股權結構、財務績效與超買超賣股價訊息量-台灣旅遊業實證

Ownership Structure, Financial Performance, and Stock Price Overreaction Informativeness -Evidence from Taiwanese Tourism Industry

古曜嘉(Yao-Chia Ku)

指導教授 ： 倪衍森 ； 黃寶玉

淡江大學/商管學院/管理科學學系博士班/博士(2019年)

https://doi.org/10.6846/TKU.2019.00575

摘要

大多數的投資人或多或少會參考技術分析及技術指標所發出的交易訊號來交易股票。雖然技術分析在現實世界中被廣泛採用，然而技術分析在學術研究上卻仍相對有限。因此，本篇論文探討採用技術分析指標，並聚焦於SOI及RSI交易指標在資本市場上之應用。

我們分別以SOI及RSI指標萃取的股價超買/超賣的訊息量作為代理變數，即代理變數DOB-K/DOS-K及DOB-RSI/DOS-RSI係分別以SOI及RSI指標所顯示之股價過熱/過冷的天數占全年交易天數為股價超買/超賣的訊息量，並以台灣證交所上市之旅遊相關產業成分股為研究標的，探討代理變數是否會受到股權結構變數、財務報表變數所影響。

實證結果顯示，董事持股較低、經理人持股較低、融資較高及市值相對低的公司似乎股價超買訊息量(DOB-K)較高；而董事持股較低、資產週轉率相對低的公司似乎股價超買訊息量(DOB-RSI)也較高。

實證結果與一般認知相當不同。我們認為，缺乏良好公司治理結構的公司可能會操作股價超買現象。此外，股價超買訊息量(DOB-K、DOB-RSI)較高也表示股價可能來到相對高檔，旅遊業的董事及經理人可能趁股價被高估時減少持股，換言之，董事與經理人持股偏低，較可能出現公司治理問題，尤其是發生股價超買現象時。

關鍵字

技術分析 ； 股價訊息量 ； 隨機指標 ； 相對強弱指標 ； 股權結構 ； 財務績效

並列摘要

Given the well-known technical trading indicators, SOI and RSI, we proposed new proxies for stock price informativeness including DOB-K, DOS-K, DOB-RSI, and DOS-RSI in this study. DOB-K (DOS-K) is defined as the number of days falling into the SOI-defined overbought (oversold) zones over the total number of trading days in a year. DOB-RSI (DOS-RSI) is defined as the number of days falling into the RSI-defined overbought (oversold) zones over the total number of trading days in a year. We then investigate whether these proxies would be affected by the function of ownership structure and financial performance shown in financial statements. Results reveal that firms with lower directors’ shareholding ratio, lower managers’ shareholding ratio, higher debt ratio, and small firm size would enhance DOB-K; similarly, the firms with higher DOB-RSI are shown for the firms with lower directors’ shareholding ratio and lower assets turnover ratio. The results are somewhat different from our cognition. We argue that share price overbought phenomena might be manipulated by the firms without either well-functioned ownership structure or better financial performance. In addition, overbought phenomena such as higher DOB-K and higher DOB-RSI might indicate that share price rises at the higher level, resulting in that directors and managers (i.e. insiders) decline their shareholdings due to share price likely overestimated for these firms falling into Taiwanese tourism industry. As a result, we argue that these firms may have the issues of corporate governance.

並列關鍵字

technical analysis ； stock price informativeness ； stochastic oscillator indicators ； relative strength index ； ownership structure ； financial performance

參考文獻

Aggarwal, R., I. Erel, M. Ferreira, and P. Matos (2011). Does governance travel around the world? evidence from institutional investors. Journal of Financial Economics 100(1), 154-181.

Al-Najjar, B. (2014). Corporate governance, tourism growth and firm performance: evidence from publicly listed tourism firms in five Middle Eastern countries. Tourism Management 42, 342-351.

Al-Najjar, B. (2017). Corporate governance and CEO pay: Evidence from UK Travel and Leisure listed firms. Tourism Management 60, 9-14.

Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of financial markets 5(1), 31-56.

Atanasov, V. and T. Nitschka (2017). Firm size, economic risks, and the cross-section of international stock returns. The North American Journal of Economics and Finance 39, 110-126.