臺灣博碩士論文加值系統

近年來，許多企業內部相關人士，利用券商或投資銀行等途徑透過境外公司來操作自有公司股價，使得「假外資」的現象甚囂塵上。然而，過去許多文獻在針對外資部分所作之研究，皆假設全體外資皆為真外資，在本研究的範圍內尚未發現有其他文獻去嘗試區分出「假外資」來修正此一錯誤假設，使得其研究結果之準確度和研究價值都會受到影響。
本研究考量於此一研究缺口，利用公開資訊以區別出「假外資」，突破過去將真假外資混為一談之研究限制。
本文之研究期間為2003 年8 月至2007 年12 月，使用事件分析法以市場指數模型來建立大盤預期模式，再對個股平均報酬率及平均異常報酬率使用普通橫剖面法進行檢定來驗證其假設。研究結果顯示：假外資因具有資訊領先之優勢，不僅在個股報酬率上獲得顯著的正報酬率外，其所持有之股票投資報酬率優於大盤指數的投資報酬率及真外資之投資報酬率。此結果提供政府在外資發展政策及投資規範上能更加嚴謹，以防止資本外逃並促進市場資訊對稱與流通之效率。

The government has opened the market for Qualified Foreign Institutional Investors (QFII) to directly invest in Taiwan stock market since 90’s. The foreign investors account for about 24% of monthly trading amounts in 2008.Recently, the rumor of “fake foreign capital”, the insiders invest their own company indirectly by
paper company registered in foreign countries, is all over the market.
However, there are lots of studies focus on the effects of foreign investors’ behavior and foreign investment models. Most of the previous researches are assumed all the foreign investments are real foreign capital inflows from other countries. According to limited research of this paper, there are no other studies try to distinguish fake foreign capital from foreign capital inflows.
To full fill the research gap in previous studies, the main purpose of this study is to shade the light on the research limitation of fake foreign capital inflows by using available board of directors stock share information. The study period of this paper is between August, 2003 and December, 2007. The methodology adopted in this paper is market index model of event study. Furthermore, this study exam the effects of fake foreign capital information advantage for market efficiency.
The results assist the government to make conscientious and thoughtful policies in foreign capital regulations in order to prevent the capital escape and to increase the efficiency of information symmetry.

中文摘要 ．．．．．．．．．．．．．．．．． iii
英文摘要 ．．．．．．．．．．．．．．．．． iv
誌謝辭 ．．．．．．．．．．．．．．．．．． v
內容目錄 ．．．．．．．．．．．．．．．．． vi
表目錄 ．．．．．．．．．．．．．．．．．． vii
圖目錄 ．．．．．．．．．．．．．．．．．． viii
第一章 緒論．．．．．．．．．．．．．．．． 1
第一節 研究背景．．．．．．．．．．．．．． 1
第二節 研究動機．．．．．．．．．．．．．． 2
第三節 研究目的．．．．．．．．．．．．．． 4
第四節 研究流程．．．．．．．．．．．．．． 5
第二章 文獻探討．．．．．．．．．．．．．． 6
第一節 外資投資行為之分析．．．．．．．．． 6
第二節 外資是否有資訊領先之現象．．．．．． 10
第三章 研究方法．．．．．．．．．．．．．． 13
第一節 研究假說．．．．．．．．．．．．．． 13
第二節 研究設計．．．．．．．．．．．．．． 14
第四章 實證結果．．．．．．．．．．．．．． 19
第一節 資料特性．．．．．．．．．．．．．． 19
第二節 實證分析．．．．．．．．．．．．．． 24
第五章 結論與建議．．．．．．．．．．．．． 35
第一節 研究結論．．．．．．．．．．．．．． 35
第二節 研究限制．．．．．．．．．．．．．． 36
第三節 未來建議．．．．．．．．．．．．．． 37
參考文獻 ．．．．．．．．．．．．．．．．． 38

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