三大法人交易資訊及公司治理變數對股價報酬率影響之研究－以金控公司為例

The Impact of the Professional investment institutions and Corporate Governance on stock returns Study － Example of Financial Holding Company

黃呈成(Huang, Cheng-Cheng)

指導教授 ： 古永嘉

國立臺北大學/商學院/國際財務金融碩士在職專班/碩士(2010年)

摘要

本文之研究主要探討三大法人持股、三大法人買賣超、三大法人成交比重、董監事持股、董監事質押等公司治理變數，哪些變數能影響到金控公司股價。以台灣經濟新報資料庫中的TEJ Company DB資料庫、TEJ Equity資料庫進行資料收集。研究以兩種方法來建立模型。一、先進行因素分析(factor analysis)，以因素分析中「主成分分析法」(principle component analysis)，再以「正交轉軸變異法」(Varimax)轉軸，以因素負荷量較高的變數內容為命名依據。將這些萃取出來之因素帶入多元迴歸模型中進行逐步迴歸，找出哪些因素具有解釋力。二、不進行因素分析直接將公司治理變數帶入多元迴歸模型中進行逐步迴歸，找出哪些變數具有解釋力。根據實證結果可歸納出以下幾點結論：
一、 利用因素分析法，實證結果發現，五大因素中投信因素對股價有正向顯著性，三大法人中，對股價有顯著影響的只有投信，投資大眾可參考投信持股比率、投信成交比重及投信買賣超資訊，作為投資組合選擇金控股票持股比率配置權重的參考依據，進而獲取超額報酬。
二、 若以原始自變數估計，實證結果發現，自變數中，投信持股率、自營持股率對股價具有正向顯著關係。反觀外資因素影響卻不顯著。

關鍵字

法人買賣超、公司治理、股價報酬、董監質押、三大法人

並列摘要

This research mainly analyzed the various variables of corporate governance which could affect to the stock prices of financial holding companies. The above variables mean the factors including the shareholdings of dealers, securities investment trust companies, and foreign investors (hereafter refers to as “major institution”), major institution’s net buy and sell, the proportion of trading volume by major institution, the director’s and supervisor’s shareholdings, the director’s and supervisor’s pledges and so on.
Based on the information collected by Taiwan Economic Journal (“TEJ”) database and TEJ equity database, the models were built by the following methods:
1. This research carries on the factor analysis by principal component analysis, and then it uses Varimax method by higher factors burdens of variable contents as naming basis. The research comes out the extract factors and leads them in the multiple regression models to carry on the stepwise regression, and finds the exposition factors.
2. This research directly leads the factors of corporate governance in the multiple regression models to carry on the stepwise regression and finds the exposition factors instead of carrying on the factor analysis of corporate governance.
According to the real diagnosis result, it may induce the following several conclusions:
1. Under factor analytic method, the real diagnosis result finds that the factor of the securities investment trust companies’ shareholdings has the positive significance to the stock prices among the previous five factors. In regard to the factors of major institution, only the factor of securities investment trust companies’ shareholdings has the remarkable influence to the stock prices. Accordingly, the investors may refer to the proportion of securities investment trust companies shareholdings, the proportion of trading volume by securities investment trust companies and securities investment trust companies net buy and sell for the disposition of weight reference for financial holding companies. Furthermore, the investors may receive the excess returns from above information.
2. Under estimation by the original independent variables, the real diagnosis result finds that, among the independent variables, there is a significantly positive correlation between the percentages of securities investment trust companies’ shareholdings, the percentages of dealers’ shareholdings and the stock prices. On the contrary, there is no significantly positive correlation between the factors of foreign investors and the stock prices.

參考文獻

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