台灣F股股票報酬率影響因素之實證研究

An Empirical Investigation on the Determinants of Foreign Stock Returns in Taiwan

歐家銘(Chia-Ming Ou)

指導教授 ： 謝德宗

國立臺灣大學/社會科學院/經濟學研究所/碩士(2014年)

https://doi.org/10.6342/NTU.2014.00148

摘要

1980年代以來因勞動與土地成本不斷上漲，台商為維持本身的競爭力逐漸轉往生產成本相對低廉的國家設廠，選擇地點以中國大陸以及東南亞國家為主。赴海外投資設廠的台資企業因為資金需求或拓展市場的考量，而在當地掛牌上市的情形屢見不鮮，目前台商於海外上市的地點主要集中於香港、新加坡、泰國、中國大陸與越南。

因近年來台商紛紛赴海外鄰近市場上市，2002年開始，新增上市公司家數逐年遞減，且減少幅度驚人，此現象不僅反映台灣資本市場的國際競爭力逐漸喪失，也將造成台灣的證交稅收短少和匯回股利減少。是以政府於2008年通過«推動海外企業來台掛牌一二三企劃»以及相關放寬上市限制，就是要鼓勵目前在海外投資的台商回台上市，以活絡台灣證券市場，提高台灣在國際資本市場競爭力和促進台灣經濟成長。目前F股上市家數逐年增加，在總市值、成交金額、成交量、成交筆數等數據上表現亮眼，且持續成長中。

本研究運用台灣證交所2012-2013年計8季共9家F股企業的個股報酬率資料，並以資本額大小做區分後，使用橫斷面時間序列分析法模型(Panel Data Model)進行實證研究，探討台股指數、美國道瓊指數、外資持有比率、成交量周轉率、營收成長率以及大股東持有比率對F股股價報酬率的影響。實證結果如下:

一、資本額小:道瓊指數報酬率、成交量周轉率以及大股東持有比率對其股價報酬率有正向影響，且在統計上顯著。
二、資本額大:外資持有比率、成交量周轉率和營收成長率其股價報酬率有正向影響，且在統計上顯著。

關鍵字

第一上市 ； 橫斷面時間序列分析法模型 ； 外資持有比率 ； 周轉率 ； 營收成長率 ； 大股東持有比率

並列摘要

The continued rising labor and land costs in the 1980s have forced Taiwanese companies to look for cheaper manufacturing base overseas to maintain their competitiveness among other foreign competitors. The ideal location for them was Mainland China and Southeastern Asian Nations. Since companies were engaged in lots of business activities, it is likely that they would tap into local capital market and choose to go public abroad in order to raise money, or gain name recognition. Hong Kong, Singapore, Thailand, Mainland China and Vietnam are currently the most common destination for overseas listing.

The phenomenon takes a toll on Taiwan capital market, since 2002 the number of newly public listings has been on a dramatic decline. To solve this problem and encourage more foreign issuers apply for primary stock listing in Taiwan, the administration has passed few bills since 2008. At present, there are 38 foreign companies take the advantage and go public. Their shares are not only frequently being traded, but in a pretty huge volume.

The research chooses 9 out of these 38 companies, separated into two groups by amount of paid-up capital, and collects a time span of two years trading-related data from TWSE. Since the data is cross-section and time-series, which is called panel data, it is appropriate and legit for us to use panel data model to analyze. The research incudes six variables, which are TAIEX, Dow Jones Industrial Average Index, foreign shareholding ratio, turnover rate, revenue growth rate and blockholder shareholding ratio, to determine whether they can influence the performance of stock returns. The results are shown below:

1. Smaller company: Three variables, Dow Jones Industrial Average Index, turnover rate and blockholder shareholding ratio have a statistical significant positive effect on the stock returns.
2. Larger company: Three variables, foreign shareholding ratio, turnover rate and revenue growth rate have a statistical significant positive effect on the stock returns.

並列關鍵字

Primary Stock Listing ； Panel Data Model Analysis ； Foreign Shareholding Ratio ； Turnover Rate ； Revenue Growth Rate ； Blockholder Shareholding Ratio

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