疫情、市場情緒、公司治理與股價波動度

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王志維(Zhi-Wei Wang) 查詢紙本館藏

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產業經濟研究所

論文名稱

疫情、市場情緒、公司治理與股價波動度

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摘要(中)

本文採用台灣上市櫃公司之數據資料，研究公司治理與市場情緒在
COVID19 期間對股價波動之影響，文中使用 Component GARCH 模型將股價標準差(股價總波動度)拆解成 Permanent component (股價長期波動度)與 Transitory component (股價短期波動度)，以分析股價波動之長短期效果。在市場情緒之部分，將模型分為券資比餘額(作為散戶市場情緒之代理變數)與三大法人買賣超(作為法人市場情緒之代理變數)兩種類型。實證結果發現，COVID19 虛擬變數對股價波動有顯著正向影響，表示台灣在 COVID19 疫情影響期間，股價波動確實比以往有更大的劇烈變動。在股權結構方面，機構持股之交乘項對股價波動有顯著負向影響，表示機構持股比率越高之公司，在疫情期間股價波動會相對更穩健。在董事會結構方面，家族董事席次比率之交乘項對股價波動之影響皆有顯著正向影響，表示家族董事席次比率越高之公司，在疫情期間股價波動會相對更不穩定。關於員工流動率之交乘項對股價波動有顯著負向影響，代表員工流動率越高之公司，在疫情期間股價波動反而會相對更穩定。在市場情緒方面，券資比餘額與自
營商買賣超之交乘項皆對股價波動有顯著正向影響，表示疫情導致市場情緒變大時，股價之波動性也會相應增加。外資買賣超之交乘項對股價波動有顯著負向影響，推測原因可能為美國聯準會( Fed )升息影響導致外資大量撤離(外資賣超)因而降低了市場投資熱度，導致股價波動趨於穩定。
另外，有關股價波動之長短期分析，研究結果發現公司治理表現對股價標準
差(股價總波動度)與 Permanent component (股價長期波動度)具有影響力，然而對於 Transitory component (股價短期波動度)幾乎不具有影響力。在市場情緒方面對於三種股價波動度(股價總波動度、長期波動度、短期波動度)皆具有影響力。

摘要(英)

This study utilizes data from companies in Taiwan to investigate the impact of corporate governance and market sentiment on stock price volatility during the COVID19. The study employs the Component GARCH model to decompose stock price standard deviation (total volatility) into the Permanent component (long-term volatility) and the Transitory component (short-term volatility) to analyze the short-term and longterm effects on stock price volatility. In terms of market sentiment, the model is divided into two types: margin balance ratio and three institutional investors. The empirical results reveal that the COVID-19 variable has a significant positive impact on stock price volatility, indicating that stock prices experienced greater volatility during the COVID-19 pandemic compared to previous periods. Regarding ownership structure, the interaction term of institutional shareholding has a significant negative effect on stock price volatility. In terms of board structure, the interaction term of the ratio of family directors have a significant positive impact on stock price volatility. The interaction term of employee turnover rate has a significant negative impact on stock price volatility. In terms of market sentiment, both the interaction terms of margin balance ratio and dealer have a significant positive impact on stock price volatility.However, the interaction term of foreign investment has a significant negative impact
on stock price volatility.
Furthermore, in the analysis of the short-term and long-term components of stock price volatility, the results suggest that corporate governance performance influences stock price standard deviation and the Permanent component, but it has less influence on the Transitory component. In terms of market sentiment, it has an impact on all stock price volatility.

關鍵字(中)

★ 股價波動度
★ 公司治理
★ 市場情緒
★ Component GARCH 模型

關鍵字(英)

★ Stock price volatility
★ Corporate governance
★ Market sentiment
★ Component GARCH model

論文目次

摘要 …………………………………………………………………………………ⅰ
Abstract ……………………………………………………………………………ⅱ
誌謝 …………………………………………………………………………………ⅲ
目錄 …………………………………………………………………………………ⅳ
表目錄 ………………………………………………………………………………ⅵ
圖目錄 ………………………………………………………………………………ⅶ
第一章緒論…………………………………………………………………………1
1-1 研究背景與動機……………………………………………………………1
1-2 研究目的……………………………………………………………………4
1-3 研究架構……………………………………………………………………4
第二章文獻探討……………………………………………………………………6
2-1 COVID19 疫情對股價波動之關聯性……………………………………6
2-2 市場恐慌情緒對股價波動度之關聯性……………………………………7
2-3 公司治理表現對股價波動度之關聯性……………………………………8
第三章資料來源與模型設定………………………………………………………13
3-1 資料來源……………………………………………………………………13
3-2 變數說明……………………………………………………………………15
3-2-1 股價波動度( Stock volatility ) ……………………………………… 15
3-2-2 公司治理變數( Governance ) ……………………………………… 17
3-2-3 市場情緒變數…………………………………………………………20
3-2-4 COVID19 相關變數 …………………………………………………21
3-2-5 控制變數( Control ) ………………………………………………… 22
3-3 模型設定……………………………………………………………………26
第四章實證結果與分析……………………………………………………………30
4-1 敘述統計表………………………………………………………………30
4-2 Pearson 相關係數分析……………………………………………………30
4-3 實證結果分析……………………………………………………………34
4-3-1 COVID19 實證結果分析 …………………………………………34
4-3-2 三級警戒( Level 3 alert )實證結果分析 …………………………40
4-3-3 COVID19 病例確診數( Confirmed case )實證結果分析…………40
4-3-4 COVID19 病例死亡數( Death case )實證結果分析………………40
第五章結論 ………………………………………………………………………47
參考文獻……………………………………………………………………………49

參考文獻

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指導教授

蔡明宏蔡栢昇(Ming-Hong Cai Bo-Sheng Cai)

審核日期

2023-8-1

推文