自2002年以來，台商企業因法令設有投資大陸40%上限，以及租稅制度相對較不優惠等因素，遂轉赴香港新加坡等海外市場上市以求繞開政策上的限制，從資本市場直接籌資。國內企業出現一波朝外的推力，遂因此導致我國近年來上市公司家數成長遲緩的現象。本研究係從學術理論出發，以市場分割假說、法律約束假說、投資人認可假說、流動性假說該四個構面探討企業海外掛牌的動機，並以台灣資本市場作為個案，審慎分析與評估企業跨國上市後的股票交易量流向。 最後，分別從主管當局、證券交易所及櫃買中心就其所應扮演的角色，提出未來努力方向，期望能提供台灣資本市場扭轉劣勢、提昇競爭力的根本之道，使台灣成為一個具有區域競爭力的高流動性的資本市場。建議主管當局積極營造一個更開放、交易成本更低廉的資本市場，提昇自身的投資環境、降低法規障礙。建議交易所與櫃買中心未來可從監理的角色轉變成純粹提供「流動性」服務的公司，將市場監理的機制，交由第三者來負責。交易所與櫃買中心則專注於提供低成本、高流動性的服務。證券交易所之間的策略聯盟亦是未來發展的重要策略。 / Since 2002, Taiwanese companies have been restricted by the law of inverstment upper limit 40%. Moreover, the tax regime in Taiwan is less favorable for companies. When choosing where to list, instead of staying in Taiwan, a lot of Taiwanese companies started to pick other markets such as Hong Kong to avoid the inverstment restriction and raise fund directly from Mainland China. This results in the outwards power, making the number of the companies which newly listed in Taiwan stock market decrease. This paper starts from four academic theories: market segmentation hypothesis, legal bonding hypothesis, investor recognition hypothesis, and liquidity hypothesis, to discuss the motivations behind the cross-listing decision made by companies. Furthermore, taking the capital market of Taiwan as a case study, this paper analyses and evaluates the trading volume after cross-listing thoroughly. At last, this paper provides several suggestions for Taiwanese government, TSEC and OTC respectly; hopely those can make the capital market of Taiwan much more competitive and of higher liquidity. We suggest that the authority should try to build a market with less restrictions and lower trading costs, improve the investiment environment, and remove the legal barriers. In the other hand, we suggest TSEC and OTC might outsource their monitoring function to another independent party in the future, and transform into companies simply provide the good: “liquidity”. Thus, they can focus on providing lower cost of liquidity. The strategic alliance between exchanges is also an important stratedy.

假設真實輸入參數可以事先預知，實際上，透過平均數-變異數的投資組合量化模式，效率前緣將會往右下方移動。這也意謂倘若保險公司的投資策略有達到效率前緣的情況下，保險法146條的投資上限將使得保險公司的投資報酬率降低，以及投資風險增加。給定投資上限反而降低保險公司的投資績效。然而真實輸入參數並無法事先預知，因此根據過去的經驗資料以及主觀判斷來估計輸入參數將是作為取代真實參數的作法。而估計誤差的存在將勢難避免。同時平均數-變異數模式所決定的投資組合會過度投資在高估投資報酬率以及低估投資風險的股票上，因此估計誤差的影響將是不容忽略。並且保險公司在追求資產極大化的同時，有其必要兼顧到估計誤差的影響。 本研究主要有三個主題，首先我們透過平均數-變異數模式來探討估計誤差對投資組合的影響。緊接著就投資上限與估計風險的關係進行研究。最後分析股票淨利率限制和投資上限之間的關係，並且解釋存在的功能以及探討是否有其存在的必要性。 本研究結果發現現行的單一股票的投資上限(七分之一)不但降低了投資風險，並且改善了真實反應的投資報酬率低於6%，甚至為負值的問題。並且就淨利率上限為6%的合適性而言，除非保險公司採取的投資策略非常的保守，否則還不如放寬，或者廢除。

The purpose of this thesis is to use the martingale approach to solve dynamic international portfolio problems. This thesis consists of three essays in dynamic international portfolio allocation. In demonstrating that foreign consumption plays an important role in international portfolio allocations, in Chapter 2, we present the first essay where we provide the optimal consumption plan and portfolio allocation for a representative investor with continuoustime and complete market assumptions in a simple two-country setting. Due to the demand for foreign consumption, the optimal portfolio allocation requires suitable foreign bonds to hedge against the changes in the foreign investment opportunity set and the exchange rate. The empirical results not only show that the optimal portfolio allocation with domestic and foreign consumption is different from that without consumption or with domestic consumption only, but also demonstrate the need for the foreign bonds to hedge against the change in the exchange rate risk. We present the second essay in which we extend the research of the investor's portfolio allocation problem into a continuous dynamical international market where the investment barrier of international portfolio exists. With deterministic market prices of risks, CRRA utility function and the existence of a simple investment barrier, the investor optimally hedges against the investment opportunity by allocating funds into three portfolios which are constructed by unconstrained bank accounts, equities and bonds. The first portfolio is the so called mean-variance portfolio, the second is the hedge portfolio, and the third is the synthetic portfolio which mimics the expected excess return of the constrained security in foreign country. This issue displays in Chapter 3. The third essay is presented in Chapter 4. Here we develop a continuous-time intertemporal portfolio allocation model in an international mildly segmented market. With deterministic market prices of risks and CRRA utility function, the domestic investor in the segmented market optimally hedges against the stochastic interest rates by allocating funds into two portfolios. The restricted mean-variance portfolio is derived from the traditional mean-variance portfolio without foreign constrained securities. The hedge portfolio is comprised of domestic bonds with a specific horizon for hedging against the change in the domestic interest rate. The numerical results indicate that when the volatility of the stochastic discount factor increases due to the less diversification caused by market segmentation, the less risk-averse investor benefits accordingly. Chapter 5 summarizes the main findings of the three studies and concludes the thesis by suggesting some future research venues related the current subject. / The purpose of this thesis is to use the martingale approach to solve dynamic international portfolio problems. This thesis consists of three essays in dynamic international portfolio allocation. In demonstrating that foreign consumption plays an important role in international portfolio allocations, in Chapter 2, we present the first essay where we provide the optimal consumption plan and portfolio allocation for a representative investor with continuoustime and complete market assumptions in a simple two-country setting. Due to the demand for foreign consumption, the optimal portfolio allocation requires suitable foreign bonds to hedge against the changes in the foreign investment opportunity set and the exchange rate. The empirical results not only show that the optimal portfolio allocation with domestic and foreign consumption is different from that without consumption or with domestic consumption only, but also demonstrate the need for the foreign bonds to hedge against the change in the exchange rate risk. We present the second essay in which we extend the research of the investor's portfolio allocation problem into a continuous dynamical international market where the investment barrier of international portfolio exists. With deterministic market prices of risks, CRRA utility function and the existence of a simple investment barrier, the investor optimally hedges against the investment opportunity by allocating funds into three portfolios which are constructed by unconstrained bank accounts, equities and bonds. The first portfolio is the so called mean-variance portfolio, the second is the hedge portfolio, and the third is the synthetic portfolio which mimics the expected excess return of the constrained security in foreign country. This issue displays in Chapter 3. The third essay is presented in Chapter 4. Here we develop a continuous-time intertemporal portfolio allocation model in an international mildly segmented market. With deterministic market prices of risks and CRRA utility function, the domestic investor in the segmented market optimally hedges against the stochastic interest rates by allocating funds into two portfolios. The restricted mean-variance portfolio is derived from the traditional mean-variance portfolio without foreign constrained securities. The hedge portfolio is comprised of domestic bonds with a specific horizon for hedging against the change in the domestic interest rate. The numerical results indicate that when the volatility of the stochastic discount factor increases due to the less diversification caused by market segmentation, the less risk-averse investor benefits accordingly. Chapter 5 summarizes the main findings of the three studies and concludes the thesis by suggesting some future research venues related the current subject.