臺灣博碩士論文加值系統

　　台灣的股市活動一向熱絡，股票交易市場中散戶也相當眾多。台灣股市相較於其它各國更容易動盪不安，加上隨著資訊的多元化和股票分析工具的發展，越來越多複雜分析股票的方法充斥在股票市場中，要投資台灣的股市不是相當容易的事情。因此，本研究想跳脫傳統分析股票的方法，用產業經濟學的角度去觀察股票市場，試著為投資大眾提供更屬於自己的投資分析工具。

　　產業經濟學的切入角度是以市場訂價能力與產業集中度為出發點，去觀察股票市場中的股票超額報酬和報酬波動率，研究分析出這些變數之間的相關特性。

　　本研究的資料來自「台灣經濟新報資料庫」。收集的樣本資料為台灣證券交易所所核准之上市及上櫃的電子產業廠商資料，採用2008年1月至2012年6月，共四年半資料的樣本。以panel data的形式進行資料迴歸模型分析。主要歸納如下：
(1) 市場訂價能力越高，其股票超額報酬越低。
(2) 產業集中度越高，其股票超額報酬越低。
(3) 市場訂價能力越高，其報酬波動率越低。
(4) 產業集中度越高，其報酬波動率越低。

　This study aims to emphasis on the role of product market power and industrial concentration of high-tech companies in stock market performance. Peress (Journal of Finance, 2010) initially establishes a theory and suggests that firms with more market power have less volatile and lower returns. Kale and Loon (Journal of Financial Markets, 2011) following their theory and empirically find that firms with more market power have greater stock liquidity. In contract, this thesis examines high-tech firms in the Taiwanese markets to test how market power and industrial concentration as well may affect stock returns and return volatility.

　Several preliminary results are observed as follows. Controlling firm sizes, financial leverage, market-to-book ratio and beta, the variable of market power measured by the Lerner index is negatively associated with abnormal returns. However, market concentrations are not related to abnormal returns. Additionally, this study finds that both market power and market concentration are negatively associated with return volatility. Our results suggest that market power and industrial concentration may have different impacts on stock market performance.

致謝 I
摘要 II
目錄 IV
表目錄 VI
圖目錄 VII
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 3
第三節 論文架構與流程 4
第二章 文獻回顧 6
第一節 產業集中度衡量方法 6
第二節 產業集中度與股票報酬關係之相關文獻 10
第三章 研究方法 14
第一節 研究假說 14
第二節 資料來源、研究範圍與研究資料 15
第三節 變數定義與處理 16
第四節 模型建立 23
第四章 資料介紹與敘述統計 27
第一節 相關分析 27
第二節 敘述統計 30
第五章 實證結果分析 33
第一節 合併迴歸分析 33
第二節 Panel data的隨機效果迴歸分析 42
第六章 結論與建議 50
第一節 研究結論 50
第二節 研究建議 55
第三節 研究限制與未來研究方向 56
參考文獻 57

一、中文部分
碩士論文：
洪振 (2003.06)，〈股權集中度與股價報酬率之相關研究－以傳統產業與電子產業為例〉，國立成功大學企業管理學系研究所碩士論文。

張維真 (2007.06)，〈產業集中度與股票報酬之關聯性研究－以台灣上市公司為例〉，朝陽科技大學財務金融系研究所碩士論文。

雷雅淇 (2000.06)，〈公司規模、股價、益本比、淨值市價比與股票超常報酬關係之實證研究〉，國立中央大學企業管理研究所碩士論文。

書籍：
東方禹 (2009)，《個體經濟學 (下冊)》，偉文出版社。

二、外文部分
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Chun, H., J.W. Kim, R. Morck and B. Yeung (2008), Creative destruction and firm-specific performance heterogeneity, Journal of Financial Economics, 89, 109–135.

Datta, S., M. Iskandar-Datta and V. Sharma (2011), Product market pricing power, industry concentration and analysts’ earnings forecasts, Journal of Banking & Finance, 35, 1352–1366.

Demsetz H (1973), Industry structure, market rivalry and public policy, Journal of Law and Economics, 16, 1–10.

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Kale, J.R. and Y.C. Loon (2011), Product market power and stock market liquidity, Journal of Financial Markets, 14, 376–410.

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Peress, J. (2010), Product market competition, insider trading and stock market efficiency, Journal of Finance, 65, 1–43.

Schumpeter, J. (1912), The theory of economic development, Harvard University Press, Cambridge, Mass.

Schumpeter, J. (1942), Capitalism, socialism and democracy, New York: Harper & Row.

Sharma, V. (2011), Stock returns and product market competition: beyond industry concentration, Review of Quantitative Finance Accounting, 37, 283–299.