影響股價報酬波動性及相關因素之研究

The Study of Stock Return Volatility and Related Factors

林皇君(Huang-Chun Lin)

指導教授 ： 林慧葉

國立虎尾科技大學/管理學院/經營管理研究所/碩士(2011年)

摘要

近年來受到金融海嘯影響，國內外大型公司與投資銀行皆爆發財務危機，讓投資人損失慘重。為了保護投資人權益，政府單位委託證基會公佈參與評鑑系統公司的揭露等級，評鑑等級愈高代表公司資訊愈透明，降低資訊不對稱，進而降低投資風險。在2008年股市受到金融海嘯沖擊後，股市波動加劇，投資人往往會採取較穩健的投資策略，選取股價報酬波動較低的投資組合，以降低投資風險。

　　因此，本研究要探討的議題為影響股價報酬波動性的相關因素，研究結果發現，有六項因素和股價報酬波動性有關。資訊透明度愈高，股價報酬波動性愈小；大規模公司的股價報酬波動相對於小公司穩健；負債比率成長愈高，將提升股價報酬波動性;股東權益報酬率愈好，公司績效佳，股價報酬波動性愈小；系統風險β值和成交量波動率愈大，都會拉高股價報酬波動性。本研究結果可以提供政府部門推動提升資訊透明度和及相關企業經營決策之參考，同時也可作為投資人投資策略之參考依據。

關鍵字

股價報酬波動性 ； 資訊透明度 ； 資訊揭露評鑑系統

並列摘要

In recent years, influenced by the financial crisis, most of all large domestic and overseas companies and the investment banks underwent financial distress. Inevitably, that made investors suffered huge losses. In order to protect the rights and interests of investors, Securities & Futures Institute (SFI) is commissioned by the government to publicly announce the exposed level of companies involved in the evaluation system. The higher level of accreditation means more transparent information of the company, and inventors could reduce the information asymmetry and reduce the risk of investment. In 2008, after affecting by the financial crisis, the stock market volatized severely. During the touch time, the investors tended to adopt the more prudent investment strategy and select the portfolio with lower volatility in order to reduce investment risk.
Therefore, this study aims to discuss the relevant factors of the volatility of stock prices return. Through empirical analysis, the research results demonstrate that there are six factors highly associated with the volatility of stock prices. The higher information transparency brings up the smaller volatility of stock price return; the stock price return volatilities of large companies are more stable than those of small companies; the higher debt ratio growth enhance volatility of stock price return; the better return on equity and performance of a company, the smaller volatility of stock price return; a larger volatility of the systematic risk and volume leads to a larger volatility of stock price return.
　　Therefore, revealing the correlations of the six factors in the stock market is the major contribution of this study. Through the results of this study, the government departments and the corporations could make the promotion of information transparency and the management decisions, respectively. In addition, this study could be referred by the inventors to setup their investment strategy as well.

並列關鍵字

Volatility of stock prices return ； Information transparency ； Information Transparency Disclosure Ranking System (ITDRS)

參考文獻

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