公司治理機制與股價非同步性

Corporate Governance Mechanism and Stock Price Non-synchronicity

羅盈潔(Ying-Chieh Lo)

指導教授 ： 李家豪

國立臺中科技大學/商學院/財務金融研究所碩士班/碩士(2017年)

摘要

本篇研究以2007年1月至2016年8月台灣經濟新報資料庫中定義之台灣100指數成分股為樣本，藉由公司治理機制下的股權結構、董事會組成與股權分離探討與股價非同步性關係。首先以最小平方法進行迴歸分析，因實證結結果存在多元共線性問題，故本文提出以主成分分析合成新變項並給予權重，接著本研究將合成的新變項重新命名後再次進行迴歸分析。實證結果顯示股權結構中的董監事持股比例、大股東持股比例、最終控制者持股比例與經理人持股比例皆與股價非同步性呈現正相關，表示當管理者持股比例愈高時股價所隱含的真實訊息愈多，愈能降低代理問題，然而，董事會組成的相關變數與股權結構相反大多呈現負相關，結果表明變數會使得公司股價報酬與市場報酬相關性高，股價中所包含之公司訊息量少，存在優勢者侵占公司財富之問題。最後，股權分離變數之實證結果為正相關，指出現金流量請求權與投票權之偏離比愈大，則最終控制者的利益與公司利益趨近一致。

關鍵字：公司治理，股價同步性，主成分分析。

關鍵字

公司治理 ； 股價同步性 ； 主成分分析

並列摘要

In this study, the Taiwan 100 Index constituent stocks defined in the Taiwan Economic Journal database from January 2007 to August 2016 were sampled. The shareholding structure, the composition of the board of directors and the separation of the shares have discussed the relationship with the stock price non-synchronicity. In this paper, the new variables are synthesized and the weights are given by principal component analysis. Then, the new variables are renamed and the regression analysis is carried out again. The regression analysis is carried out. The empirical results show that the proportion of directors and supervisors in the ownership structure, the proportion of the majority shareholder's shareholding, the proportion of the final controller's shareholding and the manager's shareholding ratio are positively related to the non-synchronization of the stock price. Means that when managers stake, the higher the share price implied by the more true message, the more can reduce the agency problems. However, the relevant variables formed by the board of directors are negatively correlated with the ownership structure, and the results show that the variables will make the stock price reward and market compensation highly relevant. The stock price in the stock price that the company contains a small amount of information, there are advantages of the company occupied the wealth of the problem. Finally, the empirical results of the share separation variable are the positive correlation, and the greater the deviation of the cash flow claim right and the voting right is, the ultimate controller's interests are in line with the company's interests.

Key Words：Corporate Governance, Stock Price Synchronicity, Principal Component Analysis.

並列關鍵字

Corporate Governance ； Stock Price Synchronicity ； Principal Component Analysis.

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