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題名：公司治理與市場微結構
作者：張眾卓 引用關係
作者(外文)：Chong-Chuo Chang
校院名稱：國立中正大學
系所名稱：財務金融所
指導教授：王元章
陳振遠
學位類別：博士
出版日期：2008
主題關鍵詞：公司治理；市場微結構；市場流動性；市場波動性；買賣單不平衡；資訊不對稱；Corporate Governance；Market Microstructure；Market Liquidity；Market Volatility；Order Imbalance；Information Asymmetry
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本研究旨在探討公司治理與市場微結構之關聯性。公司治理機制包括控制權與現金流量權偏離程度、管理當局持股、董事會組成、董事長兼任總經理、大股東持股、機構投資者持股以及家族型態。實證結果中，本研究發現「資訊揭露評鑑系統」公布之資訊揭露評鑑成績，對市場流動性、市場波動性與買賣單不平衡皆具有顯著的影響，當資訊透明度愈高時，資訊不對稱的程度愈低，將致使市場流動性愈佳、市場波動性愈低與買賣單不平衝程度愈低。
其次，股份控制權與現金流量權偏離程度、管理當局持股比率、控制股東董監事席次比率、大股東持股比率、國內機構法人持股比率、家族企業持股比率以及家族控制席次比率等變數，皆對價差具有正向的影響，對市場流動性具負向的衝擊。再者，外部董監事席次比率與外資法人持股比率，則對價差具有負向的影響，對市場流動性具正向的衝擊。因此，強化公司治理機制將可有效降低公司資訊不對稱的程度，同時提高市場流動性。此外，本研究使用三階段最小平方法檢測後發現，市場流動性亦會影響公司治理變數，二者之間存在內生關係。
再者，股份控制權與現金流量權偏離程度、管理當局持股比率、外部董監事席次比率、大股東持股比率以及國內機構法人持股比率，皆對市場波動性具有正向的影響；控制股東董監事席次比率、家族企業持股比率以及家族控制席次比率，則對市場波動性具有負向的影響。因此，強化公司治理機制將可有效降低公司資訊不對稱的程度，同時縮小市場波動性。此外，本研究使用三階段最小平方法檢測後發現，市場波動性亦會影響公司治理變數，二者之間存在內生關係。
最後，席次控制權與現金流量權偏離程度、控制股東董監事席次比率、家族企業持股比率以及家族控制席次比率，對買賣單不平衡程度具有正向的影響；外部董監事席次比率與國內機構法人持股比率，則對買賣單不平衡程度具有負向的影響。因此，強化公司治理機制將可有效降低公司資訊不對稱的程度，同時減輕買賣單不平衡程度。此外，本研究使用三階段最小平方法檢測後發現，買賣單不平衡程度亦會影響公司治理變數，二者之間存在內生關係。
This study attempts to explore the relationship between corporate governance and market microstructure. The governance mechanisms used in this study include deviation between ultimate control and ownership, management ownership, board structure, CEO duality, blockholder ownership, institutional ownership and family ownership. The empirical results show that the score of the information disclosure and evaluation system has positive influence on market liquidity, while it has negative impact on market volatility and the degree of order imbalance.
In addition, the empirical results demonstrate that firms with greater deviation between voting rights and cash-flow rights, management ownership, controlling director seats, blockholder ownership, domestic institutional ownership or family ownership are positively related with bid-ask spreads and negatively related with market liquidity. While firms with greater outside director seats or foreign institutional ownership are negatively associated with bid-ask spreads and positively associated with market liquidity. Therefore, enforcing corporate governance may reduce firm’s information asymmetry and, meanwhile, improves its market liquidity. Furthermore, we employ three-stage least squares to examine the endogenous relationship between corporate governance mechanisms and market liquidity. The empirical results indicate that the market liquidity will also influence corporate governance variables.
Moreover, the empirical results document that firms with greater deviation between voting rights and cash-flow rights, management ownership, outside director seats, blockholder ownership or institutional ownership are positively related with volatility. Firms with greater controlling director seats or family ownership are negatively associated with market volatility. Hence, enforcing corporate governance may reduce firm’s information asymmetry and, meanwhile, decrease its market volatility. Again, we employ three-stage least squares to examine the endogenous relationship between corporate governance mechanisms market volatility. The empirical results show that market volatility will also influence corporate governance variables.
Finally, the empirical findings present that firms with greater deviation between board seat-control and cash-flow rights, controlling director seats or family ownership are positively related with the degree of order imbalance. While firms with greater outside director seats or domestic institutional ownership are negatively associated with the degree of order imbalance. Consequently, enforcing corporate governance may reduce firm’s information asymmetry and, meanwhile, mitigate the degree of order imbalance. Again, we employ three-stage least squares to examine the endogenous relationship between corporate governance mechanisms and order imbalance. The empirical results indicate that the degree of order imbalance will also influence corporate governance variables.
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