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研究生:吳佳樺
研究生(外文):WU, JIA-HUA
論文名稱:機構投資者與衍生性金融商品使用程度之關係
論文名稱(外文):Institutional Investors Ownership and Derivatives Usage Decisions
指導教授:陳慶隆陳慶隆引用關係
指導教授(外文):CHEN, CHING-LUNG
口試委員:王翰屏范宏書
口試委員(外文):WANG, HANN-PYNGFAN, HUNG-SHU
口試日期:2018-06-02
學位類別:碩士
校院名稱:國立雲林科技大學
系所名稱:會計系
學門:商業及管理學門
學類:會計學類
論文種類:學術論文
論文出版年:2018
畢業學年度:106
語文別:中文
論文頁數:55
中文關鍵詞:衍生性金融商品機構投資者避險交易目的監督效果
外文關鍵詞:DerivativesInstitutional investorsHedgingTradingMonitoring effect
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衍生性金融商品具規避風險、低交易成本與高報酬率的特性,除作為公司風險規避途徑外,亦為企業重要之理財工具;而機構投資者擁有專業能力及龐大資金,扮演公司治理之重要角色,隨著參與程度的提高,其對公司之投資及理財決策的影響力亦不斷攀升。本研究以我國2009年至2016年間台灣上市公司為對象,探討機構投資者與衍生性金融商品使用程度的關聯性,並依使用目的將衍生性金融商品區分為避險與非避險(交易)目的兩種類型進行檢測,旨在瞭解機構投資者是否能發揮監督效果,以保護自身及其他投資人的權益。
實證結果顯示:機構投資者持股率與避險目的衍生性金融商品使用程度,呈現正向關係,然未達統計顯著水準。進一步將機構投資者區分為外國機構投資者與國內機構投資者進行測試,發現外國機構投資者與避險目的衍生性金融商品使用程度呈現顯著正向關係,國內機構投資者與避險目的衍生性金融商品使用程度呈現顯著負向關係。而機構投資者持股率與非避險(交易)目的衍生性金融商品使用程度則呈現顯著負相關,意謂機構投資者能發揮監督效果,特別是外國機構投資者對非避險(交易)目的衍生性金融商品使用的監督效果較顯著。本研究進行若干敏感性測試,並對實證結果加以探討及分析。
Derivatives, with low trading costs and high rewards, is an important financial instrument for managerial risk-aversion and/or investing decisions. Institutional investors who possess professional capabilities and huge funds play an important role in corporate governance. Their influence on corporate investment decisions and financial management increases with the high level of participation. This study examines the relationship between the institutional investors ownership and the derivative usage decisions in Taiwanese listed companies from 2009 to 2016. Moreover, we classify the motives of the derivative as hedging and non-hedging (trading). This study dedicates to understanding whether institutional investors can exert monitoring effect to ensure their rights.
One of empirical results reveals the firm with institutional investors’ ownership is nonsignificantly associated with hedging-purpose derivatives usage in Taiwan. Further, we found that foreign institutional investors have a significant positive relationship with hedging-purpose derivatives usage however local institutional investors are opposite. Another result, institutional investors’ ownership negatively associated with non-hedging-purpose derivatives usage significantly, means that institutional investors can exert monitoring effect especially in the foreign institutional investors. Additionally, this study implements several diagnostic tests to check and analyze.
摘要 i
Abstract ii
誌謝 iii
目錄 iv
表目錄 v
圖目錄 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 3
第三節 研究架構 4
第貳章、文獻探討 6
第一節 衍生性金融商品 6
第二節 機構投資者 8
第參章、研究設計 11
第一節 研究假說 11
第二節 研究期間與樣本篩選 13
第三節 變數定義 16
第四節 實證模型 18
第肆章、實證結果分析 20
第一節 敘述性統計與相關性分析 20
第二節 實證結果 23
第伍章、敏感性測試 28
第一節 以期初資產平減衡量衍生性金融商品之使用程度 28
第二節 以Tobit模式測試 33
第三節 考慮機構投資者重大影響力 38
第陸章、研究結論與限制 43
參考文獻 44
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