公司治理與市場流動性

本研究旨在結合公司治理與證券市場微結構的觀點，探討公司治理機制與市場流動性之關聯性。本研究檢測控制權與現金流量權偏離程度、管理者持股、董事會組成、大股東持股、機構投資者持股以及家族型態對市場流動性之衝擊。實證結果顯示，股份控制權與現金流量權偏離程度、管理者持股比率、控制股東董監事席次比率、大股東持股比率、國內機構法人持股比率、家族企業持股比率以及家族控制席次比率等變數，皆與價差呈顯著正相關，對市場流動性具負向的衝擊。再者，外部董監事席次比率與外資法人持股比率，則與價差呈顯著負相關，對市場流動性具正向的影響。因此，強化公司治理機制將可有效降低公司資訊不對稱的程度，同時提高市場流動性。此外，本研究使用三階段最小平方法檢測後發現，市場流動性亦會影響公司治理變數，二者之間存在內生關係。

關鍵字

公司治理；市場微結構；市場流動性；資訊不對稱；買賣價差

並列摘要

This study integrates the viewpoint of corporate governance and market microstructure to examine the relationship between corporate governance mechanisms and market liquidity. We probe the impact of deviation between ultimate control and ownership, management ownership, board structure, blockholder ownership, institutional ownership and family ownership on market liquidity. The empirical results indicate that firms with greater deviation between ultimate control and ownership, management ownership, controlling director seats, blockholder ownership, institutional ownership and family ownership are positively related with bid-ask spreads and negatively related with market liquidity. While firms with greater outside director seats and foreign institutional shareholdings are negatively associated with bid-ask spreads and positively associated with market liquidity. Therefore, enforcing corporate governance may reduce firm's information asymmetry and, meanwhile, improves its market liquidity. Furthermore, we employ three-stage least squares to examine the endogenous relationship between corporate governance mechanisms and market liquidity. The empirical results indicate market liquidity will also influence corporate governance variables.

並列關鍵字

Corporate Governance ； Market Microstructure ； Market Liquidity ； Information Asymmetry ； Bid-ask Spread

參考文獻

高蘭芬、陳振遠、李焮慈(2006)。資訊透明度及席次控制權與現金流量權偏離對公司績效之影響─以臺灣電子業為例。臺灣管理學刊。6(2)，81-104。

陳瑞斌、許崇源(2007)。公司治理結構與資訊揭露之關聯性研究。交大管理學報。27(2)，55-109。

黃雅瑋、賴靜惠、陳育成(2006)。盈餘宣告對價量、買賣價差之影響。證券市場發展季刊。18(4)，1-32。

Attig, N., Y. Gadhoum and L. H. P. Lang (2003), “Bid-Ask Spread, Asymmetric Information and Ultimate Ownership,” Working Paper, European Financial Management Association