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股價學習效果下之最適跨國投資策略謝祐中 Unknown Date (has links)
Xia(2001)運用動態學習方法預測股價,利用Hamilton-Jacobi-Bellman偏微分方程式(PDE)解最適投資組合策略。本文以Cox和Huang(1989)之平賭方法求出債券價格過程以及最適投資策略,並將問題延伸至跨國投資策略,增加兩項國外資產:外國股票以及外國貨幣帳戶,將匯率風險納入最適的投資組合中。
本文引用Xia(2001)的動態學習方法,以股利率(dividend yield)作為預測變數,假設股價成長率和預測變數-股利率-呈動態線性關係,進而依Lipster和Shiryayev(1978)貝氏過濾法預測股價之動態更新過程,並假設投資人財富效用為CRRA(Constant Relative Risk Aversion)效用函數,在給定風險趨避係數的情況下,極大化期末期望財富效用,以求得最適投資策略解,並進行數值分析。
本研究經數理推導以及數值分析發現以下具體的結果:
1. 最適投資策略與匯率風險以及學習效果有關:經數理推導發現匯率風險影響國外貨幣帳戶的投資比例,而股價的學習效果反映在市場風險市價上,進而影響股票投資比例。
2. CRRA效用下最適投資策略可分為市場投資組合及固定收益投資組合:給定風險溢酬以及風險趨避係數下,國內外股票投資比例呈現固定常數,而固定收益部分則跟投資期限有關,其投資比例是投資期限的函數。
3. CRRA效用下最適債券比例隨著風險趨避程度增加而降低:數值分析發現投資人在債券上投資的比例與風險偏好相關,越積極的投資人投資比例越高,且較保守的投資人越接近到期期限,債券持有比例上升速度較快。
4. 投資人的效用隨著已知股價波動度的增加而遞減:在1,000次的模擬後,發現在股價學習效果下,投資人的期末期望財富效用會受到股價波動度的影響,波動越大則影響學習效果,進而造成效用降低。
關鍵字:跨國投資、貝氏過濾法、平賭方法、最適投資策略、學習效果
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台灣各縣市地方社會福利支出對人口遷移之影響康琪珮 Unknown Date (has links)
本篇文章之研究目的,主要是探討台灣地區人口遷移受到各縣市的社會福利支出的影響究竟如何。本文將利用台灣23個縣市別的追蹤資料(panel data),涵蓋期間為1995年至2005年。採雙因子固定效果模型(two-way fixed-effect model)分析社會福利支出對於人口遷移,究竟存在著什麼樣的貢獻。於本研究中,將回顧現有文獻中,關於人口遷移之相關理論與實證文獻,且特別著重在以福利遷移(Welfare Migration)為研究主體之相關文獻。此外,本文也將清楚地介紹與說明,近幾年來台灣社會福利體制的發展,以及各縣市會福利支出水準與人口遷移間關係之現況。最後,為了進一步探討社會福利支出,對於男性與女性遷移者所產生之影響是否一致,本研究將建立三種實證模型。試圖更全面的探析台灣各縣市的社會福利支出,對於跨縣市的人口遷移之完整影響效果如何。本文主要的發現為,若某一地區每人可享之社會福利的程度高於鄰近的縣市,會吸引較多人口移入該地區。此外,女性移民較男性移民,受到社會福利支出之效果較為顯著。 / This study undertakes a study of cross-regional migration in Taiwan during the 1995 to 2005 period, particularly the effect of the social welfare system on migration decisions. The local places include the 23 cities and counties in Taiwan. Using data set from Taiwan-Fukien demographic fact book Republic of China and Expenditure conducted by Directorate-General of Budget. The hypothesis of this study is that movers would choose to the places with higher welfare to maximum their utilities. The empirical results from two-way fixed effect model support for the hypothesis that social welfare benefits influence migration decisions, especially for females.
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《你淪陷了嗎?網路色情面面觀:談網路色情內容對青少年的涵化效果》 / Internet pornography's impact on sdolescents: an analysis of cultivation林奐名, Lin, Huan Ming Unknown Date (has links)
隨著網路的日漸普及,網路色情的數量也與日遽增。透過網路,色情資訊傳遞的狀況也愈來愈普遍,網路色情對青少年的影響,更成為各界關切的問題。
本研究首先運用內容分析法,分析網路色情內容,以了解網路色情的內容與面向。研究結果發現,網路色情內容的主要情節包括「性器官的特寫」、「戀物」、「口交」、「角色扮演」、「使用情趣用品」、「性虐待或性暴力」和「強暴」等。
此外,本研究也採用問卷調查探討網路色情對青少年的涵化效果。抽樣方法採多階集群抽樣(multi-stage cluster sampling),從台北市所有的高中/職,隨機抽出15所,然後從被抽中學校的三個年級中,再各隨機抽出一個班級。本研究總計發出1,714份問卷,回收1,688份,訪問達成率為96.48%。
研究結果發現,男性學生每天使用網路的時間略多於女性學生,而總計約23%的青少年固定或經常性收看網路上的色情內容。若將受訪者分為「重度收視者」與「輕度收視者」,則重度收視網路色情的青少年以男性為主;輕度收視網路色情的青少年雖然亦以男性為主,但女性比例也相當高。
本研究最重要的貢獻,是發現收視網路色情內容頻率愈高的青少年,愈認為「網路色情內容頻率出現較多的性活動」在現實世界的性活動中出現的頻率較高;另外,網路色情的重度收視者也會比輕度收視者更傾向認為「網路色情內容頻率出現較多的性活動」在現實世界的性活動中出現的頻率較高;最後,網路色情的重度收視者會比輕度收視者愈認為強暴受害人受到的傷害不大。因此,網路色情可能具有涵化效果。 / With the rapid rise of the Internet, pornographic materials on the Internet have shown tremendous growth. Through Internet, pornographic materials have been posted, distributed and presented in unprecedented and interactive dimensions. The influence of Internet pornography on adolescents has been a social concern and a focus of media effects research over the past years.
This study examines the impact of exposure to Internet pornography on adolescents from a cultivation effect theoretical approach. It began with a content analysis of pornographic pictures and films on the Internet. Results of the content analysis showed that the principal themes of Internet pornography are “close-up of sexual organs,” “feticism,” “cunnilingus,” “role playing,” “use of sex products,” “sexual abuse and violence,” and “rape.”
Furthermore, a large-scale survey was conducted to explore the relative influence of the Internet pornography on perceptions about the incidence of various sexual activities in the real world. Guided by a multi-stage cluster sampling plan, respondents were drawn from 15 randomly selected high schools from all high schools in Taipei. Of the total 1,714 students, 1,668 completed questionnaires for analysis. The completion rate is 96.48%.
Results showed that about 23% of the respondents reported seeing Internet pornography frequently, with boys reporting significantly higher exposure frequencies than girls. When respondents were divided into “heavy viewers” and “light viewers,” heavy viewers who consumed greater quantities of sexually explicit materials on the Internet tended to estimate larger incidences of sexually explicit activities in the real world than did light viewers who consumed much less these materials. Consequently, heavy viewers were more likely to think victims of rape do not seriously hurt. Taken together, this study concluded that Internet enhances the impact of pornography and the results of the study lend support to the cultivation hypothesis.
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贈品促銷深度與品牌形象對知覺價值與價格知覺的影響效果與外溢效果之研究 / The Influences and Spillover Effects of Gift Promotion Depth and Brand Image on Perceived Value and Price曾忠蕙, Tseng,Chung Hui Unknown Date (has links)
贈品促銷在各行各業的採用愈來愈普遍,但有關贈品促銷的影響效果卻被許多學者所忽略,原因可能是因為大部分學者將贈品價格愈高,促銷效果愈好的正向影響效果視為理所當然,但是否真實如此?本研究認為若探討贈品促銷的效果,其中所探討的贈品促銷是指買A送B,其中A與B為不同產品類別。而針對贈品價值的吸引力方面,應著眼於贈品價格相當於主產品價格的百分比來進行探討,在本文中簡稱為贈品促銷深度(例如,贈品促銷廣告中:「購買一雙$2000的Nike球鞋,即贈送價值$200的Casio手錶一只」,則此贈品促銷深度為$200/$1000=10%)。本文將贈品促銷深度分為十組(10%、20%...100%),並加入主產品與贈品品牌形象的干擾變數一同探討。正式研究包含三項研究主題,深入分析贈品促銷深度的轉折現象、對產品知覺價值影響效果與外溢效果。理論基礎採用內在參考價格相關理論與定錨調整鋰論,研究方法採用10x2x2的組間因子設計之實驗法進行,針對北部兩所大學在校學生進行問卷發放,有效問卷975份。
研究主題一的目的欲找出贈品促銷深度對贈品價格合理性影響的轉折點,研究結果顯示,當主要產品與贈品沒有出現品牌訊息時,贈品促銷深度的轉折點為50%,但加入品牌訊息之後,轉折點便有所不同,品牌形象高時,贈品促銷深度轉折點為50%,品牌形象低時,轉折點往下修正,變成40%或20%。
根據研究主題一找出的轉折點,研究主題二則進一步探討轉折前的合理贈品促銷深度以及轉折後的誇張贈品促銷深度對產品知覺價值的影響效果,再加入主產品與贈品的品牌形象之情境變數,探討此三者彼此間的互動如何影響消費者對贈品促銷的評價。研究結果發現:(1)合理深度下,深度愈深,整組產品知覺價值愈高,但誇張深度下,深度愈深,整組產品知覺價值愈低。(2)贈品促銷深度愈深,贈品價格知覺愈高;合理深度愈深,贈品價值升值愈少,誇張深度愈深,贈品價值貶值愈多。(3)主產品與贈品品牌形象皆產生干擾效果。
研究主題三則想瞭解消費者心中對贈品免費的印象是否會外溢出去影響到贈品同類產品的其他品牌(同品他牌)、或者外溢出去影響到贈品同品牌的其他產品(同牌他品),而貶低對同品他牌或同牌他品的評價? 研究結果發現:贈品促銷的確會產生外溢效果,且隨著合理深度加深,外溢效果降低,但隨著誇張深度加深,外溢效果增加。透過本研究,一方面可更豐富贈品促銷效果的相關學術研究結果,另一方面可提供實務界相關建議。 / Gift promotion is taken as a common technique in most industry for a long time. It is believed that the higher the gift price is, the more successful gift promotion works. But, must it be true? In this study, gift promotion was defined as “buy A, get a free gift B”;that is, A and B were different products. Furthermore, promotion depth was taken as a main independent variable and defined as a percentage of gift price by main product price. By experiment design, promotion depth was manipulated as ten groups (10%, 20%,..., 100%), and brand images of main product and gift were chosen to be two moderators in this study. An 10x2x2 between subject design was further held, and totally 975 valid questionnaires was gathered.
Three themes were arranged to further investigate effects of gift promotion. Inferences and discussions were based on literature of reference price and anchor-adjustment theory. In the first research theme, it is proposed that there is a turning point in promotion depth—50% of promotion depth, and the turning point was fluctuant in accordance with brand image. If the brand image was high, the turning point was 50%;however, if the brand image was low, the turning point was downward to 40% under low brand image of main product and downward to 20% under low brand image of gift. Based on these findings, promotion depth was divided into two categories—reasonable (depth before turning point) and exaggerated (depth after turning point) promotion depth—in order to do further investigations.
The second research theme focused on the effect of reasonable or exaggerated promotion depth and its interaction with brand image of main product and gift. Findings were (a) In the range of reasonable promotion depth, the deeper the promotion depth was, the higher the perceived value of product bundle was (eg. positive relationship). However, in the range of exaggerated promotion depth, negative relationship was exhibited. (b) The deeper the promotion depth was, the higher the price perception of gift was. In the range of reasonable promotion depth, as the depth increased, value-adding level of gift decreased. In the range of exaggerated promotion depth, as the depth increased, value-discounting level of gift increased. (c) The brand image of main product and gift did show significant moderating effect.
The third research theme was going to investigate whether the discounting perception toward gift would spill to other products with the same brand of the gift, or spill to the same product with other brand. In this study, we defined the phenomenon as a “spillover effect” of gift promotion. Findings were: (a) No matter in the range of reasonable or exaggerated promotion depth, gift promotion did cause discounting of perceived value toward other products with the same brand of the gift and to the same product with other brand. That is, spillover effect did exist. (b) As the promotion depth increased, the spillover effect would first go downward then upward. In other words, the relationship between promotion depth and spillover effect showed a type of U-shape. Findings of this study will enrich literature of promotion as well as offer practical suggestions to managers implementing strategies of gift promotions.
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台灣股市的波動外溢效果之研究吳旻容, Wu, Min Jung Unknown Date (has links)
本研究使用相關係數隨時間變動的雙變量GARCH(1,1)模型(time-varying correlation bivariate GARCH(1,1) model),討論台灣股票市場中,大公司與小公司之間的報酬、衝擊(shock)、波動(volatility)是否互為影響為主軸。其次,為了了解不同估計方法、相關係數的設定和解釋變數對結果造成的影響,亦設立了3種模型,作為本研究的比較模型。
本研究發現大公司與小公司過去的報酬,存在雙向的報酬外溢效果。換句話說,大公司與小公司過去的報酬分別都對「本身報酬」有影響外,對「對方的報酬」也有影響。進一步發現到:大公司過去受到的衝擊和波動不僅對本身的條件變異數造成影響,也影響到小公司的條件變異數。但相反地,小公司過去受到的衝擊和波動,只對本身的條件變異數有影響,對大公司的條件變異數沒有影響,所以大、小公司間的衝擊外溢效果和波動外溢效果有不對稱的現象。
從不同模型之比較也發現,在討論大公司與小公司的報酬及波動時,應重視兩者彼此相互影響的關係,在估計時使用多變量的方法,以捕捉彼此相依的條件共變異數及條件變異數之動態過程。除此之外,也應考量兩者的相關係數隨時間變動的特性,及過去的波動對描述對方條件變異數的重要性。
關鍵字:多變量、GARCH模型、波動性、外溢效果、不對稱性
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金融服務業整併與宣告效果之關係-以證券商為標的王靖堯 Unknown Date (has links)
全球在90年代資訊革命及監管自由化(deregulation)的背景下,國際金融體系產生了明顯的變化,各國紛紛進行一連串金融改革。如1997 年日本修改「獨占禁止法」與通過「解除控股公司設立禁止後之金融相關整備法」;1999 年11 月美國通過「金融服務業現代化法」(Financial Service Modernization Act of 1999)為代表,其目的不外是期望透過法令上的解除管制,使金融服務業朝向綜合化業務發展。
本文研究金融機構在追求大型化與多元化趨勢下,檢視以證券商為標的之併購案與主併者產生的財富效果(wealth effect)的關係,並進一步探討影響財富效果的主要原因為何。研究樣本則是選擇日本金融市場由1998年至2007年間以證券商為標的之併購事件,研究結果發現:
一、當以證券商為標的併購案件宣告時,對主併者產生顯著的超額報酬。
二、當以證券商為標的併購案件宣告時,主併者為非銀行金融機構所產生的超額報酬會顯著於以銀行為主體者。
三、主併者成長潛力的大小與宣告併購所產生的超額報酬顯著正相關。
四、當以證券商為標的併購宣告時,主併者財務槓桿大小與宣告併購所產生的超額報酬為顯著負相關。
實證結果所代表市場對於資本化程度高、快速成長及非銀行機構在合併後產生的併購綜效最具有信心。最後,本研究也彙整一些相關建議,以供後續學者、企業以及政府機關做參考。
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跨業經營對銀行獲利與風險影響之研究 / A Study of the Impact of Nonbank Businesses on the Profitability and Risk of Commercial Banks賴憶如, Lai, Yi-Ju Unknown Date (has links)
自「金融控股公司法」公布實施起,本國銀行業即可在不同法源基礎下,從事直接兼營、轉投資子公司與金融控股公司三種跨業經營模式。然而,跨業經營是否有助於銀行提升獲利與降低風險,以及哪一種跨業經營模式較適合本國銀行業,均為本文所關切的議題。此外,在不同資產規模下,銀行的跨業經營、業務多角化,以及國際化策略是否應有所差別?本文利用1999至2006年國內25家上市櫃銀行之追蹤資料,在控制總體環境變數影響後,以適合處理追蹤資料的固定效果模型,針對跨業經營對本國銀行業獲利與風險影響進行廻歸分析,實證結果顯示,一、不論從獲利面或風險面來看,只有直接兼營之跨業經營模式享有範疇經濟效益,且此範疇經濟效益存在顯著之規模效果;二、轉投資子公司與金融控股公司之跨業經營模式不但未能提升銀行獲利,其承擔之經營風險反而會提高;三、若依資產規模將銀行分類,大型銀行適合於機構內部直接兼營非銀行業務與落實業務多角化策略,轉投資子公司與金融控股公司之跨業經營模式為獲利呈現高度波動性的主因,而跨業與國際化經營對小型銀行的獲利與風險都會產生不利影響。因此,本文建議,銀行應將跨業經營的重心放在直接兼營之跨業經營模式,而小型銀行不應一昧地盲從大型銀行之跨業與國際化經營腳步。
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異質性偏好與地方公共財之最適提供水準 / Heterogeneous Preferences and the Optimal Provision of Local Public Goods王舒齡, Wang, Shu Ling Unknown Date (has links)
本文以Tiebout (1956) 之假說 (Tiebout Hypothesis) 為基礎,在數個轄區之經濟環境下,假設人民具有「異質性偏好」及「完全移動性」,利用模擬 (simulation) 的方式,探討人口以及地方公共財之最適配置狀況,並探討其背後所隱含之經濟意義。
本文之研究發現有以下三點。第一,對於公共財具有異質性偏好、且具有完全移動性時,個人會依據自我選擇機制 (self-selection),選擇使其效用極大化之轄區居住,產生區分 (sorting) 之效果,符合Tiebout所預期。第二,就比較靜態發現,在技術水準越高,或者私有財之偏好越高的情況下,高偏好轄區的人口越多,每人持有消費性公共財數量也越多;而當資本產出彈性增加,則高偏好地區人口越少,且每人持有消費性公共財數量越少。第三,若中央政府徵單一稅 (uniform tax) ,且定額稅與資本稅之稅額相等,則以中央政府的角度觀之,不論何種稅制,均不影響全國地方公共財之總提供水準,故異質性偏好在此未造成任何影響。但若以地方政府的角度觀之,並以「每人持有公共財數量」之角度切入,則異質性偏好不但造成區分效果,更使轄區之資源配置具有脫離對稱均衡的可能。若將社會總福利水準極大化時之定額稅定義為最適稅率,其所對應之每人持有地方公共財,定義為公共財之最適提供水準,以此作為比較基礎,則在課徵資本稅之下,生產要素使用之扭曲性,影響人民之消費行為,進而改變轄區內原來的資源配置,強化轄區間資源配置的差異。在本文以兩個轄區為例,並以消費性公共財為分析重點之模型,發現地方公共財的提供,受到轄區內個人偏好強度差異之影響,出現偏好強度高之轄區公共財提供過多,偏好強度低之轄區公共財提供不足之結果。
關鍵字:Tiebout、異質性偏好、完全流動性、自我選擇機制、區分效果。
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語法與語句處理對於中文關係子句接應代詞之影響 / The Grammar and Processing of Resumptive Pronouns in Chinese Relative Clauses甯俐馨, Ning, Li Hsin Unknown Date (has links)
本文旨在從語法及語句處理的觀點探討中文關係子句中接應代詞(resumptive pronouns) 的現象。在語法上,本研究認為中文的接應代詞屬於詞基生成 (base-generated) 元素而非句法變項 (syntactic variables) 。接應代詞的出現受限於派生簡約原則 (derivational economy) 及合法度 (grammaticality) 的要求,唯有當間隙型關係子句 (gap relatives) 為非法時,接應代詞才是必要的;在其他情況下,接應代詞在中文裡為選擇性的策略之一。在語句處理上,本研究施測了三份合法度問卷並進行了兩項線上閱讀測驗。合法度的判別及線上的閱讀反應時間顯示,接應代詞之所以不被喜歡是因為接應代詞本身會引發花園路徑效果 (garden path effect) (在此為主要子句假象 (main-clause illusion) 的形成)。然而,接應代詞在間隙型關係子句為非法或引發花園路徑效果 (在此為重建困難 (difficult reconstruction) 所造成) 時卻變得較受喜愛。當間隙型關係子句涉及到複雜結構或複雜語句處理領域 (在此指的是重建複雜 (intricate reconstruction) ) 時,中文母語使用者並不會偏好使用間隙(gap)或是接應代詞來形成關係子句。這些研究結果意味著中文接應代詞不僅受限於合法度的要求,也受制於語句可處理性 (processability) 的程度,亦即有無受到花園路徑效果所影響。 / This thesis examines resumptive pronouns in Chinese relative clauses from the perspectives of grammar and processing. In the grammar, it is claimed in this research that resumptives in Chinese are base-generated pronouns rather than syntactic variables. Their occurrence can be predicted via derivational economy and grammaticality. Resumptives in Chinese are obligatory only when the gap relatives are ungrammatical. Otherwise, resumptives are optional. As for processing, three grammaticality judgments and two on-line self-paced reading tasks were conducted. The grammaticality judgments and the on-line reading times show that resumptives were dispreferred because they induced a garden-path effect (the main-clause illusion). However, resumptives became preferred when the gap relatives resulted in ungrammaticality or led to a garden path, thus inducing the difficulty of reconstruction. There was no preference for gaps or resumptives when the gap relatives involved complex structures or complicated processing domains (the intricate reconstruction). These results suggest that resumptives in Chinese are related not only to the issue of grammaticality but also to that of the processability (i.e. the garden-path effect).
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股權結構對股價之影響─以台灣TFT-LCD產業為例 / The Influence of Ownership Structure on Stock Price:An Evidence from the TFT-LCD Industry in Taiwan范惠緣, Fan, Hueu Yuan Unknown Date (has links)
隨著所有權與經營權日益分離因而引發代理問題,由於所有者與經營者之間存在著資訊不對稱(Information Asymmetry),而引發監督等代理成本。本研究探討股權結構與公司價值之間的關係,究竟是支持「利益收斂假說」或是「利益衝突假說」,並探討公司內部人、機構法人是否能發揮監督功效,而提升公司價值,反應在股價是否為正向關係。而公司內部人若能適當監督產生正面效益,能使公司價值提升。機構法人為理性投資者,由於有專業團隊蒐集資訊進行投資分析,因此機構法人持股比例的高低具參考價值,對於公司股價具有影響力,故機構法人持股可視為另一股監督力量。
本研究採用2001年至2007年台灣TFT-LCD產業的追蹤資料,搭配固定效果模型,以股價為公司價值之代理變數,並將股權結構視為其他資訊之代理變數,來探討股權結構對於股價是否具有顯著解釋力。根據實證結果顯示,機構投資持股與公司價值呈顯著且正向關係,結果支持「效率監督假說」。其次,內部人持股比例對股價的造成的影響呈顯著且正向關係,研究結果與「利益收斂假說」吻合。並發現投信持股比例雖低,但其對股價的影響力較外資及內部人來的大。 / The increasing demand for the separation of ownership and management control has led to concerns on agency problems. The existence of information asymmetry between the owner and the management team has resulted in various agency costs, including supervision-related expenses, etc. In this dissertation, we try to study the relationship between ownership structure and corporate value, so as to determine whether the Convergence of interest Hypothesis or the Conflict of interest Hypothesis should be supported. We also try to probe whether the insiders of a company or the institutional investors are able to fully play their supervisory roles to increase the value of the company, and whether these roles have positive correlation with the company’s stock price. The supervisory functions of a company’s insiders, when properly fulfilled, will create positive effects and increase the value of the company. Being rational investors, institutional investors collect information and conduct investment analysis through a professional team. The shareholding by institutional investors, therefore, is indicative and influential to the company’s stock price. Institutional investors are reckoned as another force of supervision.
In this research, we used the panel data of the TFT-LCD industry in Taiwan over the period of 2001 to 2007, supported by the fixed effect model. Stock prices are used as the proxy variables of the corporate value, and ownership structure is reckoned as the proxy variable for other information. The analysis is used to determine whether ownership structure has significant interpretation effect on the stock price. The empirical research results show that the shareholding by institutional investors has a significant and positive
correlation with the corporate value, which supports the Efficient Monitoring Hypothesis. Further, the ratio of insiders’ shareholding also has significant and positive influence on the stock price. The research results therefore agree with the Convergence of Interest Hypothesis. It was also found that, whilst the ratio of shareholding by the SITE industry is relatively lower, its influence on stock price is greater than the institutional investors and insiders.
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