本文探討機構投資人持股行為對股價崩盤風險的影響。本研究相關資料來源取自台灣經濟新報資料庫(TEJ),取用台灣證券市場中上市(櫃)公司,資料期間為2015年至2019年作為研究對象,實證結果發現在控制其他影響因素後,前一期的外資持股變動率和投信持股變動率對股價崩盤風險具有顯著負向影響,而機構投資人持股穩定性對於股價崩盤風險則無明顯影響,此代表外資和投信持股變動程度應可作為預測股價崩盤的衡量指標。此外,本文亦利用融資約束進行分組,實證結果發現融資約束程度較大的公司,其自營商持股越多將致使股價崩盤風險越大,但不論是何種程度的融資約束,機構投資人的持股穩定性對股價崩盤風險皆未有顯著影響。
This paper discusses the impact of institutional investor shareholding behaviors on the crash risk of stock price. The empirical results show that the rate of change of foreign investors in the previous period and the rate of change of securities investment trust shareholdings has a significant negative effect on the crash risk of stock price. This implies that the more foreign investors and investment letter holdings, the lower the risk of stock price collapse. In addition, in companies with greater degree of financing constraints, the more dealer shareholdings would result to greater the crash risk of stock price. However, the stability of institutional investor shareholdings in different degrees of financing constraints on the crash risk of stock price has no significant impact.