臺灣博碩士論文加值系統

過去研究鮮少關於國內、外機構投資人所有權對股價同步性之影響，基於與代理問題攸關的外部監督假說，本研究針對2004 年至2020年台灣上市櫃公司進行國內、外機構投資人所有權與股價同步性之實證分析。研究結果顯示國外機構投資人所有權對股價同步性之負向影響較國內機構投資人所有權之負向影響更大，特別是在具有高代理問題公司中更為明顯。此結果支持外部監督假設：國外機構投資人持股愈高公司，能確實發揮監督效果，提升公司治理結構與資訊透明度，進而降低股價同步性。 此外，其他延伸研究結果顯示，在具有四大會計師事務所、較多分析師追蹤與較多媒體關注的公司中，國外機構投資人所有權對股價同步性之負向關係則更為明顯。意即國外機構投資與其他外部監督管道具有監管機制之互補效果，有助於減少股價同步性。 因此，本研究填補了在國內、外機構投資人所有權對股價同步性所缺乏之相關研究。

There is limited research on the impact of foreign versus domestic institutional ownership on stock price synchronicity. Drawing upon the agency-linked external monitoring theory, this study examines a dataset of Taiwanese firms from 2004 to 2020. The findings demonstrate that foreign institutional ownership exerts a more negative influence on stock price synchronicity than domestic institutional ownership, especially in firms with high level of agency problems. These results support the hypothesis that foreign institutional investors effectively capture firm-specific information flows through external monitoring, and hence reduce the synchronicity of stock prices. Furthermore, the additional findings suggest that foreign institutional ownership’s greater negative impact on synchronicity is more pronounced in firms with Big 4 auditors, extensive analyst coverage, and high media attention. This implies that foreign institutional entities serve as supplementary supervisory mechanisms in conjunction with other external monitors, contributing to mitigating stock price synchronicity. Consequently, this study resolves the ongoing debate regarding whether foreign or domestic institutional investors play a more significant role in gathering and processing firm-specific information.

中文摘要 i
ABSTRACT ii
誌謝 iii
Table of Contents iv
List of Tables v
1. Introduction 1
2. Literature Review ....................................................................................................... 8
3. Sample and Descriptive Statistics ........................................................................... 14
3.1 Sample Construction ............................................................................................ 14
3.2 Variable Definitions ............................................................................................. 14
3.3 Descriptive Statistics ............................................................................................ 19
4. Main Results: Foreign versus Local Institutional Ownership and Stock Price Synchronicity ........................................................................................................... 22
4.1 Regression Analysis ............................................................................................. 22
4.2 Robustness Checks ............................................................................................... 26
4.3 Considering Various Agency Problem Effect ....................................................... 31
4.4. Considering Various Alternative External Monitor Effect ................................. 34
5. Conclusions ............................................................................................................... 39
References ...................................................................................................................... 42

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