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題名 公司治理與股票市場流動性之關聯性
The relationship of corporate governance and market liquidity
作者 陳新婷
貢獻者 郭弘卿
陳新婷
關鍵詞 公司治理
市場流動性
Corporate governance
market liquidity
日期 2009
上傳時間 8-Dec-2010 01:53:07 (UTC+8)
摘要 本研究以2003至 2008年間國內上市櫃公司為研究對象,探討公司治理與股票市場流動性之關聯性。公司治理機制包括董事長兼任總經理、外部董監事持股、管理當局持股、機構投資者持股、家族型態以及控制權與盈餘分配權偏離程度,並以買賣價差作為衡量市場流動性之變數。
由過去的相關文獻推論,公司治理機制之良窳的確會影響財務報表揭露的透明度,同時產生資訊不對稱的問題,並對市場流動性產生衝擊。實證結果指出,外部董監事持股比率及外資法人持股比率愈高,其買賣價差愈小,市場流動性愈佳;管理當局持股比例愈高、企業為家族企業者以及控制權與盈餘分配權偏離程度愈大者,其買賣價差愈大,市場流動性愈差。
This thesis attempts to examine the influence of corporate governance on stock market liquidity by observing the publicly listed and OTC companies in Taiwan in the period from 2003 to 2008. The governance mechanisms used in this thesis include CEO duality, outside director ownership, management ownership, institutional ownership, family ownership and deviation between ultimate control and ownership. And we use bid-ask spreads to measure market liquidity.
The empirical findings of this study are as follows. Firms with greater outside director seats or foreign institutional ownership are negatively associated with bid-ask spreads and positively associated with market liquidity. While firms with greater management ownership, family ownership, and deviation between voting rights and cash-flow rights, are positively related with bid-ask spreads and negatively related with market liquidity.
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計系碩士論文。
胡星陽,1998,流動性對台灣股市報酬率的影響,中國財務學刊,第5卷第4期:
1-19。
莊凱如,2009,台灣市場中機構投資者的投資偏好,國立政治大學財務管理系碩
士論文。
許玉葉,2006,公司治理、流動性與公司績效--台灣海外掛牌存託憑證公司之實
證研究,私立中原大學國際貿易學系碩士論文。
許崇源、李怡宗、林宛瑩、鄭桂蕙,2003,控制權與盈餘分配權偏離之衡量(上),
貨幣觀測與信用評等,第42期:15-31。
許崇源、李怡宗、林宛瑩、鄭桂蕙,2003,控制權與盈餘分配權偏離之衡量(下),
貨幣觀測與信用評等,第43期:11-26。
張眾卓,2008,公司治理與市場微結構,國立中正大學財務金融研究所博士論文。
張瑞當、方俊儒、曾玉琦,2007,核心代理問題與盈餘管理:董事會結構與外
部監督機制之探討,管理學報,第24卷,第1期: 17-39。
陳柔安,2006,資訊透明度、流動性與資訊內涵關係之研究,私立中原大學會計
學系碩士論文。
陳隆勛,1998,台灣上市公司股票流動性與股票報酬關聯性之研究,國立交通大
學管理科學研究所碩士論文。
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蔡其諭,2002,揭露程度與負債資金成本之關係,國立政治大學會計系碩士論文。
劉玉珍、劉維琪、吳欽杉、郭秋榮,1991,台灣股票上市公司變現能力與股票報
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描述 碩士
國立政治大學
會計研究所
97353040
98
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0097353040
資料類型 thesis
dc.contributor.advisor 郭弘卿zh_TW
dc.contributor.author (Authors) 陳新婷zh_TW
dc.creator (作者) 陳新婷zh_TW
dc.date (日期) 2009en_US
dc.date.accessioned 8-Dec-2010 01:53:07 (UTC+8)-
dc.date.available 8-Dec-2010 01:53:07 (UTC+8)-
dc.date.issued (上傳時間) 8-Dec-2010 01:53:07 (UTC+8)-
dc.identifier (Other Identifiers) G0097353040en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/48916-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 會計研究所zh_TW
dc.description (描述) 97353040zh_TW
dc.description (描述) 98zh_TW
dc.description.abstract (摘要) 本研究以2003至 2008年間國內上市櫃公司為研究對象,探討公司治理與股票市場流動性之關聯性。公司治理機制包括董事長兼任總經理、外部董監事持股、管理當局持股、機構投資者持股、家族型態以及控制權與盈餘分配權偏離程度,並以買賣價差作為衡量市場流動性之變數。
由過去的相關文獻推論,公司治理機制之良窳的確會影響財務報表揭露的透明度,同時產生資訊不對稱的問題,並對市場流動性產生衝擊。實證結果指出,外部董監事持股比率及外資法人持股比率愈高,其買賣價差愈小,市場流動性愈佳;管理當局持股比例愈高、企業為家族企業者以及控制權與盈餘分配權偏離程度愈大者,其買賣價差愈大,市場流動性愈差。
zh_TW
dc.description.abstract (摘要) This thesis attempts to examine the influence of corporate governance on stock market liquidity by observing the publicly listed and OTC companies in Taiwan in the period from 2003 to 2008. The governance mechanisms used in this thesis include CEO duality, outside director ownership, management ownership, institutional ownership, family ownership and deviation between ultimate control and ownership. And we use bid-ask spreads to measure market liquidity.
The empirical findings of this study are as follows. Firms with greater outside director seats or foreign institutional ownership are negatively associated with bid-ask spreads and positively associated with market liquidity. While firms with greater management ownership, family ownership, and deviation between voting rights and cash-flow rights, are positively related with bid-ask spreads and negatively related with market liquidity.
en_US
dc.description.tableofcontents 第壹章 緒論 1
第一節 研究動機與目的 1
第二節 研究問題 3
第三節 研究流程 4
第貳章 文獻探討 6
第一節 流動性相關文獻 6
第二節 流動性衡量指標相關文獻 10
第三節 公司治理與流動性之相關文獻 16
第参章 研究設計 19
第一節 假說建立 19
第二節 變數定義及衡量 27
第三節 實證模型 32
第四節 研究方法 34
第五節 資料來源與處理 35
第肆章 實證結果與分析 37
第一節 敘述性統計分析 37
第二節 相關係數分析及VIF檢測 39
第三節 迴歸分析 43
第伍章 研究結論與建議 50
第一節 研究結論 50
第二節 研究限制 53
第三節 研究建議 53
參考文獻 54
zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0097353040en_US
dc.subject (關鍵詞) 公司治理zh_TW
dc.subject (關鍵詞) 市場流動性zh_TW
dc.subject (關鍵詞) Corporate governanceen_US
dc.subject (關鍵詞) market liquidityen_US
dc.title (題名) 公司治理與股票市場流動性之關聯性zh_TW
dc.title (題名) The relationship of corporate governance and market liquidityen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 吳郁萱,2006,公司資訊透明度、分析師跟隨與公司績效之關聯性,政治大學會zh_TW
dc.relation.reference (參考文獻) 計系碩士論文。zh_TW
dc.relation.reference (參考文獻) 胡星陽,1998,流動性對台灣股市報酬率的影響,中國財務學刊,第5卷第4期:zh_TW
dc.relation.reference (參考文獻) 1-19。zh_TW
dc.relation.reference (參考文獻) 莊凱如,2009,台灣市場中機構投資者的投資偏好,國立政治大學財務管理系碩zh_TW
dc.relation.reference (參考文獻) 士論文。zh_TW
dc.relation.reference (參考文獻) 許玉葉,2006,公司治理、流動性與公司績效--台灣海外掛牌存託憑證公司之實zh_TW
dc.relation.reference (參考文獻) 證研究,私立中原大學國際貿易學系碩士論文。zh_TW
dc.relation.reference (參考文獻) 許崇源、李怡宗、林宛瑩、鄭桂蕙,2003,控制權與盈餘分配權偏離之衡量(上),zh_TW
dc.relation.reference (參考文獻) 貨幣觀測與信用評等,第42期:15-31。zh_TW
dc.relation.reference (參考文獻) 許崇源、李怡宗、林宛瑩、鄭桂蕙,2003,控制權與盈餘分配權偏離之衡量(下),zh_TW
dc.relation.reference (參考文獻) 貨幣觀測與信用評等,第43期:11-26。zh_TW
dc.relation.reference (參考文獻) 張眾卓,2008,公司治理與市場微結構,國立中正大學財務金融研究所博士論文。zh_TW
dc.relation.reference (參考文獻) 張瑞當、方俊儒、曾玉琦,2007,核心代理問題與盈餘管理:董事會結構與外zh_TW
dc.relation.reference (參考文獻) 部監督機制之探討,管理學報,第24卷,第1期: 17-39。zh_TW
dc.relation.reference (參考文獻) 陳柔安,2006,資訊透明度、流動性與資訊內涵關係之研究,私立中原大學會計zh_TW
dc.relation.reference (參考文獻) 學系碩士論文。zh_TW
dc.relation.reference (參考文獻) 陳隆勛,1998,台灣上市公司股票流動性與股票報酬關聯性之研究,國立交通大zh_TW
dc.relation.reference (參考文獻) 學管理科學研究所碩士論文。zh_TW
dc.relation.reference (參考文獻) 陳錦村、葉雅薰,2002,公司改組、監督機制與盈餘管理之研究,會計評論,第zh_TW
dc.relation.reference (參考文獻) 34 期:1-28。zh_TW
dc.relation.reference (參考文獻) 蔡其諭,2002,揭露程度與負債資金成本之關係,國立政治大學會計系碩士論文。zh_TW
dc.relation.reference (參考文獻) 劉玉珍、劉維琪、吳欽杉、郭秋榮,1991,台灣股票上市公司變現能力與股票報zh_TW
dc.relation.reference (參考文獻) 酬關係之實證研究,管理科學學報,第8卷第1期:37-51。zh_TW
dc.relation.reference (參考文獻) 二、英文部分zh_TW
dc.relation.reference (參考文獻) Agrawal, A. 1990. Large Shareholders and Monitoring if Managers:The Case of Antitakeover Charter Amendments. Journal of Financial and Quantitative Analysis 25:143-161zh_TW
dc.relation.reference (參考文獻) Amihud, A. 1963. The effect of capital structure on the cost of capital. The Accounting Review : 23-349.zh_TW
dc.relation.reference (參考文獻) Amihud, Y., and H. Mendelson. 1986. Asset pricing and the bid-ask spread. Journal of Financial Economics 17 (December):223-249.zh_TW
dc.relation.reference (參考文獻) Amihud, Y., and H. Mendelson. 1989. The effect of computer base trading on volatility and liquidity. In:H.C. Lucas and R. A. Schwartz (Eds.), The challenge of information technology for the securities markets, liquidity, volatility, and global trading:59-85. Homewood, IL:Dow Jones & Company, Inc.zh_TW
dc.relation.reference (參考文獻) Attig, N., W. M. Fong, Y. Gadhoum and L. H. P. Lang. 2006. Effect of Large Shareholding on Information Asymmetry and Stock Liquidity. Journal of Baking and Finance 30:2875-2892.zh_TW
dc.relation.reference (參考文獻) Bacidore, J. M. and G. Sofianos. 2002. Liquidity provision and specialist trading in NYSE-listed Non-U.S.Stocks. Journal of Financial Economics 63 : 133-158.zh_TW
dc.relation.reference (參考文獻) Bagehot, W. 1971. The Only Game in Town. Financial Analysts Journal 27:12-14.zh_TW
dc.relation.reference (參考文獻) Beasley, M. S. 1996. An empirical analysis of the relation between the board of director composition and financial statement fraud. Accounting Review 71:443-465.zh_TW
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