臺灣博碩士論文加值系統

本文使用2015年06月01日至2020年03月20日做為樣本期間。觀察市場上三大法人與散戶的交易不平衡之差異，以及其對於股票價格崩盤風險的影響。本文透過差異檢定發現，法人與散戶之間的交易不平衡存在顯著差異，而在專業投資人中，外國投資與證券投資信託之間也存在顯著的差異。其中投信與其他法人，不論是在崩盤虛擬變數還是負偏態的迴歸測試中，均與股價崩盤風險呈顯著的負相關。許多先前的文獻均指出管理者隱瞞壞消息是股價崩盤的關鍵因素，因此本文透過盈餘管理程度(Dechow, Sloan, and Sweeney, 1995)作為財務資訊透明度的代理變數。並意外地發現盈餘管理程度對於股價崩盤風險存在非常微弱的負向影響，而若進一步地將盈餘管理程度拆分為高百分位數與低百分位數進行測試時，這種影響又會消失，表示這種負向關係並不穩定。

During the sample period from June 1st, 2015, to March 20th, 2020, this study investigates the order imbalances between institutional and individual investors, and their impacts on the stock price crash risk in the market. Based on Student's t-tests, notable differences in order imbalances among investor categories are observed. Institutional investors display disparate order imbalances compared to individual investors. Additionally, significant distinctions surface between foreign investors and investment trusts. Interestingly, investment trusts and other institutional investors exhibit a substantial negative association with stock price crash risk across crash dummy and negative skewness measurements. Following Dechow, Sloan, and Sweeney (1995), the study employs the degree of earnings management as a proxy for information transparency to explore whether managerial concealment of adverse news is a pivotal element leading to stock price crashes. Surprisingly, the findings indicate a minimal negative effect of earnings management on stock price crash risk, with no discernible impact from the extremities of the 99th or 1st percentile of earnings management.

目次
致謝辭 i
摘要 ii
Abstract iii
目次 iv
表目次 v
第壹章 緒論 1
第一節 研究背景 1
第二節 研究動機 3
第三節 研究目的 4
第四節 文章架構 4
第貳章 文獻回顧 5
第一節 交易不平衡 5
第二節 股票價格崩盤風險 6
第參章 研究方法 8
第一節 資料來源 8
第二節 變數定義 8
第三節 研究模型 12
第肆章 實證結果 16
第一節 交易不平衡之差異檢定 16
第二節 迴歸分析 20
第三節 財務資訊透明度 23
第伍章 結論 28
參考文獻 30

表目次
表1 敘述統計 17
表2 相關係數統計 18
表3 交易不平衡之差異檢定 19
表4 CRASH羅吉斯迴歸分析 21
表5 NSKEW最小平方迴歸分析 22
表6 CRASH加入財務資訊透明度之羅吉斯迴歸分析 24
表7 NSKEW加入財務資訊透明度之最小平方迴歸分析 25
表8 CRASH加入極端財務資訊透明度之羅吉斯迴歸分析 26
表9 NSKEW加入極端財務資訊透明度之最小平方迴歸分析 27

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