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研究生:黃德瑋
研究生(外文):HUANG, TE-WEI
論文名稱:台灣股市流動性與股價崩盤風險之關聯性
論文名稱(外文):The Relationship between Taiwan Stock Market Liquidity and Stock Price Crash Risk
指導教授:王子湄王子湄引用關係
指導教授(外文):WANG, ZI-MEI
口試委員:廖子翔孫育伯
口試委員(外文):LIAO, TZU-HSIANGSUEN, YU-BO
口試日期:2017-06-27
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:44
中文關鍵詞:股票流動性股價崩盤風險壞消息囤積
外文關鍵詞:Stock liquidityCrash riskBad news hoarding
相關次數:
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關於崩盤風險的過去相關研究文獻指出,由於代理衝突,企業管理者會隱瞞且囤積企業的壞消息,而這樣的行為,是導致股價崩盤的主要因素。在過去文獻的研究中,提供了股票流動性在崩盤風險影響上的不同看法:(1)公司治理理論認為,股票流動性提高將使崩盤風險下降,因為股票流動性高,將有利於大股東對企業管理者進行監督。(2)短視近利理論認為,股票流動性提高將導致崩盤風險上升,因為流動性高的股票有較低的交易成本,這將會吸引短暫型機構投資者。然而本研究想探討於台灣股市中,流動性會為崩盤風險帶來的影響究竟為何? 本文將利用2000至2015年間臺灣上市公司的資料,探討流動性與股價崩盤風險之關聯性。

根據Chang, Chen and Zolotoy (2016)的研究結果表明,流動性與股價崩盤風險之間的關係呈現正相關,我們的研究結果顯示,於台灣股市中,流動性與股價崩盤風險呈現負相關,這個結果與Chang, Chen and Zolotoy (2016)的研究結果正好相反,本研究推測可能是由於台灣股市中,上市櫃公司大多都以家族集中持股,加上多數企業透過交叉持股的股權結構,使得管理階層便於在企業內增加其可掌控的股權。而機構投資人之投資比重偏低,這使得短暫型機構投資者的持股比例無法給予企業管理者壓力,使企業管理者做出滿足短暫型機構期望之投資決策,相對來說,短視近利理論中的短暫型機構投資者於台灣股市中的影響力相對較小。

Prior research suggests that managers withhold bad news from investors because of career and short-term compensation concerns and that when a sufficiently long-run of bad news accumulates and reaches a critical threshold level, managers tend to give up. At that point, all the negative firm-specific shocks become public at once leading to a crash. Prior research has offered differing views on the impact of stock liquidity on crash risk: (1) Governance theory suggests that higher stock liquidity may result in lower crash risk, because it facilitates monitoring of firm management by blockholders. (2) short-termism theory suggests that, due to low trading costs, higher liquidity can attract more transient institutional investors with short investment horizons and excessive focus on firms’ short-term performance. I am curious about the relationship between stock liquidity and stock price crash in Taiwan market. This paper examines the linkage between liquidity and firm’s stock price crash risk, based on data of listed companies of Taiwan Stock Exchange through 2000~2015.

Chen and Zolotoy (2016) results suggest that higher stock liquidity leads to higher crash risk in the U.S. market. We result shows that, contrary to Chen and Zolotoy (2016) result, the thesis shows negative effect between liquidity and crash risk. This study suggests that probably because Taiwan Stock Market has a large proportion of family-owned business, so that managers can easily increase their ownership in the enterprise. This has led to a lower stake in short-term institutional investors. Relatively speaking, short-termism theory of transient institutional investors in the Taiwan Stock Market in the influence is relatively small.

目錄
中文摘要 I
Abstract II
目錄 III
圖目錄 IV
表目錄 V
第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究貢獻 3
第四節 研究架構與流程 3
第貳章 文獻探討 5
第一節 股價崩盤風險 5
第二節 股票流動性與股價崩盤風險 7
第參章 研究方法 10
第一節 資料範圍及來源 10
第二節 股價崩盤風險之衡量 10
第三節 股票流動性之衡量 13
第四節 股票流動性與股價崩盤風險之間的關係 14
第五節 股票流動性與崩盤風險的其他分析 15
第六節 控制變數 16
第肆章 實證結果 18
第一節 樣本觀察值數目與主要變數逐年平均值 18
第二節 敘述統計與相關係數 21
第三節 單變量分析 25
第四節 主要迴歸分析結果 27
第五節 穩健性測試 30
第伍章 結論 34
參考文獻 35
圖目錄
圖 1-1 研究流程圖 4
表目錄
表 1樣本分析 19
表 2主要變數逐年的平均值 20
表 3敘述統計與相關係數 22
表 4依流動性分群後各群組的股價崩盤風險 26
表 5流動性與股價崩盤風險的主要迴歸分析結果 29
表 6穩健性檢驗 33

一、中文部分
1.林宇辰(2016),產業查核專家與股價暴跌風險之關聯性-以我國上市櫃公司為研究對象,東吳大學會計研究所未出版碩士論文。
2.邱豐羿(2013),內部人持股與股票崩盤風險,政治大學財務管理研究所未出版碩士論文。
3.翁家方(2013),台灣上市(櫃)公司股價崩盤風險的決定因素:公司治理與分析師推薦的角色,南華大學財務管理研究所未出版碩士論文。
4.曹慧君(2016),台灣家族企業傳承模式探討-企業主觀點之交班決策,中原大學企業管理研究所未出版碩士論文。
5.曾秀玲(2012),家族企業內部稽核獨立性與組織績效關聯性之研究,中山大學企業管理研究所未出版碩士論文。
6.菅瑞昌、丁秀儀、闕河士(2008),經理人資訊揭露裁量與股票報酬率偏態關係,管理評論,27卷3期,頁65-92。
7.鄭愉靜(2016),董事會特性、薪酬、股票價格崩盤風險,長榮大學經營管理研究所未出版碩士論文。

二、英文部分
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2.Amihud, Y. "Illiquidity and Stock Returns: Cross-Section and Time-Series Effects." Journal ofFinancial Markets, 5 (2002), 31–56.
3.Bleck, A., and X. Liu. "Market Transparency and the Accounting Regime." Journal ofAccounting Research, 45 (2007), 229–256.
4.Bushee, B. "Do Institutional Investors Prefer Near-Term Earnings over Long-Run Value?" Contemporary Accounting Research, 18 (2001), 207–246.
5.Bushee, B. "The Influence of Institutional Investors on Myopic R&D Investment Behavior." TheAccounting Review, 73 (1998), 305–333.
6.Chen, J.; H. Hong; and J. C. Stein. "Forecasting Crashes: Trading Volume, Past Returns, and Conditional Skewness in Stock Prices." Journal of Financial Economics, 61 (2001), 345–381.
7.Dechow, P.M.; R.G. Sloan; and A.P. Sweeney. "Detecting Earnings Management." TheAccounting Review, 70 (1995), 193–225.
8.Dimson, E., "Risk Measurement When Shares are Subject to Infrequent Trading." Journal ofFinancial Economics, 7 (1979), 197–226.
9.Edmans, A. "Blockholder Trading, Market Efficiency, and Managerial Myopia." Journal ofFinance, 64 (2009), 2481 –2513.
10.Edmans, A., and G. Manso. "Governance through Trading and Intervention: A Theory of Multiple Blockholders." Review of Financial Studies, 24 (2011), 2395–2428.
11.Fang, V.W.; X. Tian; and S. Tice. "Does Stock Liquidity Enhance or Impede Firm Innovations?" The Journal of Finance, 69 (2014), 2085–2125.
12.Harris M. Liquidity. Trading Rules, and Electronic Trading System. Monogragh Series of Finance and Economics. NYU Salomon Center.1990(4).
13.Healy, P.M., and K.G. Palepu. "Information Asymmetry, Corporate Disclosure, and the Capital Markets: A Review of the Empirical Disclosure Literature." Journal of Accounting andEconomics, 31 (2001), 405–440.
14.Holden, C.W.; S. Jacobsen; and A. Subrahmanyam. "The Empirical Analysis of Liquidity." Foundations and Trends in Finance, 8 (2014), 263–365.
15.Holmstrom, B., and J. Tirole. "Market Liquidity and Performance Monitoring." Journal ofPolitical Economy, 101 (1993), 678–709.
16.Hong and Stein, 1999, A Unified Theory of Underreaction, momentum trading and overreaction in asset markets, Journal of Finance.
17.Hutton, A.P.; A.J. Marcus; and H. Tehranian. "Opaque Financial Reports, R2, and Crash Risk." Journal of Financial Economics, 94 (2009), 67–86.
18.Jin, L., and S.C. Myers. "R2 around the World: New Theory and New Tests." Journal ofFinancial Economics, 79 (2006), 257–292.
19.Kim, J-B.; Y. Li; and L. Zhang. "CFOs versus CEOs: Equity Incentives and Crashes." Journal ofFinancial Economics, 101 (2011b), 713–770.
20.Kim, J-B.; Y. Li; and L. Zhang. "Corporate Tax Avoidance and Stock Price Crash-a Firm-Level Analysis." Journal of Financial Economics, 100 (2011a), 639–662.
21.Kim, J-B.; Z. Wang; and L. Zhang. "CEO Overconfidence and Stock Price Crash Risk.Contemporary Accounting Research, Forthcoming (2014).
22.Kothari, S.; J. Lewellen; and J. Warner. "Stock Returns, Aggregate Earnings Surprises, and Behavioral Finance." Journal of Financial Economics, 79 (2006), 537–568.
23.Kothari, S.; S. Shu; and P. Wysocki. "Do Managers Withhold Bad News?" Journal ofAccounting Research, 47 (2009), 241–276.
24.Lakonishok, J., and T. Vermaelen. "Tax-Induced Trading around Ex-Dividend Days." Journal ofFinancial Economics, 16 (1986), 287-319.
25.Lesmond, D. "Liquidity of Emerging Markets." Journal of Financial Economics, 77 (2005), 411–452.
26.Livnat, J., and R.R. Mendenhall. "Comparing the Post-Earnings Announcement Drift for Surprises Calculated from Analyst and Time Series Forecasts." Journal of AccountingResearch, 44 (2006), 177-205.
27.Matsumoto, D. "Management’s Incentives to Avoid Negative Earnings Surprises." TheAccounting Review, 77 (2002), 483–514.
28.Maug, E. "Large Shareholders as Monitors: Is There a Trade-Off between Liquidity and Control?" Journal of Finance, 53 (1998), 65–98.
29.Porter, M.E. "Capital Disadvantage: America’s Failing Capital Investment System." HarvardBusiness Review, 70 (1992), 65-82.
30.White, Halbert (1980), “A Heteroskedasticity-consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity,” Econometrica, 48, 817-838.
31.Xin Chang, Yangyang Chen, and Leon Zolotoy, 2016, Stock Liquidity and Stock Price Crash Risk, Journal of Financial and Quantitative Analysis, forthcoming.

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