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研究生:李燕茹
研究生(外文):Li, Yan-Ju
論文名稱:產品市場競爭、內部人交易與股票市場效率之關係研究—以台灣上市櫃企業為例
論文名稱(外文):Product Market Competition, Insider Trading, and Stock Market Efficiency - Evidence from Taiwan Listed Firms
指導教授:王祝三王祝三引用關係
指導教授(外文):Wang, Chu-San
口試委員:陳若暉林美珍
口試日期:2012-06-15
學位類別:碩士
校院名稱:國立臺北大學
系所名稱:企業管理學系
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2012
畢業學年度:100
語文別:中文
論文頁數:48
中文關鍵詞:產品市場競爭市場力股票市場效率
外文關鍵詞:Product Market CompetitionMarket PowerStock Market Efficiency
相關次數:
  • 被引用被引用:1
  • 點閱點閱:196
  • 評分評分:
  • 下載下載:14
  • 收藏至我的研究室書目清單書目收藏:0
過去少有學者針對產品市場競爭(Product Market Compettition)與股票市場之投資人行為及股市效率性做關聯性研究。直至Gaspar and Massa (2006)指出產品市場競爭會顯著提高企業之獨特性波動度(Idiosyncratic Volatility),此相關文獻才逐漸發展。Peress (2010)則提出若企業愈具市場力(Market Power),相對地產品市場競爭程度將愈低,會使得企業營運穩定度高且風險低,投資人會偏好交易企業之股票,並促使股價具較強資訊性。而過去國內文獻從未檢視投資人於股市之交易行為是否與產品市場競爭程度相關,或競爭程度是否會影響股市效率性。故本研究之目的為探討台灣產品市場競爭與股票投資人交易行為及股價資訊效率之關聯性。
本研究以縱橫迴歸分析法(Panel Regression Analysis)進行實證分析。研究結果顯示,我國產品市場競爭與股票週轉率及盈餘宣告期間股價資訊效率性呈負向相關,與內部人交易呈正向相關。意指若企業之市場力愈強會使該公司之股票週轉率愈高但會使內部人減少交易該公司股票,此與Peress (2010)之研究發現相異。此外,若台灣之企業存在市場力將會提升股價資訊效率性,即產品市場不完美不一定會將不良影響擴展至股票市場,且可減緩台灣股市之無效率性。
This study is guided by recent empirical work showing that the investors’ behaviors and stock market efficiency are affected by product market competition. Gaspar and Massa (2006) document that more competitive firms have more volatile idiosyncratic returns, Peress (2010) finds that firms use their market power to pass on shocks to customers, thereby they can operate with less risk. This encourages stock trading, expedites the capitalization of private information into stock prices. However, no studies take into account the issues which we mentioned above in Taiwan academe. Therefore, the aim of this study is try to examine the relationship between product market competition and investors’ behaviors, stock market efficiency, respectively, in Taiwan academe.
We use the panel regression analysis to carry out the empirical test. According to the empirical results, we find that the relationship between product market competition and stock turnover, stock market efficiency is significantly negative. Besides, the evidence also shows that market competition positively correlate with insider trading activities. We conclude that product market imperfections (market power), rather than spreading to equity markets, tend to mitigate stock market imperfections.
致謝 ...................................I
國立臺北大學一百學年度第二學期碩士學位論文提要 ...II
ABSTRACT ...........................III
目錄 ...................................IV
表次 ...................................VI
第壹章 緒論 ........................... 1
第一節 研究背景與動機 ................... 1
第二節 研究目的 ........................... 4
第貳章 文獻探討 ........................... 5
第一節 產品市場競爭程度與投資人交易行為 ... 5
第二節 產品市場競爭程度與內部人交易行為 ... 8
第三節 產品市場競爭程度與股票市場效率性 ...10
第參章 研究方法 ...........................13
第一節 研究假說 ...........................13
第二節 研究樣本與研究期間 ...................15
第三節 變數定義 ...........................16
第四節 實證模型 ...........................24
第肆章 實證結果分析 ...................29
第一節 研究樣本之基本資料分析 ...........29
第二節 迴歸實證結果探討 ...................32
第伍章 結論與建議 ...................43
第一節 研究結論 ...........................43
第二節 研究貢獻 ...........................44
第三節 研究限制與未來研究建議 ...........45
參考文獻 ...................................47
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14. Peress, J. (2010). Product market competition, insider trading, and stock market efficiency. Journal of Finance, 65(1), 1-43.
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20. Tookes, H. (2007). Information, trading, and product market interactions: Cross-sectional implications of informed trading. Working paper. Yale School of Management.
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