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研究生:彭怡姿
研究生(外文):Peng, Yi-Tzu
論文名稱:機構法人持股與公司股價報酬波動性之關係
論文名稱(外文):The Relationship between Institutional Ownership and Firm Return Volatility
指導教授:邱麗卿邱麗卿引用關係
指導教授(外文):Chiu, Li-Ching
口試委員:吳孟紋李芸綺
口試委員(外文):Wu, Meng-WenLee, Yun-Chi
口試日期:2017-06-11
學位類別:碩士
校院名稱:銘傳大學
系所名稱:財務金融學系碩士班
學門:商業及管理學門
學類:財務金融學類
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:74
中文關鍵詞:機構法人持股公司股價報酬波動性控制股東
外文關鍵詞:Institutional OwnershipFirm Return VolatilityControlling Shareholders
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本研究旨在探討機構法人持股與其穩定性和公司股價報酬波動性之關聯。臺灣股市為主要新興國家行列,新興市場擁有報酬率高、風險波動大之特性,而已開發國家之波動風險較小、報酬率較新興市場低,因此新興市場在全球經濟所扮演的角色日趨重要。對新興市場而言,外資是否有利於當地股市和經濟的發展,並沒有達成共識。支持者認為引進外資進入國內經濟可以帶來資金,還有先進的管理技術、營銷訣竅,業務關係和人力資源培訓、在良好的公司治理環境中可提高國內股票市場的信息品質,降低交易成本和風險。反對者則認為在不成熟的金融機構和監管機構的情況下,外資使國內股票市場面臨國際風險,導致國內市場脆弱,且外資的短期投資行為可能會動搖國內股市和加速其風險。另外,新興市場企業多數存在一個或多個具有主導公司決策之控制股東,導致其在面對海外投資時,所考量之因素與成熟企業有所差異。控制股東的控制權與現金流量請求權存在偏離的情況時,控制股東可能基於自身利益,產生代理問題,進而影響公司價值。在過去已累積了許多研究檢驗機構法人在公司治理中扮演的角色,本研究從公司股價報酬波動性的觀點切入,試圖對現存的文獻作出貢獻。本研究發現機構法人持股與其穩定性和公司股價報酬波動性呈正向關係,外資法人持股與其穩定性和公司股價報酬波動性呈正向關係,公司的核心代理問題對公司股價報酬波動性並無顯著相關性。
The purpose of this study is to explore the association between institutional ownership and firm return volatility. Taiwan's stock market as the main emerging countries, emerging markets have a high rate of return, the characteristics of large risk fluctuations. For emerging markets, we didn’t reach a consensus whether foreign institutional ownership is conducive to the local stock market and economic development. Supporters believe that the introduction of foreign capital into the domestic economy can bring capital, reduce transaction costs and risks. Opponents argue that in the case of immature financial institutions and regulators, foreign institutional ownership makes domestic stock markets face international risks, leading to fragility in the domestic market. In addition, most of the emerging market enterprises have one or more control companies with leading decision-making. Leading to the face of overseas investment, the factors considered and mature enterprises are different. Controlling shareholders may be based on their own interests, resulting in agency problems. This study shows that institutional ownership and firm return volatility is negative relationship. There is a negative relationship between foreign institutional ownership and firm return volatility. There is no significant correlation between the company's core agent problem and firm return volatility.
誌謝 I
中文摘要 II
Abstract III
目錄 IV
表目錄 VI
圖目錄 VII
第壹章 緒論 1
第一節、研究動機與背景 1
第二節、研究目的 7
第三節、研究架構 8
第貳章 文獻探討與研究假說 9
第一節、機構法人相關文獻 9
1.1機構法人與代理問題 9
1.2機構法人持股穩定性相關文獻 11
第二節、國外機構法人與國內機構法人相關文獻 13
2.1國外機構法人與代理問題 13
2.2國外機構法人持股穩定性相關文獻 15
第三節、控制股東與核心代理問題 18
第參章 研究方法 21
第一節、樣本與資料來源 21
第二節、研究模型 22
第三節、變數定義 23
第四節、研究方法 31
第肆章 實證結果 34
第一節、敘述性統計 34
第二節、相關係數分析 37
第三節、迴歸分析 39
第伍章 結論與建議 57
第一節、研究結論 57
第二節、研究建議 59
參考文獻 60



表目錄
表1投資人類別成交值比重統計年報 2
表 2變數定義彙總表 23
表 3變數敘述統計量 35
表 4相關係數矩陣 38
表 5機構法人持股與公司股價報酬波動性之迴歸分析結果 41
表 6國內外法人持股與公司股價報酬波動性之迴歸分析結果 45
表 7股份盈餘與機構法人持股對公司股價報酬波動性之迴歸分析結果 49
表 8席次盈餘與機構法人持股對公司股價報酬波動性之迴歸分析結果 53

圖目錄
圖 1研究流程圖 8

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