本研究以2003至 2008年間國內上市櫃公司為研究對象，探討公司治理與股票市場流動性之關聯性。公司治理機制包括董事長兼任總經理、外部董監事持股、管理當局持股、機構投資者持股、家族型態以及控制權與盈餘分配權偏離程度，並以買賣價差作為衡量市場流動性之變數。 由過去的相關文獻推論，公司治理機制之良窳的確會影響財務報表揭露的透明度，同時產生資訊不對稱的問題，並對市場流動性產生衝擊。實證結果指出，外部董監事持股比率及外資法人持股比率愈高，其買賣價差愈小，市場流動性愈佳；管理當局持股比例愈高、企業為家族企業者以及控制權與盈餘分配權偏離程度愈大者，其買賣價差愈大，市場流動性愈差。 / This thesis attempts to examine the influence of corporate governance on stock market liquidity by observing the publicly listed and OTC companies in Taiwan in the period from 2003 to 2008. The governance mechanisms used in this thesis include CEO duality, outside director ownership, management ownership, institutional ownership, family ownership and deviation between ultimate control and ownership. And we use bid-ask spreads to measure market liquidity. The empirical findings of this study are as follows. Firms with greater outside director seats or foreign institutional ownership are negatively associated with bid-ask spreads and positively associated with market liquidity. While firms with greater management ownership, family ownership, and deviation between voting rights and cash-flow rights, are positively related with bid-ask spreads and negatively related with market liquidity.

自2000年來，學術界開始廣泛地討論系統流動性風險因子以及非流動性因子是否在資產評價上有重要的影響，尤其在最近的金融危機中，市場的流動性風險應該如何被衡量及量化也是實務上重視的課題。不同於傳統的市場微結構模型，著重在衡量個股的流動性以及非流動性，本文嘗試以系統流動性評價模型建構流動性風險因子及非流動性因子來衡量整體市場的流動性，並探討市場流動性如何應用在資產評價上。 在Lee, Lin, Lee, and Tsao (2006)研究中，嘗試分析台灣市場個別股票流動性的共同因素(common factor)，並已得到確切的結論。然而此一系統性的流動風險因子尚未應用在資產評價模型上。本文在建構市場的流動性以及市場的非流動性兩個因子之後，並用以評價市場的股票報酬，結果發現若以市場流動性因子評估，則持有對市場流動性衝擊(liquidity shock)具有高度敏感性的股票(Beta>0)並同時賣出低敏感性的股票(Beta<0)，將會得到顯著的異常報酬。另一方面，若以市場非流動性因子衡量，則持有非流動性較高的股票並同時賣出非流動性較低的股票，也會得到顯著的異常報酬。 / Market-wide liquidity drain has aroused grave concerns in the recent financial tumult and prompted a number of academics to query how much the liquidity risk is incorporated into the pricing of those assets that are blamed for the recent financial collapse. Though this market-wide liquidity risk factor has started being acknowledged as a key component of asset pricing models, it has not yet been applied to Taiwan’s financial market. Based on the commonality in liquidity is confirmed by Lee, Lin, Lee, and Tsao (2006) in the Taiwan’s stock market, this study is the first one to include systematic liquidity factor in asset pricing model. Two different dimensions are employed due to liquidity is an elusive characteristic to measure. This study intends to measure the degree of liquidity shock and illiquidity characteristic that afflicts Taiwan’s stock market by looking into temporary price changes accompanying the order flow in the lag period and the trading volume in the contemporaneous period. Stock excess return has always been considered a compensation for risk. This study also explores whether excess return reflects compensation of market-wide liquidity, and provides evidences that the premium for systematic liquidity shock factor and illiquidity factor in the Taiwan’s stock market are all significant.

金融海嘯提供我們一個深刻的教訓，因為危機前信貸過度增長伴隨著大量的系統風險，最後導致景氣反轉時銀行業龐大損失。而這些損失將動搖整個金融體系，並引發了一連串的惡性循環(Basel Committee on Banking Supervision , BCBS ,2010a, 2010b)；若依循過往個別審慎監理((Microprudential regulation)原則，將無法察覺背後隱藏的系統風險。因此目前趨勢是將以個別(Micro)與總體審慎監理原則(macro)並重，針對能夠影響整體市場金融穩定風險來源而詳加監管，同時透過規範與監理措施適度的降低系統風險，最終達到金融穩定的目的。IMF、BIS以及FSB(2009)針對G20制定的金融機構、市場與工具的指導文件(Guidance to Assess the Systemic Importance of Financial Institutions, Markets and Instruments)中，認為有效控制系統風險是現階段政策監理最重要的主軸之一。所謂系統風險是指能影響金融機構所持有的部位以及對於實體經濟存在嚴重負面影響的風險來源；此總體風險將存在負外部性而非個別審慎監理的風險因子。 因此本文由兩篇宏觀審慎監管框架文章所構成的研究，分別針對市場流動性風險和信用風險的因子。透過非流動性賣權與逆景氣資本緩衝（CCB）買權來分析和評價兩種新的監管框架。第一篇論文的主要概念是討論市場流動性風險因子，雖然當前銀行監管的重點是資金流動性風險，如新巴塞爾協議三 (Basel III)的流動性風險覆蓋率（LCR）和淨穩定資金比率（NSFR），但金融機構實際上也同時面臨資金和市場流動性之間的高度順週期效應，導致流動性螺旋，並威脅到金融穩定。因此，本文提出一個市場流動性，系統性風險和宏觀審慎監理分析框架來填補這一空白。 與Drehmann和Juselius（2013B）的實證研究結果比較，我們發現利用6個月歷史波動度建構的非流動性選擇權是最有效的提前預警指標（EWIS），且符合穩定政策結構和最小監管成本。此外在三個子樣本和嚴重危機時期亦能同樣保持預警的穩健性。因此如果金融機構能透過預警減少金融機構投資種類、行業、交易對手與大額暴險的集中度時，將可以由危機發生後被動式轉變成危機發生前主動式的風險管理，將符合總體審慎監理定義：能影響所有而非單一的金融機構，以及有效控制破壞總體市場產生的系統風險。 在第二篇文章中，我們專注於信用風險監管框架的避險，即Basel III的逆景氣資本緩衝(CCB)。這個新穎的監理視角將鼓勵銀行在危機前的信貸繁榮時期增加資本緩衝，而非在危機後接受援助或者增加昂貴的資本。據美國聯邦存款保險公司（FDIC）統計，2014年第1季全美的存款機構風險加權資產為10.27兆美金；如果最高的逆景氣資本緩衝被應用到這些銀行，將有2570億美金的資本不得不額外注資。因此本文設計了一個新的買權來符合CCB的監管框架，建立提前資本防禦措施來減輕系統性風險和整體銀行業不穩定。首先發現這款買權將能在順境時注入資本，即更低的潛在違約風險與信貸寬鬆時期，進而抵禦未來發生的金融危機。我們的建議也符合Basel III的目標，在危機前2至5年協助銀行取得資本保護。最重要的是，CCB買權可以透過提前取得資本形成一個“減震器”，舒緩隨後而來經濟衰退的壓力達到降低銀行資本順週期性目標；此外還提供了一個對於銀行過度冒險行為的抗衡力量，成為一個“自動穩定器”來達到宏觀審慎監理目標。 / Financial tsunami offered a profound lesson as the pre-crisis excessive credit growth was accompanied by huge systemic risks that ultimately led to the reversal of economy and huge losses of the banking sector. Such losses will shake the entire financial system and trigger a series of vicious cycles (Basel Committee on Banking Supervision, BCBS, 2010a , 2010b ); the hidden systemic risk may not be observed if we follow the previous principles of micro prudential regulation. The guidance formulated by G20 to assess the systemic importance of financial institutions, markets and instruments (IMF, BIS, and FSB, 2009) analyzes that the main issue of prior micro prudential regulation is that every financial institution’s incentive is to manage its own return-risk tradeoff but not necessarily manage the stability for the financial system as a whole. Consequently, the macroprudential regulation focusing on shocks originating outside the financial system can control the negative externalities of systemic risk rather than micro prudential regulation. This dissertation consists of two essays on the macro prudential framework of market liquidity risk and credit risk factor. We introduce, analyze, and value two new regulation frameworks via an illiquidity put option and a CCB call option respectively. The main concept of first essay is to discuss the macro prudential framework of market liquidity risk factor. Although the current banking regulation focuses on systemic funding liquidity risk such as Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR) of Basel III, financial institutions would actually have highly procyclical effects between funding and market liquidity at the same time, leading to liquidity spirals and threatening to financial stability. We therefore propose a market liquidity, systemic risk and macroregulation analysis framework in Taiwan's capital market to fill this gap. Comparison with the Drehmann and Juselius' empirical study (2013b), we find that illiquidity options by using 6-month historical volatility and forecasting short-term stock declines are effective early warning indicators (EWIs) having most stable policy structures and minimal regulation costs. Applying AUC macroregulation criteria, we show this illiquidity measure is also maintained fairly robustness in different intervals, e.g. during three sub-samples and serious crisis periods. If financial institutions can diversify the concentration of portfolios varieties, industries, and counterparty before crises by using EWIs, the passive risk taking can be converted into the active risk management. It is necessary to prepare the market liquidity and macroregulation framework in advance. In the second essay, we focus the hedging product for credit risk factors, i.e. countercyclical capital buffer (CCB). This purpose of countercyclical capital buffer standards is to encourage banks to increase capital buffers in credit good times that can be used in the future stress. According to Federal Deposit Insurance Corporation (FDIC), the risk-weighted assets of U.S. depository institutions were $10.27trillion dollars in 2014:Q1. If the maximum CCB is applied to these banks, an additional US$257 billion of equity capital will have to be raised. Hence, we design a new option to establish the capital defenses meeting CCB framework and then mitigating systemic risk and banking instability in advance. We show this product injects capital in good times i.e., lower credit risk and more credit expansion, to weather the future financial crisis. Our proposal also complies with the goal of Basel III to obtain capital in 2 to 5 years prior to crises. Most importantly, the CCB option can provide protection with additional capital to act as a "shock absorber" reducing a procyclicality problem in the subsequent downturn. Besides, this type of option also offers a countervailing force to excessive risk-taking behaviors to act as an "automatic stabilizer" for reaching macroprudential goals.

本研究主要係在探討經過會計師查核的內部控制報告書是否會影響到分析師的公私有資訊精確度以及市場流動性。實證結果發現，當公司被視為具有重大內控缺失者，會造成分析師公有及私有資訊精確度下降，進而使得整體資訊環境的不確定性增加。本研究亦發現，當公司揭露內部控制缺失時，該公司在宣告期間會有較差的市場流動性以及較嚴重的資訊不對稱性。本研究更進一步將內控缺失區分成公司及會計層級內控缺失，結果發現有公司層級內控缺失的公司，相較於會計層級缺失者，會有較差的公有資訊精確度及市場流動性。最後，本研究發現，若公司下一年度有進行內部控制缺失修正時，會產生較高的公私有資訊精確度及較高的市場流動性。 / This dissertation extends prior research on internal control weaknesses (hereafter ICW) by examining the impact of internal control weakness and their remediation on information precision and market liquidity for firms filed Section 404 reports with the SEC. First, I find that the presence of ICW is associated with lower precisions of public and private information contained in analysts’ earnings forecasts, which in turn increase overall information uncertainty. Second, I find that market liquidity is significantly lower for ICW firms. Moreover, this dissertation provides evidence that firm-level control weaknesses have stronger impact on public information precision and market liquidity than account-specific control weaknesses. Finally, this dissertation suggests that ICW remediation firms have higher information precision and market liquidity, compared to non-remediation firms. My results are robust after controlling for the endogeneity problem and other sensitivity tests.

2008年次貸風暴橫掃全球金融市場，Basel II制度歷經多年的實施，卻無法有效防阻金融風暴的發生。觀察2008已採用內部模型法之主要國際金融機構之年報，亦發現採用蒙地卡羅模擬法之代表銀行『德意志銀行』於該年度竟發生了35次穿透，市場風險管理到底出了什麼問題？這是被極度關心的現象，產官學界也對此現象提出了許多議題。2012年的現在，次貸的風暴尚未遠去，新的歐債危機也正在蔓延，若金融風暴再次來臨，市場風險管理是否能克服次貸風暴後所凸顯的缺失，市場風險管理的價值除被動管理外，是否還可以進階到主動預警，以作為經營決策的重要參考資訊？這些都是國內金融機構需積極面對的急迫的市場風險管理議題。 個案金控的市場風險管理機制致力於解決次貸以來所凸顯的市場風險管理議題、提升市場風險衡量的精準度、擴大市場風險管理之應用範圍，並將市場風險管理的價值由被動管理角色進階到主動預警角色，以期作為經營決策的重要參考。經過多年的淬煉，其發展理念與經驗應具相當參考價值，故本論文以個案金融控股公司(以下簡稱個案金控)之實務經驗進行個案研究，除分析個案金控市場風險管理機制的基礎架構外，也將研究重心放在個案金控如何在此基礎架構下，開發多種進階市場風險量化管理功能。 本論文除研究個案金控如何完善市場風險值量化機制外，也對各量化功能的實施結果進行分析，以期研究成果可更客觀的作為其他金融控股公司未來發展進階市場風險衡量機制之參考。