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| 研究生： |
孫忠佑 Sun, Jhong-You |
|---|---|
| 論文名稱： |
外資持股對台股報酬率波動的影響 The Impact of Foreign Ownership on Return Volatility of Taiwan Stock Market |
| 指導教授： |
林軒竹
Lin, Hsuan-Chu |
| 學位類別： |
碩士 Master |
| 系所名稱： |
管理學院 - 財務金融研究所 Graduate Institute of Finance |
| 論文出版年： | 2019 |
| 畢業學年度： | 107 |
| 語文別： | 英文 |
| 論文頁數： | 28 |
| 中文關鍵詞： | 外資持股 、股票報酬率波動度 、台灣股票市場 |
| 外文關鍵詞： | Foreign Ownership, Stock Return Volatility, Taiwan Stock Market |
| 相關次數： | 點閱：160 下載：3 |
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本篇論文目的為根據2009年至2017年間台灣股票市場的618間公司，檢驗外資持股程度對股票報酬率波動度的影響。實證結果顯示即便在控制公司的股權結構、規模、股票周轉率以及資產負債比等因素後，外資持股增加仍然會提高台灣股票報酬率的波動度。此外，實證結果亦顯示規模較大或是股票周轉率及資產負債比較低的公司，其股票報酬率的波動度也較低，表示公司的風險較小。本篇論文主要的貢獻在於，不論是政策制定者、監管機關或是市場參與者，在追求外資所帶給市場的資金動能之餘，應更加注意其可能造成的波動，藉以穩定台灣股票市場的運行。
The purpose of this paper is to examine the impact of foreign ownership on stock return volatility in Taiwan stock market, based on the study sample of 618 companies between 2009 and 2017. The empirical results of this paper show that share ownership of foreign investors increase the stock return volatility in Taiwan stock market, even after controlling for a complete ownership structure, company size, turnover and leverage. In addition, the results also indicate that those companies with larger size or lower turnover rate and leverage can reduce their stock return volatility, which means they have lower risk of stock return. The main contribution of this paper is to tell that no matter the policy-makers, regulators or market participants should not only chase the momentum foreign investment brings to the market, but also put more attention on the foreign shareholders and monitor them closely to enhance the stability of Taiwan stock market.
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校內：2022-06-30公開校外：不公開