流動性高的市場，資訊教多的交易者會透過私有訊息以獲取交易利得。董監事為公司營運的控制者，擁有較多的公司內部訊息，對股票市場績效影響頗鉅。本文擬建立股票流動性、股東監督與公司價值關係之方程組模型，以1994年8月至2010年10月台灣上市公司為研究對象進行實證觀察。研究結果顯示，流動性與股票報酬呈現顯著負相關，表示投資者對於流動性較低的股票會要求較高的報酬。而董監持股比例與報酬呈現顯著正相關，顯示當董監事（股東）對公司的監督愈嚴格，其公司價值愈高。因此，本文建議投資人宜多持有流動性較低、監督機制較強的公司股票，以提高其股票投資報酬。

In liquid markets, information traders can use private messages to obtain trading profits. The supervisors are the controller of the company operation. If they withhold a lot of shares, they will have a considerable influence on the marker performance. According to Maug(1998) research, the empirical model will be used to verify the Taiwan market. The study method adopts 2SLS to estimate a two-equation structural model. This model is applied to the data of the Taiwan stock market from 1994 to 2010. The following results were obtained: First, bid-ask spread associate negatively with return. Second, supervisor shares associate positively with return.