本研究利用 CLS（Continuous Linked Settlement）高頻外匯資料，透過雙 重差分法（Difference-in-Differences， DID）探討 LIBOR 退場對外匯市場交易量 與流動性之影響。實證結果顯示，兩階段衝擊均呈現幣別差異性與角色不對稱 性。由於宣布退場至實際執行間存在長達四年的緩衝期，2017 年「資訊性衝 擊」主要誘發市場參與者進行策略性部位調整，各幣別交易量反應分歧；2021 年「制度性衝擊」則未引發全面性恐慌，交易量收縮精準集中於特定區塊，尤 以歐元市場之基金與瑞士法郎之總交易量下降最為顯著。 交易者差異性分析顯示，對利率與資產配置敏感的金融投資群體在轉型 過程中展現較高敏感度，並進行部位重配置；相較之下，具實體經貿需求之企 業型交易者則展現較佳的交易韌性。在流動性方面，儘管特定區塊之交易規模 縮減，已實現不流動性指標（Realized Amihud）並未一致性惡化。綜上所述， 外匯市場在緩衝期下已透過動態預期調整成功吸收基準利率轉型之震盪，整 體流動性仍維持穩健，展現高度的適應力與韌性。;This study utilizes Continuous Linked Settlement (CLS) high-frequency data and a Difference-in-Differences (DID) approach to examine the impact of LIBOR cessation on market volume and liquidity. The empirical results reveal high currency heterogeneity and asymmetric trading behavior across both stages. Due to the four-year buffer period before implementation， the 2017 "informational shock" primarily induced strategic position adjustments， resulting in divergent volume responses across currencies. The 2021 "institutional shock" triggered no widespread panic; rather， volume contractions were precisely concentrated in specific segments， most notably the EUR fund segment and the total CHF volume. Trader heterogeneity analysis indicates that interest-rate-sensitive financial investors exhibited higher sensitivity and reallocated localized positions， whereas corporate traders driven by real commercial demands demonstrated superior trading resilience. Regarding liquidity， despite localized volume reductions， the Realized Amihud illiquidity indicator showed no consistent deterioration. In conclusion， supported by the transition buffer， the foreign exchange market successfully absorbed the benchmark transition shocks through dynamic expectational adjustments， maintaining robust overall liquidity and high resilience.
