傳統上，由於受到組織及技術的限制，資訊科技(Information Technology)的應用只局限在單一組織之內。然而，隨著科技、經濟、組織及策略等因素的改變，這種情況已經改觀。 　　在國外有許多成功的個案將資訊科技視為策略性武器，並運用在產業競爭上。也有學者探討電子市場系統（Electronic Marketplaces or Electronic Market System），認為資訊科技也可以充當買賣交易過程中的中介系統(intermediary system)，提供買賣雙方交換價格和產品資訊，降低買方尋找成本，創造經濟價值。 　　本研究主要目的在探討台灣證券市場跨組織資訊系統(Interorganizational System；IOS)之演進、系統的促成與限制因素、系統的網路架構。涵蓋範圍及與業務之間的關聯性、以及系統對台灣證券市場之影響。研究結果發現，有十項因素促成台灣證券市場IOS成長：(1).組織變革；(2).技術能力；(3).成功經驗；(4).不斷創新；(5).經濟效益；(6).跨組織效率；(7).競爭優勢；(8).市場安全；(9).作業流程標準化；(10).政府參與。另外有二項因素限制IOS的成長:(1).系統整合；(2).電腦相關成本。IOS對台灣證券市場的影響可以從四個構面分析：(1).國家經濟；(2).產業；(3).組織；(4).投資人。本研究最後建議台灣證券市場應去除限制IOS成長的因素，並朝三個方向努力：(1).進行產業合作，建立資訊聯盟(Information Alliance)；(2).擴充系統網路範圍，加強規模經濟、範疇經濟（Economies of Scale and Scope）及網路外部性(Network Externalities)；(3).建立證券、金融業EDI，達到無紙化作業。

本研究主要目在於針對教師組織公民行為構念的界定作進一步的釐清並結合社會交換理論、人格理論、工作內在動機、印象管理動機、以及組織文化等觀點，提出以校長與教師交換關係、教師自我監控與工作投入為個人層次預測變項，個人/集體主義為團體層次預測變項之教師組織公民行為前置因素之跨層次模式，再透過階層線性模式方法分析以探討這些前置變項對教師組織公民行為之影響以及他們之間的關係。研究採用調查研究法，以台北市37所公立國民中學教師為對象，發出925 份問卷，最後回收736份有效問卷，有效問卷回收率則為79.57％。本研究主要研究發現為: (一)教師組織公民行為應視為一個聚合模式多層面構念；(二)教師工作投入為相對最重要教師組織公民行為前置因素；(三)人格特質對教師組織公民行為的影響主要是間接透過工作投入的中介效果；(四)不同類型組織公民行為的前置因素以及效果互有差異。 / The main purpose of current study was to revisit the construct validity issues of organisational citizenship behavior and to investigate the dynamics of teachers’ organizational citizenship behavior antecedents. Based on theories of social exchange, personality, job intrinsic motivation, impression management and organizational culture, a multi-level model of teahers’ organizational citizenship behavior antecedents was proposed where leader-member exchange, self-monitering and job involvement serve as individual level antecedents, individualistic/collectivism as school level antecedent and teachers’ organizational behavior as outcome variable at individual level. Valid data was collected from 34 public junior higher schools and 736 teachers in Taipei city. The main findings can be summarised as follows: (1) teacher organizational citizenship behavior should be treated as a aggregated model multidimensional construct; (2) Relatively teachers’ job involvement is the strongest antecedent for three dimensions of OCB; (3) the effect of teachers’ conscientiousness on OCB is mediated by teachers’ job involvement; (4) the antecedents included in current study have varied significant or insignificant effects on three dimensions of teachers’ OCB.

旅遊業為我國未來產業發展的重點之一，再加上團體套裝旅遊一直是亞洲國家中最普遍及最受觀迎的旅遊型態之一，我國2009年的團體套裝旅遊比例即佔了35.6%。其中，領隊人員可以說是團體套裝旅遊的重要元素，不僅影響著該次旅遊品質的好壞，領隊也可藉由專業的服務取得旅客的信任，而獲得後續帶團的機會；是以，由於我國過去旅行社設立門檻不高，加上領隊掌握一定旅客數，不少領隊帶槍投靠或自立門戶，造成旅行業良莠不齊、競爭激烈。 因此，本研究欲探討現行旅行社對於領隊的管理模式，運用交易成本理論及4C交換成本理論架構，剖析旅行社、領隊與團體旅遊消費者間三方交換之關係，並對於旅行社提出適當的領隊管理建議，期盼能對於旅行產業的市場紊亂情形有所助益。而由於本研究議題過去缺乏學術研究成果且未被有系統的討論，故採用質性研究及深度訪談做為本論文的研究方法。 研究結果得知，透過訪談資料的整理與分析，歸納出兩種現行的領隊管理模式。管理模式1：旅行社著重於處理與消費者間的4C關係，並設法阻礙領隊與消費者間4C關係的建立，使消費者購買團體旅遊產品是出自於旅行社本身，而非領隊；管理模式2：旅行社與領隊共生共榮，在旅行社與消費者的交換關係方面，旅行社著重於產品的外顯單位效益成本；而在旅行社與領隊的交換關係方面，旅行社運用4C的處理得宜，維繫優秀的領隊，鞏固銷售。 本研究以4C交換成本理論，歸納出兩種領隊管理模式，建議後續研究者可針對旅行社背景，探討何種領隊管理模式對其最有利；另外，針對國內網路時代的盛行，有業者引進國外居家旅遊商業模式H.B.T.A.(Home Based Travel Agents)，類似於本研究所提出的管理模式2，後續研究者也可針對此議題進行深入探討。 / Travel industry will be one of the most promising industries in Taiwan; in addition, Group Package Tour is one of the most popular traveling types in Asian countries. In 2009, the percent of Group Package Tour in Taiwan is highly 35.6%. Especially, Tour leader (or tour escort) is the critical element of Group Package Tour.He (or she) can not only influence on the quality of travel, but also can get customers’ trust and the chances of business by professional service. Therefore, because of the low entry barrier of Travel industry and tour leader holding up some customers, lots of tour leaders job-hop or build up their own business. It makes travel industry highly competitive. For this reason, this study wants to use the Transaction Cost Theory and 4C Exchange Cost Theory to discuss current tour leader’s management model, and analyze the exchange relationship among travel agent, tour leader and Group Package Tour customer. Finally, this study wants to propose management recommendations for travel agents. However, this topic was less discussed in the past, so that this study uses qualitative research and in-depth interview as the research method. According to the research result, this study generalizes two kinds of tour leader’s management model. Model 1: Travel agents focus on the 4C relationship with consumers, and manage to hinder the 4C relationship between tour leader and consumer; Model 2: Travel agents cooperate with tour leader. Between travel agent and consumer, travel agents focus on C1. Between travel agent and tour leader, travel agents focus on the 4C relationship for holding up excellent tour leaders. For future research, this study suggests to discuss what travel agent background can benefit from two kinds of tour leader’s management model, or discuss H.B.T.A. (Home Based Travel Agents) deeply.

隨著社群網路不斷快發展而使得上社群網站成為使用者每日生活的一部分，而社群商務也因此蓬勃發展。社群商務是社群網站使用者因社交活動而彼此交換分享產品或服務資訊的行為。根據Forrester Research在2011年的報告，預測至2015年時社群商務的產值將達300億美金。因此社群商務將隨社群網站不斷的發展，將越來越重要。 因此，本研究文獻回顧及焦點訪談藉由社群網站行為-參與及瀏覽二種行為、社會資本-結合型社會資本(親密朋友)及橋接型社會資本(普通朋友)來預測社群網站使用者採用社群商務-給予及接受二種意願。 本研究以社群網站臉書的使用者為研究對象，研究以紙本及線上二種方式來搜集使用者問卷。紙本問卷主要以北部某大學生為主要搜集對象，線上問卷則以在電腦教室的大學生、社群網站臉書的線上使用者及BBS-批踢踢實業坊的使用者同時也是社群網站臉書上的使用者為主。有效問卷970份。經由信度分析、效度分析及共同方法變異分析，確認本研究之信效度，並採用偏最小平方法(Partial Least Square,PLS)，來進行結構方程模式(Structural Equation Modeling, SEM)研究模型分析。 總體研究一開始先進行分析社群網站行為、線上社會資本及採用社群商務三者主構面皆為二階構面之間的關係。結果發現社群網站行為對線上社會資本及線上社會資本對採用社群商務三個主構面皆是顯著正向的關係。接著本研究模型整體分析社群網站行為-參與及瀏覽、線上社會資本-結合型(親密朋友)及橋接型(普通朋友)對使用者採用社群商務的意願-給予及接受皆有正向顯著的影響。因此本研究並繼續在就個別研究子構面進行探討。 參與行為和瀏覽行為皆對結合型(親密朋友)社會資本有顯著的正向影響，但瀏覽行為對於結合型(親密朋友)社會資本的正向影響程度大於參與行為對於結合型(親密朋友)社會資本的正向影響程度。參與行為和瀏覽行為皆對橋接型(普通朋友)社會資本有顯著的正向影響，但瀏覽行為對於橋接型(普通朋友)社會資本的正向影響程度大於參與行為對於橋接型(普通朋友)社會資本的正向影響程度。 參與行為對採用社群商務意願（給予）有顯著的正向影響，但瀏覽行為對採用社群商務意願（給予）沒有影響。參與行為和瀏覽行為皆對採用社群商務意願（接受）皆有顯著的正向影響，但參與行為與瀏覽行為二種行為對於採用社群商務意願（接受）沒有顯著的不同。 結合型(親密朋友)及橋接型(普通朋友)社會資本對採用社群商務意願（給予）皆有顯著的正向影響，且橋接型(普通朋友)社會資本對於採用社群商務意願（給予）的正向影響程度大於結合型(親密朋友)社會資本對於採用社群商務意願（給予）的正向影響程度。結合型(親密朋友)及橋接型(普通朋友)社會資本對採用社群商務意願（接受）皆有顯著的正向影響，但結合型(親密朋友)及橋接型(普通朋友)二種社會資本對於採用社群商務意願（接受）沒有顯著的不同。 綜上所述，總體而言，瀏覽行為對於社會資本優於參與行為對於社會資本的影響。參與行為對於採用社群商務意願優於瀏覽行為對於採用社群商務意願。橋接型(普通朋友)社會資本對於採用社群商務意願優於結合型(親密朋友)社會資本對於採用社群商務意願。 此外，在經由量化分析研究，本研究獲得全部研究假設分析的結果，接著本研究並採用事後質性分析(Post Hoc Qualitative Analysis)，利用半結構式深度訪談，對象包括大學部1-4年級的學生及上班族來做事後質性分析。事後質化分析的結果是將量化分析的所支持的假設加以驗証及探究更深一層的說明，並提供解釋量化分析所不支持假設的可能原因。 本研究理論貢獻在於採用社群網站行為-參與及瀏覽及線上社會資本-結合型(親密朋友)及橋接型(普通朋友)來預測採用社群商務-給予及接受之意願。較少研究採用社群網站行為及社會資料理論來解釋社群商務。管理意涵在於社群網站的營運者，應思考如何藉由社群網站來增加對使用者的〞黏性〞及提昇使用者瀏覽網站的流量，並依據使用者之前瀏覽的記錄，來推測並提供使用者所喜好的内容。更進一步來說，為增加使用者的參與行為可依照使用者彼此間的互動來分析使用者社群網站上的行為以推薦使用者加入其有興趣的粉絲團及社團，以增加親密朋友及普通朋友之使用者彼此的互動，同時增加線上結合型及橋接型社會資及使用者採用社群商務的意願。此外，本研究建議社群網站經營者應努力發展線上朋友介紹功能，並藉由大數據的資料分析擴大使用者的交友範圍。對於使用者線下的朋友，希望將其成為本身結合型(親密朋友)或橋接型(普通朋友)的社會資本。對於使用者線上不認識的朋友，希望能其成為橋接型(普通朋友)的社會資本，因為他們可能加入同一粉絲團或社團，以促進社群網站的使用者採用社群商務的意願。 / Following the fast growing of social network sites (SNS) such as Twitter, LinkedIn and Facebook in the cyber world recently, the social commerce has become an important emerging issue in these SNS. According to the Forrester Research (2011) predicted the total value of output for social commerce will reach US$30 billion in 2015. Because the development of social commerce will follow the continueous growing of SNS, the social commerce will play a pivotal role in the e-commerce. According to the literature review and focus group discussions, the study explored and applied SNS behavior including participating and browsing, social capital theory including bonding (close friends) and bridging (ordinary friends) to predict SNS users to adopt giving and receiving social commerce intention (SCI). The study applied an empirical research on SNS users i.e. FB users to be research target samples. The data collection were applied by paper_based and online_based as two way to collect sample data. With regard to sample data from paper_based survey, the study adopted undergraduate students of a university located in northen Taiwan was the research main collection samples for paper_based survey. As to online_based survey, the study utilized undergraduate students, who are the same as paper_ based survey in the same university with computer lab classes, FB users of researchers’ friends and Taiwan largest Bulletin Board System-PTT who are also FB users to collect online users’ data. The total valid samples are 970 from online_based and paper_based survey. After reliability analysis, validity analysis and common method variance testing, the study confirmed that reliability and validity of study samples met the requirement of each statistical testing and were qualified for testing the study whole research model. Then, the study adopted partial least square (PLS) to proceed with structural equation modeling (SEM) research model testing. As to whole model research testing, in the beginning the study was testing the relationship among SNS behavior, online social capital and SCI. The three constructs are second order constructs. The testing results show the effects of SNS behavior on online social capital and the effects of online social capital on SCI are significantly positive. Hence, the research continues to proceed with the research model testing. The research findings of whole research model testing have shown SNS behavior as a second order construct of participating and browsing, online social capital-bonding and bridging are both significantly positive influence to adopt social commerce intention as a second order construct as SCI (giving and receiving). Hence, the study will continue to explore the relationships between each sub-construct in the research. Participating and browsing behavior are both significantly positive on bonding social capital. Moreover, browsing behavior is more significantly positive associated with bonding social capital than participating behavior is associated with bonding social capital. Participating and browsing behavior are both significantly positive on bridging social capital. Browsing behavior is more significantly positive associated with bridging social capital than participating behavior is associated with bridging social capital. Participating behavior is significantly positive on adopting SCI (giving). However, browsing behioavr is no significant influence on adopting SCI (giving). Participaiting behavior and browsing behavior both have significantly positive influences on SCI (receiving). However, there are no significant differences between participating behavior and browsing behavior on adopting SCI (receiving). Bonding and bridging social capital are both significantly positive on SCI (giving). Moreover, bridging social capital is more significantly positive associated with SCI (giving) than bonding social capital is associated with SCI (giving). Bonding and bridging social capital are both significantly positive on SCI (receiving). However, there are no significant differences between bonding and bridging social capital on adopting SCI (receiving). To Sum up, generally speaking, browsing behavior is better on social capital than participating behavior is on social capital. Participating behavior is more suitable on adopting SCI than browsing behavior is on social capital. Bridging social capital is more appropriate on adopting SCI than bonding social capital is on adopting SCI. Besides, after quantitative data analysis, the study proceeds with the post hoc qualitative analysis. Utilizing semi-structured in-depth interviews with undergraduate students and working persons to continue post hoc qualitative analysis. The aim of post hoc qualitative analysis is to validitate and provide insight for the hypotheses which are supported by quantitative analysis. Moreover, it provides the explainations for the hypotheses which ae not supported by the quantitative analysis. The theory contributions of the study are applying SNS behavior including participating and browsing, social capital theory including bonding and bridging to predict SNS users to adopt SCI (giving and receiving). Seldom researches SNS behavior and social capital theory to explain social commerce individually. With regard to managerial implications are for SNS operators to think how to utilize SNS to increase users stickiness and raise users’ browsing quantities - following the users’ accumulated browsing behaivors history to predict and provide the contents which users may have interest. Moreover, regarding the interacting behavior for SNS users of participating behavior is to analyze the behaviors of SNS users and to recommend uers to join the fan pages or clubs that they may be interested in. Doing so is to increase the interactions with close friends and ordinary friends to enhance online bonding and bridging social capital and the users’ intentions to adopt SCI simotenously. In addition, the study recommends SNS operators to adopt friends introducing functions thoroughly and apply big data statistical analysis to enlarge the users’ friends rang to make more SNS friends. For the SNS offline friends, the study wish to let SNS users’ offline friends to become their online bonding or bridging social capital. For the SNS online unknown friends, the study wish to let SNS users’ online unkown friends to become their online bridging social capital because they may join the same fan pages or clubs to enlarge and accelerate SNS users to adopt SCI.

科学研究費補助金 研究種目:一般研究(B) 課題番号:06452428 研究代表者:松田 仁樹 研究期間:1994-1995年度

蒙地卡羅模擬是在組合信用風險的管理上相當實用的計算工具。衡量組合信用風險時，必須以適當的模型描述資產間的相依性。常態關聯結構是目前最廣為使用的模型，但實證研究認為 t 關聯結構更適合用於配適金融市場的資料。在本文中，我們採用 Bassamboo et al. (2008) 提出的極值相依模型建立 t 關聯結構用以捕捉資產之間的相關性。同時，為增進蒙地卡羅法之收斂速度，我們以 Chiang et al. (2007) 的重要性取樣法為基礎，將其拓展到極值相依模型下，並提出兩階段的重要性取樣技巧確保使用此方法估計一籃子信用違約時，所有模擬路徑均會發生信用事件。數值結果顯示，所提出的演算法皆達變異數縮減。而在模型自由度較低或是資產池較大的情況下，兩階段的重要性取樣法將會有更佳的估計效率。我們也以同樣的思路，提出用以估計投資組合損失機率的演算法。雖然所提出的演算法經過重要性取樣的技巧後仍無法使得欲估計的事件在所有模擬路徑下都會發生，但數值結果仍顯示所提出的方法估計效率遠遠優於傳統蒙地卡羅法。 / Monte Carlo simulation is a useful tool on portfolio credit risk management. When measuring portfolio credit risk, one should choose an appropriate model to characterize the dependence among all assets. Normal copula is the most widely used mechanism to capture this dependence structure, however, some emperical studies suggest that $t$-copula provides a better fit to market data than normal copula does. In this article, we use extremal depence model proposed by Bassamboo et al. (2008) to construct $t$-copula. We also extend the importance sampling (IS) procedure proposed by Chiang et al. (2007) to evaluate basket credit default swaps (BDS) with extremal dependence and introduce a two-step IS algorithm which ensures credit events always take place for every simulation path. Numerical results show that the proposed methods achieve variance reduction. If the model has lower degree of freedom, or the portfolio size is larger, the two-step IS method is more efficient. Following the same idea, we also propose algorithms to estimate the probability of portfolio losses. Althought the desired events may not occur for some simulations, even if the IS technique is applied, numerical results still show that the proposed method is much better than crude Monte Carlo.

次級房貸風暴使得包裝複雜的衍生性金融商品紛紛遭受波及後，目前結構型金融商品的條款設計將朝簡單化和透明化的趨勢發展，有助於全球金融市場的效率性、完整性與穩定性。本文從市場上選擇具代表性的利率結構型商品，應用模型來推導商品的價格，並深入分析商品的報酬與風險型態。 本文分析的個案商品為全球知名的匯豐銀行所發行之十年期「固定期限交換利率利差連動債券」，在評價上將採用LIBOR市場模型，利用市場上既有的資料求算出期初遠期利率，並校準模型所需的參數化波動度函數與相關係數函數，建立與市場一致的利率期間結構與利率波動度期間結構。模擬路徑時應用最小平方法蒙地卡羅來求得該商品發行之期初價格，此外，亦採用反向變異法加速收斂效果，並針對商品的條款設計作拆解與分析。最後，本文探討了發行機構發行商品之風險與避險策略，並且從投資人之報酬及風險層面作詳盡地剖析。

本研究探討歐洲已開發市場之主權信用違約交換與主權債券和無風險利率之債券信用價差之間的動態關係以及價格發現現象。此外亦分析可能影響歐洲已開發市場主權信用違約交換與債券信用價差變動之因子。 實證結果發現信用違約交換有較明顯之價格發現功能，且信用違約交換與債券信用價差間之基準差與信用風險呈現正向關係。而歐洲主權債券因其性質特殊，其使用德國政府公債作無風險利率反而較歐元交換利率為佳。此外我們發現利率變化與股市皆為影響歐洲主權信用價差之因子，而波動率之影響不明顯，原因也可能是歐洲主權債券過去低風險而成為資金避險標的之特殊性質。 / The thesis examines the dynamic relation between CDS and bond spread on developed European sovereign bonds. We also investigate which variables will affect the changes of CDS and bond spreads. We found that price discovery occurs on CDS more often, and the basis between CDS and bond spread has a positive relationship with credit risk. Due to the special characteristic of developed European sovereign bonds, the German sovereign bond yield is a better benchmark for risk-free rate than the Euro swap rate. Also we found that the change of rates and the return on stock market affect the European sovereign credit spread, but the effect of volatility on credit spread is limited. The reason should be the low-risk nature of these bonds in the past, which made them “safe” products for capitals to park.

可轉換公司債是給予持有者於債券存續期間內行使轉換為股票之複合式證券，除了債券性質外，內嵌的股票選擇權便屬於美式選擇權。而在本文中，針對內含美式選擇權的公司債評價是使用最小平方蒙地卡羅的數值分析，主要原因在於可轉債本身的條款彈性高，加上可轉債可能涉及之標的資產為兩個以上或狀態變數也可能具有多個維度(dimension)。此外，針對可轉債發行公司本身的信用問題，本文則採用縮減式(reduced-form)模型來處理其違約風險問題。依據A. Takahashi, T. Kobayashi, and N. Nakagawa認為採用結構式(structured-form)的缺點為參數難以校準，並列出下面兩論點認為使用縮減式的優點在於： 1. 違約事件將可能造成股價跳躍(jump)現象。 2. 在Duffie and Singleton方法下，資產隨機過程不必設定jump term，仍可設定為擴散過程(diffusion process)。 至於在利率期間結構方面，雖然Brennan and Schwartz(1980)認為實務上，考量利率的隨機性除了降低評價的效率性之外，與利率設定為常數相比，其差異不大。但針對為何差異不大的原因，本文認為利率對於純粹債券之價值影響為負向關係，而對於股票買權則是正向關係，故使得最後可轉債的影響則不明顯。然而，在目前「可轉債資產交換」等可轉債相關衍生性商品相繼推陳出新之下，使得可轉債的純粹債券與選擇權的個別要素評價也是相當重要。所以本文在利率風險的建構上將使用BGM模型來描述利率的隨機過程。

近年來由於金融自由化的發展，台灣已陸續開放新金融商品，除了股權相關的新金融商品之外，也陸續開放利率相關的新金融商品，如新台幣利率交換、新台幣利率選擇權、債券遠期交易、債券選擇權等。在信用衍生性商品市場方面，我國銀行從2002年底開放承做信用衍生性商品，目前正準備開放證券商承做。隨著金融國際化及自由化，未來將會從國外引進更新穎的金融商品，使金融市場更為完備。 本文以Hull – White利率模型及LIBOR市場模型為架構，藉由數值方法評價分析兩個衍生性商品──信用連結票券及利率交換。首先在信用連結票券方面，運用Li（1998）建立信用價差曲線（Credit Curve），將之應用至Hull – White三元樹，評價信用連結票券之價值，並作敏感度分析與避險參數分析。其次在利率交換方面，由於投資人端連結「雪球型」的支付型態，為路徑相依商品，故使用LIBOR市場模型以蒙地卡羅模擬法（Monte Carlo）進行評價與分析，再進行發行者損益兩平分析及情境分析。最後針對兩個商品的評價結果作結論，分析發行者及投資人的利潤及避險，並給予後續研究者模型改進之建議與方向。