本研究採用2010-2018年間台灣上市及上櫃公司作為研究樣本，欲探討商業銀行持股與擔任董監事之行為和被投資企業股票報酬之間的關聯性，並進一步以商業銀行的持股率與投資報酬率之間的線性與非線性關係來判斷是否存在最適持股比率。研究結果顯示，具有商業銀行持股或擔任董監事的企業，其股票會產生較大的報酬率。此外，儘管顯著水準不足，但若該商業銀行是隸屬於台灣地區16家金融控股公司旗下之子企業，其對股票報酬帶來的正面影響可能更大。本文認為此乃因為這類商業銀行可以藉由母公司的資源整合和資訊蒐集等能力來降低與被投資企業之間的資訊不對稱程度，並對社會傳達出該被投資企業體質健全之認證訊號，進而吸引投資者跟隨銀行腳步進行投資，使股價順勢上漲所形成。又進一步觀察商業銀行持股比率與企業股票報酬之關聯，實證結果顯示兩者之間存在單一正向線性關聯，而其先上升、後減少的非線性關係則不顯著。故本文結合台灣現行相關法令後推論，在商業銀行持股比率低於被投資企業實收資本總額或已發行股份總數5%以下之水準時，商業銀行持股以及進入企業擔任董監事之行為能為企業的股票帶來較多報酬，而當銀行持股越多時，報酬上升的幅度亦將隨之增加。

This paper analyzes a sample of Taiwan listed and over-the-counter companies from 2010 to 2018 to examine the impact of commercial banks who hold firm’s shares and act as directors or supervisors on stock returns. Also, we use the linear and nonlinear relationship between shareholding ratio and stock return to determine whether an optimal shareholding ratio exists. The results show that companies invested by commercial banks will receive higher stock returns. Moreover, the positive impact on stock returns will be more significant if the commercial bank is a subsidiary of Taiwan Financial Holdings because it can reduce the information asymmetry between creditors and shareholders by taking advantage of parent company’s resource integration and information collection capabilities, and convey a good signal about the invested firm to society to attract investors buying stocks. On the other hand, the empirical results show that there is only a single positive linear correlation between shareholding ratio and stock return, and the nonlinear relationship doesn’t exist. Therefore, combining our empirical results with Taiwan’s current laws, we can infer that when a commercial bank’s shareholding ratio is less than 5% of the total issued shares of the invested firm, acting as a shareholder, director, or supervisor of invested firm can bring more stock return. The more shares the commercial banks hold, the greater the increase in stock returns, but we do not know what the most appropriate shareholding ratio should be.

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