票與債券市場之非流動性上升會顯著降低報酬，反映風險規避效果；相反地加密貨幣市場之非流動性上升則顯著提高報酬，顯示逐利效果與投機需求增加。加密貨幣市場非流動性衝擊會顯著降低股票市場報酬，而股票與債券市場間仍維持傳統避險配置關係。研究結果顯示，非流動性不僅反映交易成本與流動性風險，更隱含投資人風險偏好變化及跨市場資金重新配置資訊。 關鍵詞：非流動性衝擊、加密貨幣、市場流動性、資訊傳遞、三階最小平方法（3SLS）;The rapid growth of the cryptocurrency market has made cryptocurrencies an important asset class in modern investment portfolios. However， the information transmission effects of illiquidity shocks across stock， bond， and cryptocurrency markets remain underexplored. This study investigates the informational content of illiquidity shocks and their impact on cross-market asset returns. Using daily data from 2018 to 2025， the stock market is represented by S&P 500 constituents， the bond market by newly issued U.S. Treasury securities， and the cryptocurrency market by Bitcoin and Ethereum. Illiquidity in the stock and cryptocurrency markets is measured using the Corwin and Schultz (2012) implied bid–ask spread estimator， while bond market illiquidity is measured by the relative bid–ask spread. A Three-Stage Least Squares (3SLS) simultaneous equation model is employed， with the VIX index used to distinguish different market conditions. The results indicate that higher illiquidity significantly reduces returns in the stock and bond markets， reflecting a risk-aversion effect. In contrast， increased illiquidity in the cryptocurrency market raises cryptocurrency returns， suggesting stronger profit-seeking behavior and speculative demand. Moreover， cryptocurrency illiquidity shocks negatively affect stock market returns， while the traditional hedging relationship between stocks and bonds remains evident. Overall， illiquidity contains information not only about liquidity risk and transaction costs but also about investor risk preferences and cross-market capital reallocation. Keywords: Illiquidity Shocks， Cryptocurrency， Market Liquidity， Information Transmission， Three-Stage Least Squares (3SLS)
