MSCI台灣指數成分股的變動，於宣告日及生效日，對於新增股及剔除股的股價的異常報酬的效果；並同時以對照組比較其異常報酬。再者，依成分股加入台灣指數的幾個不同變數：加入台灣指數比重、依自由浮動（free float）調整後的股本，以自由浮動（free float）調整後的權益市值，以及外資持股比率和外資持股比率變動，比較其異常報酬的影響。 依實證結果發現，MSCI成分股的新增股及剔除股，於宣告日和生效日，皆存在明顯異常報酬。相對於對照組，於宣告日和生效日，異常報酬皆不明顯。而以加入台灣指數的比重、依自由浮動調整的股本、依自由浮動調整的權益市值，對異常報酬的影響，於宣告日及收盤後生效日，以及對新增股及剔除股的效果皆不盡相同。新增股於生效日，外資持股率小，異常報酬大；而剔除股於宣告日及生效日，外資持股率大，異常報酬大。由宣告日至生效日當天，新增股的外資持股變動較大，平均累積異常報酬亦較大；剔除股的外資持股減碼較多，平均累積異常報酬亦較大。

本研究以晶圓代工-聯電、台積電及DRAM-華邦、南科、力晶、茂德等六家公司民國83年至92年的資料為基礎，探討一、四項傳統企業價值動因對經濟附加價值(EVA)之影響；二、外資持股變動率對企業價值(總市值)之影響，以及加入外資持股變動率後是否使原模型更具解釋能力。 實證結果發現： 晶圓代工-聯電、台積電，一至四項傳統企業價值動因對經濟附加價值(EVA)之影響，均呈明顯關係；外資持股變動率對企業價值(總市值)之影響無明顯關係，以及加入外資持股變動率較傳統價值動因對企業價值(總市值)無法較原模式更具解釋力。 DRAM-華邦、南科、力晶、茂德，一至四項傳統企業價值動因對經濟附加價值(EVA)之影響，均無明顯關係；外資持股變動率對企業價值(總市值)之影響無明顯關係，以及加入外資持股變動率較傳統價值動因對企業價值(總市值)無法較原模式更具解釋力。 本研究試圖找出是否有其它的項目可判斷企業價值是否增加，並希望以此項目衡量可使企業價值的衡量更為容易。本研究以IC製造業分為晶圓代工及DRAM兩大產業為主要研究標的，而所得結果亦僅適用於本產業，在後續研究時，可研究在其他產業中各價值動因與外資持股變動率是否和企業價值有正向關係。 對經理人而言，價值驅動因子是一種績效變數，該變數對於事業的經營、營運的效率等有所影響，而使企業產生超額報酬，增加企業價值。因此；經理人應了解價值驅動因子為何？亦即了解企業價值是如何被創造出來，才能決定公司資源如何配置，目標與策略如何建立，及績效評估，藉由績效評估的過程，可以使員工了解公司的願景、目標和策略，建立共識凝聚向心力，共創企業價值並使企業價值極大化。

許多研究指出開放外資投資國內股票市場的好處，但卻很少文獻探討外資是否有促進市場效率的功能。因此本研究旨在探討外資持股比例的高低是否會影響公司價格效率性。我們使用台灣證券交易所的資料，以2007至2016年間所有外資持股的台灣上市公司為樣本，進行分析。其中，我們使用日報酬的一階自我相關係數來衡量價格效率性，當係數趨近於零時，表示價格是有效率的且遵循隨機漫步。研究結果顯示，在台灣股票市場，無論是整體股票市場，或是分別以各產業及外資持股高低的四個組合來看，外資持股比例的增加並沒有助於公司價格效率性的提升。 / Various benefits of opening a market to foreign investors are indicated in prior studies. However, few studies point out whether foreign investors improve efficiency of stock prices. Using a large sample of TWSE-listed stocks over the period 2007 to 2016, we investigate the relation between foreign ownership and price efficiency. In our analysis, we use the first-order return autocorrelations, which should be zero if prices follow a random walk to compute price efficiency. After controlling for the change in foreign ownership, firm size, stock price and stock liquidity, finally, we find that stocks with greater foreign ownership are not priced efficiently whether in overall market or in each level of foreign ownership and also in different industries. In summary, these results suggest that the foreign investors could not improve price efficiency on the Taiwan stock market.

本研究主要在探討近年來兩大租稅改革：兩稅合一制及最低稅負制之施行對上市公司外資持股比率之影響，是否降低外資持有我國上市公司股票之意願，影響我國企業的股權結構。 兩稅合一制施行後，消除股利所得之重複課稅，國內法人股東與自然人實質稅負減輕；但根據所得稅法第七十三條之二規定，非中華民國境內居住之個人、在中華民國境內無固定營業場所及營業代理人之營利事業，其獲配股利所含之稅額，不得扣抵其應納稅額，外資無法享受股東可扣抵稅額消除重複課稅的好處，外資在台投資實質總稅負仍維持為40%，較境內自然人股東之實質稅率6%~40%為高，股東可扣抵稅額比例愈高，外資損失越大。再者，最低稅負制施行主要影響對象為外資持股最多的電子業，且最低稅負制之施行對於公司補繳之稅負，外資股東也無法享受股利抵稅權。故可推論兩稅合一制、最低稅負制之施行及股東可扣抵稅額與上市公司外資持股比率應呈負向關係。 本研究之樣本為民國85年到民國95年及最低稅負制前、後之台灣上市公司。主要實證結果彙整如下： 1、兩稅合一制之施行及股東可扣抵稅額與上市公司外資持股比率呈負向關係，最低稅負制之施行與上市公司外資持股比率呈正向關係，但其效果應為股價指數之影響所致而非最低稅負制之施行；又最低稅負制施行後，外資仍偏好持有公司有效稅率低於10%之股票。 2、另外以民國93年到民國95年資料額外檢測，最低稅負制下限制投資抵減金額之效用，推論投資抵減金額在最低稅負制施行後與上市公司外資持股比率應呈負向關係，實證結果為負向關係但不顯著。 / The objective of this study is to examine whether the implementation of the Imputation Tax System and Alternative Minimum Tax System will affect the willing of foreign investors to invest in listed companies. The sample of this study consists of firms listed in the Taiwan Stock Exchange from 1996 through 2006. The empirical results in this research are summarized as follows: 1、 The implementation of the Imputation Tax System and a firms' imputation tax credit ratios have a negative impact on the percentage of foreign ownership in listed companies, but the implementation of Alternative Minimum Tax System has a positive impact on that. We conduct further examination and find the increasing effect of the percentage of foreign ownership is more rely on the effect of stock index than that of the implementation of Alternative Minimum Tax System. Further, foreign investors still prefer to invest in listed companies whose effect rates are lower than 10%. 2、With the implementation of Alternative Minimum Tax System, the use of investment tax credit was restricted. The empirical result of this study shows that after the implementation of Alternative Minimum Tax System, the investment tax credit has a negative but not significant impact on the percentage of foreign ownership in listed companies.

本論文主要由三大研究主題組合而成：第一個主題是依照中國金融體系的現況，針對國有銀行、政策性銀行、股份制商業銀行及城市商業銀行等四種不同類型銀行的獲利績效進行比較實證研究。其中的股份制商銀與城市銀行，其資本組成除少數仍有國務院持股（即中央政府持股）外，股東成員擴及地方政府、國有企業及民間企業，股本結構明顯較國有商業銀行及政策銀行多元化。不同的股本結構，尤其是官股比例（政府持股比例）是否對各家銀行的獲利能力產生影響，是本文主要研究興趣所在。本文採用Bankscope資料庫，涵蓋1997至2004年中國大陸49家銀行的財務及股東資料。結果發現：銀行股權結構中，中央政府持股比例越高，銀行獲利表現越差，地方政府持股的影響則較不明顯；而四類銀行中，股份制商銀與城市商銀的表現遠優於國有銀行及政策銀行。但1999年以後中國國有銀行的財務整頓措施的確使得國有銀行的相對表現有所提升。 鑑於外商銀行大舉進入中國金融市場，勢必對中國銀行帶來更多的競爭壓力，本論文第二個研究主題進一步將研究範圍擴及至世界資產排名前一百大的銀行，企圖比較中國銀行與世界百大銀行經營績效的差異。在這個主題中，延續前一主題「股權結構」的重要性，除了官股比例，同時考慮外資持股及本國人持股，分析三類持股對績效的影響，又鑑於總體面的政府治理因素可能對股權與銀行績效的關係產生變化，本研究也將政府治理變數，包括文獻中經常提到的證券市場內線交易情況、政府政策透明度及政府貪污情況等因素納入考量，比較這些因素對中國銀行與百大銀行影響有何差異。實證結果如下：對中國銀行及世界百大銀行而言，政府持股對銀行獲利的影響是負向的，而外資持股的影響則恰相反，開放程度愈高、銀行自由度愈高越有利於銀行績效提升。中國政府越無貪污情況時，越有助於外資持股對銀行績效的正向影響。對世界百大銀行而言，政府越無貪污情況時，越有助於外資持股對銀行績效的正向影響。而政府政策透明度越高，越有助於政府持股與本國人持股的正向影響。 第三個主題探討我國上市櫃公司不同的對外與大陸投資決策對母公司獲利性的影響。本文將投資決策對公司獲利的影響視為內生，也就是投資決策受公司特性因素的影響。同時，我們進一步假設公司的投資決策是分兩階段完成，第一步會先決定是否進行海外投資，一旦確定後，再決定是否赴大陸投資。因為有兩層的投資決策，本文以延伸的Heckman’s Two Stage Method進行估計。 實證結果顯示，在投資決策的影響因素方面，對第一層赴海外投資而言，規模愈大、國際化程度愈高、愈勞力密集的公司愈傾向赴海外投資；對第二層赴大陸投資的決策，影響因素也類似，只是公司規模不再是重要影響因素。至於獲利的影響因素方面，第一類「赴大陸投資的公司」與第二類「未赴大陸但赴其他國家投資的公司」的利潤型態較類似，長期負債對獲利都有負向顯著影響，總資產也傾向負向影響，至於第三類「未從事任何海外與大陸投資公司」的利潤型態則與前兩類不同，總資產與研發支出都呈現顯著負向影響。而三類公司的績效比較部分，第一類公司的平均預期資產報酬率雖若高於第二類，第二類公司又高於第三類公司，但三類公司兩兩之間平均預期資產報酬率的差距並未達統計上的顯著性。 / This dissertation contains three main parts. The first part studies the effects of government owned share on Chinese banks’ performance. After a series of financial reforms in the 1990s, joint stock commercial banks and city commercial banks started to boom and play an increasingly important role in China’s banking industry which had previously been monopolized by four state-owned commercial banks. These two new bank-types are considerably more diversified in that the primary shareholders include the central government, local governments, state-owned enterprises and private enterprises, not just the central government. Using 49 Chinese banks’ financial data retrieved from Bankscope, this part examines the effect of different ownership structures, in general, and government-owned-shares, central vs. local, in particular, affect the profitability and risk of banks in China. It also compares the profitability of four types of banks, namely state-owned banks, policy banks, joint-stock commercial banks and city commercial banks. We conclude that, without equivocation, the higher the ratio of state-owned shares is, the worse is the profitability of the bank. And we also note the profitability of joint-stock commercial banks and city commercial banks is much better than that of state-owned and policy banks. In light of the ever-growing foreign competition facing Chinese banking industry, the second part expands the sample banks to World’s top 100 banks and studies the differences between Chinese banks and foreign banks from the respects of ownership structure, government governance and bank regulations. Our empirical results reveal that for both Chinese banks and top 100 banks, government owned share has a negative effect on banks’ profitability, while foreign owned share has an opposite effect. For both of them, the more the foreign institutions have access to the banking market and the more freedom the banking industry enjoys, the better the bank performs. For Chinese banks, lesser corruption helps strengthen foreign share’s positive effect on banks’ performance. Furthermore, higher transparency would increase the positive effect of government owned share and domestic owned share. The third part studies the profitability of Taiwan’s listed companies with and without investment in China. Unlike past studies which deal with the decision of investment in overseas and China as exogenous, the decision is endogenous in this paper. That is, the decision making is based on the firm’s characteristic factors. We further assume that there are two hierarchy decisions made by firms when they decide in investing in overseas and China. The first decision is whether it should invest overseas. Once the first decision is made, the next one is whether a firm should invest in China. This two decision model, which allows us to extend Heckman’s two-step method, is referred to as an extended-Heckman method in this paper. Our empirical results regarding the determinants of investing overseas and China are as follows. With respect to the investment in overseas, firm size and export ratio show positive influence on the decision of investment, while capital labor ratio shows negative effect. Next, with respect to the investment in China, determinants are similar except that firm size is no longer significant. Our results regarding the profit performance reveal that for ‘the firms with investment in China’ and ‘the firms without investing in China, only investing other countries’, long term liability ratio has a significantly negative impact on profitability, whereas total asset, R&D expenditure show a negative effect on profitability for ‘the firms without investing overseas, nor investing in China’. As for the performance comparison among firms of these three investment types, the differences are insignificant. This result implies that there are still considerable individual differences among the firms of the same investment type.