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研究生:林彥君
研究生(外文):LIN,YEN-CHUN
論文名稱:上市公司大陸投資對證券市場交易品質的影響
論文名稱(外文):The Impact of China Investment in TSE Firms in Security Market Transaction Quality
指導教授:王明昌王明昌引用關係
指導教授(外文):WANG,MING-CHANG
口試委員:張志向張眾卓王明昌
口試委員(外文):ZHANG,ZHI-XIANGZHANG,ZHONG-ZHUOWANG,MING-CHANG
口試日期:2017-06-27
學位類別:碩士
校院名稱:國立中正大學
系所名稱:企業管理學系碩士在職專班
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:2017
畢業學年度:105
語文別:中文
論文頁數:32
中文關鍵詞:大陸投資證券市場交易品質買賣價差市場深度波動性
外文關鍵詞:China InvestmentTransaction Quality in Security MarketBid-Ask SpreadMarket DepthVolatility
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本研究主要探討台灣上市公司大陸投資對證券市場品質的影響,我們以買賣價差、市場深度、波動性等三項指標,做為衡量交易品質變化的代理變數,且在研究中加入四個研究變數:IM1與IM2(投資大陸方式)、SR(直間接持股率)、Ca(實收資本額),並以2003年1月1日至2014年12月31日,台灣證券市場上市公司(只包含普通股)共874檔的日內交易資料(Intraday)為研究樣本進行實證檢測。本研究實證結果發現,上市公司大陸投資方式若為透過第三地投資,市場品質除了深度面向外,其他皆顯示品質變更差,證券市場的波動性也大幅增加;但若為直接投資,市場品質是比較好的,這顯示投資人希望得到關於公司投資面相關的明確資訊,而我們也希望藉此研究讓上市公司調整投資的程度以及主管機關重視大陸投資相關問題。
This paper mainly discusses the influence of the China investment to the quality of securities market of Taiwanese listed companies. We use three indexes as the proxy variables to measure the change of transaction quality. The indexes are bid-ask spread, market depth and market volatility. We also add four search variables in this study: IM1 and IM2 (means of investment in China), SR (direct and indirect shareholding), Ca (paid-in capital). This study will exam samples from January 1, 2003 to December 31, 2014, a total 874 Intraday trading (common stock only) of Taiwanese security market listed companies. We assume Taiwanese listed companies have information asymmetry when investing China. It causes increase of bid-ask spread, shrinking of market depth, and volatility going up and result in fluidity of market quality decreasing. This study found that if the listed companies invest through third region, except the depth in market depth, all the other indicate worse in market quality. The volatility of the security market has increased significantly. On the other hand, if the companies invest directly, market quality will be better. The result indicates that the investors want to get clear info about company’s investment. We really hope this study inspires how listed companies invest and how the authorities deal with issues related to China investment.
目錄
致謝 i
中文摘要 ii
Abstract iii
目錄 iv
表目錄 v
壹、前言 1
貳、文獻探討 4
一、企業大陸與海外投資 4
二、證券市場交易品質 6
三、研究假說 10
參、研究樣本與研究方法 11
一、研究樣本 11
二、研究方法 12
(一)買賣價差(Spread)對證券市場品質迴歸模型 12
(二)市場深度(Depth)對證券市場品質迴歸模型分析 13
(三)波動性(Volatility)對證券市場品質迴歸模型分析 14
肆、實證結果 15
一、敘述統計 15
三、上市公司大陸投資與買賣價差實證結果 17
四、上市公司大陸投資與市場深度實證結果 18
五、上市公司大陸投資與波動性實證結果 19
伍、結論 19
參考文獻 21

表目錄
表格 1敘述性統計 28
表格 2相關係數統計 29
表格 3上市公司大陸投資與買賣價差實證結果 30
表格 4上市公司大陸投資與市場深度實證結果 31
表格 5上市公司大陸投資與波動性實證結果 32


中文文獻
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陳俞如, 金成隆, & 謝存瑞. (2009). 海外投資與盈餘品質: 資訊不對稱觀點. 管理學報, 26(4), 353-376.
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