產品市場競爭、內部人交易與股票市場效率之關係研究－以台灣上市櫃企業為例

過去少有學者針對產品市場競爭(Product Market Compettition)與股票市場之投資人行為及股市效率性做關聯性研究。直至Gaspar and Massa(2006)指出產品市場競爭會顯著提高企業之獨特性波動度(Idiosyncratic Volatility)，此相關文獻才逐漸發展。Peress (2010)則提出若企業愈具市場力(Market Power)，相對地產品市場競爭程度將愈低，會使得企業營運穩定度高且風險低，投資人會偏好交易企業之股票，並促使股價具較強資訊性。而過去國內文獻從未檢視投資人於股市之交易行為是否與產品市場競爭程度相關，或競爭程度是否會影響股市效率性。故本研究之目的為探討台灣產品市場競爭與股票投資人交易行為及股價資訊效率之關聯性。本研究以縱橫迴歸分析法(Panel Regression Analysis)進行實證分析。研究結果顯示，我國產品市場競爭與股票週轉率及盈餘宣告期間股價資訊效率性呈負向相關，與內部人交易呈正向相關。意指若企業之市場力愈強會使該公司之股票週轉率愈高但會使內部人減少交易該公司股票，此與Peress (2010)之研究發現相異。此外，若台灣之企業存在市場力將會提升股價資訊效率性，即產品市場不完美不一定會將不良影響擴展至股票市場，且可減緩台灣股市之無效率性。

關鍵字

產品市場競爭；市場力；股票市場效率

並列摘要

This study is guided by recent empirical work showing that the investors’ behaviors and stock market efficiency are affected by product market competition. Gaspar and Massa (2006) document that more competitive firms have more volatile idiosyncratic returns, Peress (2010) finds that firms use their market power to pass on shocks to customers, thereby they can operate with less risk. This encourages stock trading, expedites the capitalization of private information into stock prices. However, no studies take into account the issues which we mentioned above in Taiwan academe. Therefore, the aim of this study is try to examine the relationship between product market competition and investors’ behaviors, stock market efficiency, respectively, in Taiwan academe. We use the panel regression analysis to carry out the empirical test. According to the empirical results, we find that the relationship between product market competition and stock turnover, stock market efficiency is significantly negative. Besides, the evidence also shows that market competition positively correlate with insider trading activities. We conclude that product market imperfections (market power), rather than spreading to equity markets, tend to mitigate stock market imperfections.

並列關鍵字

Product market competition ； Market power ； Stock market efficiency

參考文獻

1. Amihud, Y. (2002). Illiquidity and stock returns: Cross-section and time-series effects. Journal of Financial Markets, 5(1), 31-56.

2. Beaver, W. H. (1968). The information content of annual earnings announcements. Journal of Accounting Research, 6, 67-92.

3. Beneish, M., & Vargus, M. (2002). Insider trading, earnings quality, and accrual mispricing. Accounting Review, 77(4), 755-791.

5. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56.

6. Gaspar, J., & Massa, M. (2006). Idiosyncratic volatility and product market competition. Journal of Business, 79(6), 3125-3152.

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產品市場競爭、內部人交易與股票市場效率之關係研究－以台灣上市櫃企業為例

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