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題名 股權結構對股價之影響─以台灣TFT－LCD產業為例
The Influence of Ownership Structure on Stock Price:An Evidence from the TFT-LCD Industry in Taiwan
作者 范惠緣
Fan, Hueu Yuan
貢獻者 黃智聰
Huang, Jr Tsung
范惠緣
Fan, Hueu Yuan
關鍵詞 股權結構
股價
資訊不對稱
固定效果模型
Ownership Structure
Stock Price
Information Asymmetry
Fixed Effect Model
日期 2007
上傳時間 14-Sep-2009 12:39:21 (UTC+8)
摘要 隨著所有權與經營權日益分離因而引發代理問題，由於所有者與經營者之間存在著資訊不對稱(Information Asymmetry)，而引發監督等代理成本。本研究探討股權結構與公司價值之間的關係，究竟是支持「利益收斂假說」或是「利益衝突假說」，並探討公司內部人、機構法人是否能發揮監督功效，而提升公司價值，反應在股價是否為正向關係。而公司內部人若能適當監督產生正面效益，能使公司價值提升。機構法人為理性投資者，由於有專業團隊蒐集資訊進行投資分析，因此機構法人持股比例的高低具參考價值，對於公司股價具有影響力，故機構法人持股可視為另一股監督力量。
     本研究採用2001年至2007年台灣TFT－LCD產業的追蹤資料，搭配固定效果模型，以股價為公司價值之代理變數，並將股權結構視為其他資訊之代理變數，來探討股權結構對於股價是否具有顯著解釋力。根據實證結果顯示，機構投資持股與公司價值呈顯著且正向關係，結果支持「效率監督假說」。其次，內部人持股比例對股價的造成的影響呈顯著且正向關係，研究結果與「利益收斂假說」吻合。並發現投信持股比例雖低，但其對股價的影響力較外資及內部人來的大。
The increasing demand for the separation of ownership and management control has led to concerns on agency problems. The existence of information asymmetry between the owner and the management team has resulted in various agency costs, including supervision-related expenses, etc. In this dissertation, we try to study the relationship between ownership structure and corporate value, so as to determine whether the Convergence of interest Hypothesis or the Conflict of interest Hypothesis should be supported. We also try to probe whether the insiders of a company or the institutional investors are able to fully play their supervisory roles to increase the value of the company, and whether these roles have positive correlation with the company’s stock price. The supervisory functions of a company’s insiders, when properly fulfilled, will create positive effects and increase the value of the company. Being rational investors, institutional investors collect information and conduct investment analysis through a professional team. The shareholding by institutional investors, therefore, is indicative and influential to the company’s stock price. Institutional investors are reckoned as another force of supervision.
     In this research, we used the panel data of the TFT-LCD industry in Taiwan over the period of 2001 to 2007, supported by the fixed effect model. Stock prices are used as the proxy variables of the corporate value, and ownership structure is reckoned as the proxy variable for other information. The analysis is used to determine whether ownership structure has significant interpretation effect on the stock price. The empirical research results show that the shareholding by institutional investors has a significant and positive
     correlation with the corporate value, which supports the Efficient Monitoring Hypothesis. Further, the ratio of insiders’ shareholding also has significant and positive influence on the stock price. The research results therefore agree with the Convergence of Interest Hypothesis. It was also found that, whilst the ratio of shareholding by the SITE industry is relatively lower, its influence on stock price is greater than the institutional investors and insiders.
參考文獻 一、中文部分
王元章（2001），「內部人持股比例，投資績效與市場效率性-臺灣股市之實證研究」，《證券市場發展季刊》，48期，頁51 -77。
王月玲（2003），《外資對台灣股市的影響》，政治大學金融研究所碩士論文。
王昭琪（2002），「TFT－LCD產業之競合與經營型態分析」，台北：工研院產業經濟與趨勢研究中心。
王冠閔、黃柏農（2004），「台灣股、匯市與美國股市關聯性探討」，《臺灣經濟預測與政策》，34期，頁31 -72。
王慶鴻（1999），《內部關係人持股變動對股價的影響》，政治大學財務管理學系碩士論文。
江建男、李光輝（2004），「我國貨幣政策操作及傳遞機制之實証分析—兼論銀行信用管道與股票價格管道」，《中央銀行季刊》，第26卷第3期，頁17 -55。
李豐年（2004），《台灣資訊電子業赴大陸之樂觀投資行為對股東財富與經營績效之影響》，銘傳大學財務金融學系碩士論文。
邱明熙（2005），《企業控制權與價值之研究-台灣上市電子公司之實證研究》，政治大學經營管理碩士學程碩士論文。
邱智宏（1996），《台灣股市盈餘與股票報酬關係之實證研究》，淡江大學財務金融研究所碩士論文。
周舒屏（2004），《國際機構權益投資偏好成因之探討》，政治大學財務管理學系碩士論文。
金傑敏（1995），《公司規模、權益帳面價值對市價比、前期報酬及系統性風險對股票報酬之影響》，淡江大學財務金融研究所碩士論文。
陳志成（2007），《台灣企業投資中國之策略佈局－以TFT－LCD面板產業為例》，中央大學管理學院高階主管企管碩士班碩士論文。
陳建良（1994），《我國股票市場異常現象之實證研究》，交通大學管理科學研究所碩士論文。
陳彥豪（2002），《外資與投信法人持股比率變化對股價報酬率影響之研究－以上市電子股為例》，中山大學財務管理研究所碩士論文。
高慧玲（2003），《在市場異常波動下，不同投資人之反應及其對股價行為的影響》，成功大學企業管理研究所碩士論文。
黃聖棠（2007），《台灣股市外資與動能投資策略》，東華大學經濟學系博士論文。
楊立健（2005），《融資餘額、外資持股與台灣證券交易所發行量加權股價指數共整合之研究》，政治大學國際貿易學系碩士論文。
楊筆琇(1998)，《台灣電子股價指數與美國股價指數互動關係之實證研究》，成功大學企業管理研究所
張文瀞、周玲臺、林修葳（2003），「內部人持股連續變動公司之盈餘管理行為特性」，《會計評論》，37期，頁53-83。
鄭菽萱（2003），《政府機構持股比例與型態對公司價值影響之實證研究》，中原大學會計學系碩士論文。
劉敏禎（2002）《企業赴海外投資之訊息宣告對股票報酬影響研究－以台灣上市公司在大陸投資為例》，東華大學國際企業研究所碩士論文。
簡瑞廷（2001），《台灣上市公司內部人交易效應之研究》，中央大學企業管理所碩士論文。
二、英文部分
Abdullah, D. A. and S. C. Hayworth (1993), “Macroeconometrics of stock price fluctuations,” Quarterly Journa1 of Business and Economics, 32, 50-67.
Aggarwal, R. and Y. S. Park (1994), “The Relationship between Daily U.S. and Japanese Equity Price: Evidence from Spot versus Futures Markets,” Journal of Banking and Finance, 18, 757-773.
Banz, R. W. (1981), “The Relationship between Return and Market Value of Common Stocks,” Journal of Financial Economics, 9, 3-18.
Barber, B. M. and J. D. Lyon (1997), “Firm Size, Book-to-Market Ratio, and Security Returns: A Holdout Sample of Financial Firms,” Journal of Finance, 52, 875-883.
Berle, A. A. and C. G. Means (1997),The Modern Corporation and Private Property, New York: Commerce Clearing House.
Chan, K. C. and Nai-Fu Chen (1991), “Structural and Return Characteristics of Small and Large Firms,” Journal of Finance, 46, 1467-1484.
Chan, L. K.C. and J. Lakonishok (1993), “Institutional Trades and Intraday Stock Price Behavior,” Journal of Financial Economics, 33, 173-199.
Close, N. (1975), “Price Reaction to Large Transactions in the Canadian Equity Markets,” Financial Analysts Journal, 31, 50-57.
Demsetz, H. (1983), “The Structure of Ownership and the Theory of the Firm,” Journal of Law and Economics, 26, 375-390.
Easton, P. D. and T. S. Harris (1991), “Earnings As an Explanatory Variable for Returns,” Journal of Accounting Research, 29, 19-36.
Fama, E. F. (1970), “Efficient Capital Markets: A Reviews of Theory and Empirical Work,” Journal of Finance, 25, 383-417.
Fama, E. F. (1980), “Agency Problems and the Theory of the Firm,” Journal of Political Economy, 88, 288-307.
Fama, E. F. (1981), “Stock Returns, Real Activity, Inflation, and Money,” American Economic Review, 71, 545-565.
Francis, J. and K. Schipper (1999), “Have Financial Statements Lost Their Relevance?” Journal of Accounting Research, 37, 319-352.
Givoly, D. and D. Palmon (1985), “Insider Trading and the Exploitation of Inside Information: Some Empirical Evidence,” Journal of Business, 58, 69-87.
Hausman, J. A. (1978), “Specification Test in Econometrics,” Econometrica, 46, 1251-1271.
Hill, C. R., W. E. Griffiths, and G. G. Judge (2001), Undergraduate Econometrics, New York: John Wiley & Sons.
Hudson, C. D., J. S. Jahera, and W. P. Lloyd (1992), “Further Evidence on the Relationship between Ownership and Performance,” Financial Review, 27, 227-239.
Jaffe, J. F. (1974), “Special Information and Insider Trading,” Journal of Business, 47, 410-428.
James, C., S. Koreisha, and M. Partch (1985), “A VARMA Analysis of the Causal Relations among Stock Returns, Real Output and Nominal Interest Rates,” Journal of Finance, 40, 1375-1384.
Jensen, M.C. and M. Meckling (1976), “Theory of the Firm: Managerial Behavior Agency Costs and Ownership Structure,” Journal of Financial Economics, 3, 305-360.
Jensen, M.C. and R.S. Ruback (1983), “The Market for Corporate Control: The Scientific Evidence,” Journal of Financial and Economics, 11, 5-50.
Karolyi, G. A. (1995), “A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada,” Journal of Business and Economic Statistics, 13, 11-25.
Kraus, A. and H. R. Stoll (1972),“Price Impacts of Block Trading on the New York Stock Exchange,” Journal of Finance, 27, 569-588.
Leland, H. and D. Pyle (1977), “Informational Asymmetries, Financial Structure, and Financial Intermediation,” Journal of Finance, 32, 371-387.
Ohlson, J. A. (1995), “Earnings, Book Values, and Dividends in Equity Valuation,” Contemporary Accounting Research, 11, 661-687.
Pound, J. (1988), “Proxy Contests and the Efficiency of Shareholder Oversight,” Journal of Financial Economics, 20, 237-265.
Rozeff, M. S. and M. A. Zaman (1998), “Overreaction and Insider Trading: Evidence from Growth and Value Portfolios,” Journal of Finance, 53, 701-716.
Scholes, M. S. (1972), “The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Price,” Journal of Business, 45, 179-211.
Schwert, G. W. (1990), “Stock Returns and Real Activity: A Century of Evidence,” Journal of Finance, 45, 1237-1257.
Seyhun, H. N. (1986), “Insiders’ Profit, Costs of Trading, and Market Efficiency,” Journal of Financial Economics, 16, 189-212.
Seyhun, H. N. (1990), “Overreaction or Fundamentals: Some Lessons from Insiders’ Response to the Market Crash of 1987,” Journal of Finance, 45, 1363-1388.
Shleifer, A. (1986), “Do Demand Curves for Stocks Slope Down?” Journal of Finance, 41, 579-590.
Sivakumar, K. and G. Waymire (1994), “Insider Trading Following Material News Events: Evidence from Earnings,” Financial Management, 23, 23-32.
三、網站部分
工研院產業經濟與趨勢研究中心，http://www.iek.itri.org.tw。
友達光電股份有限公司，http://www.auo.com.tw。
永豐金融控股份有限公司，http://www.sinopac.com。
台灣經濟研究院產經資料庫，http://tie.tier.org.tw/tie/index.jsp。
行政院金融監督管理委員會證期局，http://www.sfb.org.tw。
奇美電子股份有限公司，http://www.cmo.com.tw。
科技政策研究與資訊中心，http://www.stpi.org.tw/STPI/index.htm。
IT IS智網，http://www.itis.org.tw。
描述 碩士
國立政治大學
行政管理碩士學程
95921029
96
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0095921029
資料類型 thesis
dc.contributor.advisor 黃智聰zh_TW
dc.contributor.advisor Huang, Jr Tsungen_US
dc.contributor.author (Authors) 范惠緣zh_TW
dc.contributor.author (Authors) Fan, Hueu Yuanen_US
dc.creator (作者) 范惠緣zh_TW
dc.creator (作者) Fan, Hueu Yuanen_US
dc.date (日期) 2007en_US
dc.date.accessioned 14-Sep-2009 12:39:21 (UTC+8)-
dc.date.available 14-Sep-2009 12:39:21 (UTC+8)-
dc.date.issued (上傳時間) 14-Sep-2009 12:39:21 (UTC+8)-
dc.identifier (Other Identifiers) G0095921029en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/31976-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 行政管理碩士學程zh_TW
dc.description (描述) 95921029zh_TW
dc.description (描述) 96zh_TW
dc.description.abstract (摘要) 隨著所有權與經營權日益分離因而引發代理問題，由於所有者與經營者之間存在著資訊不對稱(Information Asymmetry)，而引發監督等代理成本。本研究探討股權結構與公司價值之間的關係，究竟是支持「利益收斂假說」或是「利益衝突假說」，並探討公司內部人、機構法人是否能發揮監督功效，而提升公司價值，反應在股價是否為正向關係。而公司內部人若能適當監督產生正面效益，能使公司價值提升。機構法人為理性投資者，由於有專業團隊蒐集資訊進行投資分析，因此機構法人持股比例的高低具參考價值，對於公司股價具有影響力，故機構法人持股可視為另一股監督力量。
     本研究採用2001年至2007年台灣TFT－LCD產業的追蹤資料，搭配固定效果模型，以股價為公司價值之代理變數，並將股權結構視為其他資訊之代理變數，來探討股權結構對於股價是否具有顯著解釋力。根據實證結果顯示，機構投資持股與公司價值呈顯著且正向關係，結果支持「效率監督假說」。其次，內部人持股比例對股價的造成的影響呈顯著且正向關係，研究結果與「利益收斂假說」吻合。並發現投信持股比例雖低，但其對股價的影響力較外資及內部人來的大。		zh_TW
dc.description.abstract (摘要) The increasing demand for the separation of ownership and management control has led to concerns on agency problems. The existence of information asymmetry between the owner and the management team has resulted in various agency costs, including supervision-related expenses, etc. In this dissertation, we try to study the relationship between ownership structure and corporate value, so as to determine whether the Convergence of interest Hypothesis or the Conflict of interest Hypothesis should be supported. We also try to probe whether the insiders of a company or the institutional investors are able to fully play their supervisory roles to increase the value of the company, and whether these roles have positive correlation with the company’s stock price. The supervisory functions of a company’s insiders, when properly fulfilled, will create positive effects and increase the value of the company. Being rational investors, institutional investors collect information and conduct investment analysis through a professional team. The shareholding by institutional investors, therefore, is indicative and influential to the company’s stock price. Institutional investors are reckoned as another force of supervision.
     In this research, we used the panel data of the TFT-LCD industry in Taiwan over the period of 2001 to 2007, supported by the fixed effect model. Stock prices are used as the proxy variables of the corporate value, and ownership structure is reckoned as the proxy variable for other information. The analysis is used to determine whether ownership structure has significant interpretation effect on the stock price. The empirical research results show that the shareholding by institutional investors has a significant and positive
     correlation with the corporate value, which supports the Efficient Monitoring Hypothesis. Further, the ratio of insiders’ shareholding also has significant and positive influence on the stock price. The research results therefore agree with the Convergence of Interest Hypothesis. It was also found that, whilst the ratio of shareholding by the SITE industry is relatively lower, its influence on stock price is greater than the institutional investors and insiders.		en_US
dc.description.tableofcontents 第一章 緒論……………………………………………………………1
     第一節 研究背景及目的…………………………………………………1
     第二節 研究架構及流程…………………………………………………7
     第三節 研究限制…………………………………………………………9
     第二章 文獻回顧………………………………………………………10
     第一節 股權結構與公司價值之關係…………………………………10
     第二節 內部人持股異動與資訊傳遞效果之關係……………………14
     第三節 機構投資人持股異動與資訊傳遞效果之關係………………17
     第三章 TFT－LCD產業發展與現況分析……………………………21
     第一節 全球TFT－LCD產業發展與現況……………………………21
     第二節 台灣TFT－LCD產業現況……………………………………30
     第三節 台灣TFT－LCD產業股權結構與股價關聯性初步分析……37
     第四章 研究方法及變數資料…………………………………………43
     第一節 資料來源………………………………………………………44
     第二節 研究方法與實證模型…………………………………………46
     第三節 變數假設………………………………………………………48
     第五章 實證結果分析及檢驗…………………………………………54
     第一節 實證結果分析…………………………………………………54
     第二節 實證模型正確度之檢驗………………………………………59
     第六章 結論與建議……………………………………………………63
     第一節 結論……………………………………………………………63
     第二節 建議……………………………………………………………65
     參考文獻 ………………………………………………………………67
     
     表 次
     表1：集中交易市場投資法人交易概況表……………………………………3
     表2：外資投入台灣股市概況表………………………………………………3
     表3：股權結構與公司價值關係之相關文獻………………………………13
     表4：內部人持股與公司價值關係之相關文獻……………………………16
     表5：機構投資人持股與公司價值關係之相關文獻………………………20
     表6：歷年來全球面板產能擴充狀況………………………………………23
     表7：2004~2009年全球顯示器面板業產值統計……………………………24
     表8：中小尺寸TFT－LCD面板主要應用產品之出貨量預估……………25
     表9：全球TFT－LCD產業發展沿革………………………………………29
     表10：2007年全球前四大面板廠商營收、營運毛利率與淨利預估………32
     表11：台灣廠商購買中小尺寸TFT－LCD面板產能狀況…………………35
     表12：台灣TFT－LCD產業發展沿革………………………………………36
     表13：台灣TFT－LCD面板廠商股價情形一覽表…………………………38
     表14：台灣TFT－LCD面板廠商股權結構情形一覽表……………………39
     表15：台灣TFT－LCD面板廠商股價與股權結構情形一覽表……………40
     表16：台灣TFT－LCD面板廠商上市上櫃情形一覽表……………………43
     表17：實證變數之彙總說明…………………………………………………53
     表18：固定效果模型估計結果………………………………………………55
     表19：各解釋變數與股價間之關係…………………………………………58
     表20：解釋變數相關係數矩陣………………………………………………61
     表21：實證模型結果一覽表…………………………………………………62
     圖 次
     圖1：研究進行流程圖…………………………………………………………8
     圖2：大尺寸TFT－LCD面板應用情形……………………………………25
     圖3：2007年各地區TFT－LCD面板產值分佈圖…………………………31
     圖4：2007年各地區大尺寸面板產值分佈圖………………………………31
     圖5：2007年各地區中小尺寸面板產值分佈圖……………………………32		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0095921029en_US
dc.subject (關鍵詞) 股權結構zh_TW
dc.subject (關鍵詞) 股價zh_TW
dc.subject (關鍵詞) 資訊不對稱zh_TW
dc.subject (關鍵詞) 固定效果模型zh_TW
dc.subject (關鍵詞) Ownership Structureen_US
dc.subject (關鍵詞) Stock Priceen_US
dc.subject (關鍵詞) Information Asymmetryen_US
dc.subject (關鍵詞) Fixed Effect Modelen_US
dc.title (題名) 股權結構對股價之影響─以台灣TFT－LCD產業為例zh_TW
dc.title (題名) The Influence of Ownership Structure on Stock Price:An Evidence from the TFT-LCD Industry in Taiwanen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 一、中文部分zh_TW
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