本文以全球第一個演算法交易雲端平台－Quantopian進行研究，藉由平台社群討論區內公開之演算法交易策略，透過交易策略篩選和初步優化，以演算法交易策略為投資標的，搭配不同權重策略建構投資組合。權重策略部分，本文提出適用於組合式交易策略的績效指標加權 (Performance Index Weighted) 法，應用因子投資的觀念，融合排序相關性較低、不同面向之績效指標作為報酬率驅動因子，並參考Asness et al. (2013) 以因子排序作為權重計算依據，提供了簡單直覺、非最適化求解而且穩健的加權方式，更直接地將交易策略各面向績效的優劣反應在權重上。 根據數值分析，發現組合式交易策略長期而言，整體績效表現平均優於個別演算法交易策略，最小變異、績效指標加權和均等權重投資組合的風險亦明顯低於個別交易策略，且最小變異、績效指標加權和均等權重投資組合在降低投資組合風險的同時，並未犧牲過多報酬，風險調整後績效表現優於個別交易策略。而績效指標加權投資組合之年化報酬率、風險衡量和風險調整後績效表現皆優於最小變異、平均數－變異數、均等權重的加權投資組合，此種權重策略可使投資組合之夏普比率 (Sharpe ratio) 顯著提升，且投資組合的風險大幅降低，最大跌幅 (Max drawdown) 在四年半的實驗區間內降至10%以下的水準，風險調整後績效優異。 透過Quantopian社群演算法交易平台，個人投資者也能站在巨人的肩膀上學習，集合眾人的力量，憑藉量化交易創造出和機構法人一樣具有競爭力的投資組合。如Chan (2009) 所言，個人投資者也能憑藉量化交易，設計一套演算法交易策略。 / Quantopian is a crowd-sourced hedge fund which allows members on the platform to develop their own algorithmic strategies and even get capital allocations from Quantopian. In this paper, we constructed portfolios by Quantopian trading platform and proposed Performance Index Weighted method which generate consistently profit in our study. First, we filtered algorithmic trading strategies shared on the Quantopian community and improved the performance slightly. Second, we combined multiple algorithmic strategies with varied portfolio weight method, such as minimize-variance, performance index weighted, mean-variance, and equal weighed method to construct a portfolio. To elaborate, Performance Index Weighted portfolio is actually an application of factor investing, in which the portfolio weight depends on the ranking of performance index (factors), and these index measure returns, risk, and also risk-adjusted returns, which truly reflects how well the algorithmic strategy is. As a result, we used the performance index as a return driver and invested more in well-ranked strategies directly. Performance index weighted is a simple, robust, and fully intuitively way to construct a portfolio. In numerical analysis, we found that using multiple strategies to construct a portfolio could generate better performance than a single algorithm strategy on average. Moreover, the annual returns, risk measure, and risk-adjusted returns of Performance Index Weighted portfolio turn out to be better than minimize-variance portfolio, mean-variance portfolio, and equal weighted portfolio. As a result, Performance Index Weighted portfolio has significantly higher Sharpe ratio and lower Max Drawdown (lower than 10% in our out-of-sample test) than other portfolios, which shows excellent risk-adjusted performance. Most important of all, retail traders could learn more precisely by standing on the shoulders of giants through Quantopian trading platform. Also, by collecting wisdom from the crowd, we create an opportunity for retail traders to construct competitive portfolios just as institutional investors do.

本研究利用複迴歸模型與追蹤資料模型，透過子公司市佔率探討金控子公司組合，與公司績效及風險之關聯性，期望能找出何種子公司組合，對於金控公司的績效與風險最有影響。依據2002-2015之季資料，本文主要研究結果如下： (一)若以全產業角度而言，壽險業、證券業與票券業市佔率，對於金控績效與風險影響較為顯著。壽險業市佔率增加，會提高金控之系統風險與個別風險，而證券業市佔率增加，會提高金控的總風險、系統風險與個別風險。本研究推測主要原因為壽險業與證券業的產業風險較高，容易影響金控之經營風險，故有此現象。 (二)金控若採用雙引擎策略，可以降低金控之總風險與系統風險，亦即雙引擎策略對金控之風險經營有穩健的效果。 (三)以銀行業與壽險業組合為探討對象時，則發現銀行業市佔率提高，可能使金控之破產風險上升，而壽險業的市佔率提高，金控之總風險與系統風險亦會提升。此結果顯示銀行與壽險業的子公司組合無法有效改善金控之風險因子。 (四)以銀行業與產險業組合為探討對象時，則發現銀行市佔率提升，可能使金控之各項風險因子增加，並且會降低風險調整後的報酬。而產險業市佔率增加，則會降低金控績效，並提高金控之破產風險。 (五)以銀行業與證券業組合為探討對象時，則發現證券業市佔率增加，僅會顯著增加金控之個別風險。 (六)以銀行業與票券業組合為探討對象時，則發現銀行業市佔率增加，可能使金控之績效下降，並提高金控之破產風險，然而若票券業市佔率提高，反而會增加金控之經營績效，並降低破產風險。 / This study analyzes the effect of the subsidiary combination and market share on the performance and risk of financial holding companies (FHCs). Based on the data of 2002Q1-2015Q4, the empirical result can be summarized as follows. 1. From the viewpoint of the whole industry, there is a significant relation between the market share of the subsidiaries and the performance and risk of FHCs. The result shows there is a positive effect of life insurance market share on systematic risk and idiosyncratic risk. And there is a positive effect of securities market share on total risk, systematic risk and idiosyncratic risk. 2. FHCs can reduce their total risk and systematic risk by taking dual-engine strategy. The result shows that dual-engine strategy is a sound strategy for FHCs’ operation. 3. For the subsidiary combination of bank and life insurer, there is a positive relation between bank market share and insolvency risk. And there is a positive relation among life insurance market share, total risk and systematic risk. 4. For the subsidiary combination of bank and property insurer, there is a positive relation among bank market share and FHCs’ risk. And there is a negative relation between property insurance market share and FHCs’ performance. 5. For the subsidiary combination of bank and securities company, there is a positive relation between securities market share and idiosyncratic risk. 6. For the subsidiary combination of bank and bills company, the increase of bank market share is unfavorable for FHCs’ operation, but the increase of bills company is beneficial for FHCs’ operation.

截至2016年的統計資料，我國產險與壽險業的保險公司家數來到54家，保險業資產總額佔了全台灣所有金融機構總資產的31.78%，資產規模來到新台幣22.6兆元，在如此龐大的資產規模下，保險公司的投資組合管理變成相當的重要，重點漸漸的從投資在什麼樣的商品可以讓資金獲取最大效益轉移到了投資後的管理與部位的調整，以避免不必要的非系統性風險，有鑑於此，台灣在2003年實施了RBC制度，讓保險公司的投資組合的分配有所依據，不過仍然免不了過度集中在某些資產的問題，所以本研究的目的在於能否運用風險集中度的概念來判斷投資組合是否過度集中，而不僅僅只有投資金額的比例來做判斷。 本論文的研究方法會根據各家保險公司的實際投資組合以每半年或每年的型式分別計算Marginal Risk Contribution(MRC)的値，並且進行分析後再以Herfindahl-Hirschman Index(HHI)與 Gini Index 來檢視長期資產組合集中度的趨勢，最後的研究結果可以發現若是從邊際風險貢獻的比例來看，各保險公司的風險分布主要是集中在國內上市普通股與ETF、海內外不動產投資、國外已開發國家或新興市場上市普通股與ETF以及A評等的國外固定收益債券，而利用HHI與Gini Index兩個指標來看，各保險公司的資產集中度是逐年上升的。 / According to the statistical data in 2016, there are 54 insurance companies which includes property and casualty insurance company and life insurance company. And the scale of insurance asset is NTD 2,260 billion, accounting for 31.78% of whole asset of financial institution in Taiwan. Under huge amount of asset, the portfolio management for insurance company become more and more important. The key points of this issue are transferring to the ratio of portfolio management from choosing asset class to get maximum profit in order to avoid the nonsystematic risk gradually. Therefore, the Risk-based Capital policy has established in 2003 in Taiwan. The ratio of the insurance companies’ portfolio had the reference to allocate. However, there were some issues about the excessive concentration of some asset classes. So, the target of this study is using the concept of the risk concentration to judge the portfolio too concentrated or not. Not just judge it by its amount invested. The research process of this thesis is to calculate the marginal risk contribution value of the insurance companies’ portfolio every half a year or every year. Moreover, using the Herfindahl-Hirschman Index (HHI) & Gini Index to observe the trend of long term portfolio concentration. From the marginal risk contribution ratio. We can found the result of this study is the risk concentrated on the domestic listed common stock & ETF, domestic or foreign Real Estate, foreign developed market or emerging market listed common stock & ETF and fixed income bond (A rating). Besides, using the Herfindahl – Hirschman index and Gini index. The concentrated ratio of insurance companies’ portfolio were raising recent years.

我國自2007年起陸續修正了工會法、團體協約法及勞資爭議處理法，並於2010年5月1日起施行。在團體協約法第6條中新增了勞資雙方應本於誠實信用原則進行團體協商及無正當理由不得拒絕他方所提團體協約之協商，而與工會法第35條第1項之規定共同構成不當勞動行為的禁止規範。依團體協約法第6條之立法說明，該條文之立法雖係參酌了美、日、韓三國之立法例，但由於日本的工會係以企業工會為主要的組織範圍而與我國的勞資關係較為接近，故本文以日本法制為比較研究之對象而採取了比較法之研究方式。 在第二章中先觀察團體協商之機能、態樣、對於團體協商之法律規範型態、與其他勞資對話機制之區別以及日本團體協商之特色等作為研究之基礎後，也對於日本團體協商權之概念形成、主體、性質、定位與效果等「團體協商權」概念內容進行研究。 而日本國憲法第28條對於勞動基本權之保障亦與其他基本權相同有其內在的限制，因此於第三章中檢視了在日本的實定法上對於公務員的團體協商權所設諸多之限制及其改革之動向外，也探討了自1980年代中期後部分學說所提倡之應限制少數工會之團體協商權的見解。此外，也分析了對於拒絕團體協商之行政救濟與司法救濟。 由於日本國憲法第28條僅抽象地規定保障勞工之團體協商權，是以勞動組合法第7條第2款乃將「雇主無正當理由拒絕與其所僱用勞工之代表進行團體協商」作為不當勞動行為的態様。唯，何謂「無正當之理由」？在第四章及第五章的前兩節中，分別從當事人、代表、事項、進行程序等面向一一觀察日本實務及學說見解所生之相關爭議。 除了勞動組合法第7條第2款所明定之不得無正當理由拒絕團體協商外，日本學說及判決認為雇主尚負有「誠實協商義務」。是以，第五章第三節則聚焦在誠實協商義務之基本意涵、具體內容以及雇主在複數工會併存時的誠實協商義務。另，在本章中也分析了自1980年代開始在日本學說上所出現之應導入工會之公正代表義務的議論。 於探究日本法上的相關議題後，第六章則將研究的焦點轉回我國，擬先檢視我國團體協商規範之變遷，再整理與分析實務對於規範的實踐並檢視相關學說的妥當性。此外，也檢討了新團體協約法的規定對於勞工團體協商權的保障是否充分及其問題點並試圖尋求妥適的解決之道。

衡量投資組合的稀有事件時，即使稀有事件違約的機率極低，但是卻隱含著高額資產違約時所帶來的重大損失，所以我們必須要精準地評估稀有事件的信用風險。本研究係在估計信用損失分配的尾端機率，模擬的模型包含同質模型與異質模型；然而蒙地卡羅法雖然在風險管理的計算上相當實用，但是估計機率極小的尾端機率時模擬不夠穩定，因此為增進模擬的效率，我們利用Glasserman and Li (Management Science, 51(11),2005)提出的重點取樣法，以及根據Chiang et al. (Joural of Derivatives, 15(2),2007)重點取樣法為基礎做延伸的改良式重點取樣法，兩種方法來對不同的投資組合做模擬，更是將改良式重點取樣法推廣至異質模型做討論，本文亦透過變異數縮減效果來衡量兩種方法的模擬效率。數值結果顯示，比起傳統的蒙地卡羅法，此兩種方法皆能達到變異數縮減，其中在同質模型下的改良式重點取樣法有很好的表現，模擬時間相當省時，而異質模型下的重點取樣法也具有良好的估計效率及模擬的穩定性。 / When measuring portfolio credit risk of rare-event, even though its default probabilities are low, it causes significant losses resulting from a large number of default. Therefore, we have to measure portfolio credit risk of rare-event accurately. In particular, our goal is estimating the tail of loss distribution. Models we simulate are including homogeneous models and heterogeneous models. However, Monte Carlo simulation is useful and widely used computational tool in risk management, but it is unstable especially estimating small tail probabilities. Hence, in order to improve the efficiency of simulation, we use importance sampling proposed by Glasserman and Li (Management Science, 51(11),2005) and modified importance sampling based on importance sampling which proposed by Chiang et al. (2007 Joural of Derivatives, 15(2),). Simulate different portfolios by these two of simulations. On top of that, we extend and discuss the modified importance sampling simulation to heterogeneous model. In this article, we measure efficiency of two simulations by variance reduction. Numerical results show that proposed methods are better than Monte Carlo and achieve variance reduction. In homogeneous model, modified importance sampling has excellent efficiency of estimating and saves time. In heterogeneous model, importance sampling also has great efficiency of estimating and stability.

【第一篇論文中文摘要】 集中度風險於結構式商品的量化與分析：以房屋抵押貸款證券為例 "Martin and Wilde (2002)與Gordy (2003)" 針對巴塞爾協定(Basel Accords)中金融機構之投資組合所內藴之集中度風險提出了相對應的微粒化調整(Granularity Adjustment)風險量化準則，然而該模型僅止於單因子架構下探究單一信用標的集中度風險之量化。本文將其架構延用至結構式商品中，允許債權群組內之信用標的具不同區域別，我們採用Hull and White(2010)之跨池違約相關性描述，並結合Pykhtin (2004)中延拓單因子聯繫模型至多因子之方式，進而求取債權群組之單一資產集中度(Name Concentration)與區域類別集中度(Sector Concentration)風險的量化。本文以房屋抵押貸款證券(Mortgage Backed Securities, MBSs)為例，於集中度風險的考量下，藉由檢視不同風險情境下分券之損失起賠點，重新評估房屋抵押貸款證券AAA投資級分券信用評級之合理性。研究結果顯示，AAA評等之分券高度曝險於系統性風險，且於高風險情境下，標的房貸之區域集中現象擴大了違約相關性對債權群組損失分配的影響，致使AAA分券之損失起賠點得以超過其實際擔保額度(subordination)範圍。 【第二篇論文中文摘要】 美國銀行放款多角化對其報酬與風險之影響：相關性與傳染的觀點 本文目的在於分析銀行放款的多角化行為對其報酬與風險之影響。研究發現納入銀行放款投資組合相關性之考量，亦即標的資產之相關性結構以及資產間因契約關係所隱含跨投資組合之傳染途徑，將降低多角化之成效。文中透過因子模型(factor model)建構資產之報酬，同時決定其相關性結構，其中將資產間殘差項相關性作為傳染指標，進一步分析投資組合內標的資產間的平均相關係數、傳染與多角化程度間的關聯性。我們以美國銀行作為研究樣本，分別以赫芬達-赫希曼指數估算投資組合權重分配之集中度、使用組合內標的產業股票報酬資訊來計算投資組合內相關程度，接著利用標的產業與投資組合外產業間的殘差相關性來捕捉產業傳染效果，將此三項指標作為衡量多角化指標，分析其在1987年至2014年間聯貸投資組合多角化情形並試圖分析放款多角化對銀行績效之影響。透過契約關係的界定進而探討顧客傳染如何影響銀行績效。 研究發現於市場處於平穩期間(tranquil period)，所有多角化指標銀行放款均呈現放款多角化程度越高越有助於提高銀行的報酬並降低其風險。然而於危機期間(turmoil period)，銀行應將放款權重集中於部分產業、建構相關性較低之組合或選擇較低之傳染效果之產業作為放款的對象，用以提高銀行績效。隱含在危機期間銀行應該選擇適度之多角化策略，若僅以赫芬達-赫希曼指數作為多角化之衡量將顯示危機期間越集中越有助於銀行的表現，此舉將造成解釋上的偏誤。說明於投資組合多角化的衡量上，不該忽略由相關性結構所引發之集中度風險。 / 【Essay I】 Quantification and Analysis of Concentration Risk in Structured Products: the Case of Mortgage Backed Securities Granularity adjustments, introduced by Martin and While (2002) and Gordy (2003), allow one to quantify the concentration exposures of credit portfolios due to imperfect diversification. However, they focus solely on name concentrations under an Asymptotic Single Risk Factor (ASRF) framework. In this study, by adapting the multi-pool correlation structure of Hull and White (2010) under the multi-factor setting of Pykhtin (2004), we derive quantitative measures of name and sector concentration that facilitate subsequent analysis of the risk profiles embedded in Mortgage Backed Securities (MBSs). Under different stress scenarios, we examine the impacts of concentration exposures on the internal credit enhancements, in particular, the AAA tranche attachment points. We show that, under severe market conditions, the presence of sector concentrations in the underlying mortgage pools can further amplify the effects of default correlation on the portfolio loss distributions. As a direct consequence, the predetermined subordination level determined by the assignment of tranche attachment points can be exceeded. 【Essay II】 How Loan Portfolio Diversification Affects U.S. Banks’ Return and Risk: Correlation and Contagion Perspectives. In this paper we investigate how loan portfolio diversification affects the banks’ return and risk. We argue that, the dependence structure of bank loan portfolios, namely, the correlation structure among loan assets and the presence of contagion channels due to contractual relationships across the border of portfolio, contributes to the costs of diversification. Under the factor model framework, we derive a theoretical model to depict the asset returns and their dependence structure. Based on data of US bank loans collected from 1987-2014, our empirical study employs HHI, intra-portfolio correlation, and contagion as proxies for diversification to examine how loan portfolio diversification affects the banks’ profitability and riskiness. In addition, contractual relationships are identified and we investigate how customer contagion affects the bank’s performance. We find that all diversification measures exhibit a positive effect on the performance of U.S. banks during tranquil periods. However, for turmoil periods, banks with loan portfolios of more concentrated weight distributions, lower intra-portfolio correlation, or lower consumer contagion effects would have improved returns and reduced risk. In other words, during crisis, banks should choose an appropriate concentration strategy rather than focus on selected industries as determined solely by the HHI.

丹麥參與歐洲統合進程中，曾於1960年至1973年間參與歐洲自由貿易協會，並自1973年後從歐洲自由貿易協會轉型為歐體的一員，丹麥加入歐體之後其歐盟政策經歷了適應期（1973-1986）、高峰期（1986-1992）與調整期（1992-2000）。在各個時期之中，丹麥制訂歐盟政策經歷了一連串持續與轉變的過程，究其原因莫過於第一層次與第二層次之間相互影響與互動所致。在第一層次（國際層次）之中丹麥與各會員國在國際場合進行談判，透過不斷的磋商與讓步，與各會員國達成國際協議；在第二層次（國內層次）之中國會、歐洲事務委員會、政黨、利益團體及丹麥民眾，分別透過各種管道影響丹麥的歐盟政策之制訂。由於許多國際層次的歐盟條約都必須得到丹麥國內的批准，致使「批准」成為兩個層次之間的重要連結。 本篇論文以兩層次賽局作為分析架構，並以「勝利組合」作為分析工具，探討第一層次歐盟各會員國如何對丹麥作出施壓與讓步，以及第二層次國內各因素如何在歐盟政策制訂過程中發揮影響力，透過「勝利組合」的範圍變化，分析單一歐洲法與馬斯垂克條約等重要歐盟條約如何得到「批准」通過。在第二層次之中，尤其不可忽略公民複決對丹麥制訂歐盟政策所發揮的影響力，透過整理丹麥舉辦六次關於歐盟議題公民複決的經驗，可歸納出公民複決是影響丹麥制訂歐盟政策的關鍵因素。此外，第一層次的談判結果也會影響丹麥民眾對於某項議題的偏好。國際壓力是造成國內政策轉折的必要條件，相對地若缺乏國內對於國際壓力的回應，光憑國際壓力尚不足以達成國際協議。因此，這兩個層次是雙向影響與互動的過程，而非單向的影響過程， 兩層次賽局應用在丹麥歐盟政策制訂上，丹麥國內民眾不僅對條約本身（第一層次）做出衡量，也對於政府的表現做出評估（第二層次），使公民複決在兩層次賽局中具有決定性的作用。在歐洲統合過程中，丹麥相較於其他歐盟會員國，其國內因素對於歐盟政策之制訂，發揮了較大的牽制作用。一項重大歐盟條約的通過，必須得到國內第二層次的支持才得以批准，這使得決策者不敢擅作主張，必須將國內的意見充分表達於國際談判之中，且要得到國內的充分授權之後才能在國際談判桌上作出決定。因此，丹麥在制訂歐盟政策過程中持續地將民眾意見納入其中，丹麥對於民意的重視，益加凸顯出主權在民的精神。 丹麥雖只是身處於北歐地區的一個小國，但丹麥卻能善用自身的籌碼，在國際談判中爭取有利的條件。在歐洲統合過程中，丹麥持續將其理念帶入歐盟，進而影響其他會員國與整體歐盟政策之走向。展望未來歐洲統合的發展，歐盟擴充之後會員國數目增加，丹麥的統合經驗，特別是採取尊重民意的歐盟政策，將可作為其他新加入會員國的參考。故丹麥經驗在歐洲統合的歷程及未來發展上均具有重要性，而「兩層次賽局」也可供作其他會員國分析歐盟政策的架構，更可作為解釋其他內政與外交相關議題的分析工具。

Sloan（1996）研究指出，投資人無法完全地分辨出應計項目與現金流量間盈餘持續性的差別，導致對應計項目資訊反應過度，而對現金流量資訊則反應不足，因此公司擁有相對較高（低）的應計項目使用金額，預期會有負（正）的未來股票異常報酬率，此種存在於應計項目與未來來股票異常報酬率間之負向關係，即本文所稱之「應計項目異常現象」。 投資人方面，本研究依資訊取得優勢，區分為內部關係人、機構投資人（外資、投信、自營商）與自然人；投資人持股行為則分別以持股比例與持股比例變動代表。此外，並將應計項目分別以總應計項目與總應計項目組成要素下之個別營運資金應計項目（應收帳款變動數、存貨變動數與應付帳款變動數）作衡量。首先測試應計項目異常現象是否存在於我國，再利用應計項目異常現象建構之套利投資組合，買進最低應計項目金額的投資組合而賣出最高應計項目金額的投資組合，探討應計項目異常現象與投資人持股行為之關聯性。 實證結果顯示，應計項目異常現象存在於我國，亦存在於個別營運資金應計項目。持股比例方面，外資與內部關係人似乎能利用應計項目異常現象形成之套利投資組合；當總應計項目的金額愈低，持股比例會愈高，但在不同應計項目的衡量方法下會有不同的結果。持股比例變動方面，除內部關係人與自然人稍佳之外，本研究設計之迴歸模型並無對應計項目與投資人持股比例變動間之關聯性有足夠的解釋能力。此外，第二年度的內部關係人持股比例變動雖與總應計項目、存貨變動數有負向的關聯性，惟統計結果並不顯著。 關鍵字：應計項目異常現象、投資人、持股行為、應計項目、機構投資人、內 部關係人、自然人、套利投資組合 / Sloan（1996）results indicate investors failing to distinguish fully between the different properties of the accrual and cash flow components of earnings. This leads to overreaction of the information contained in the accrual components of earnings and underreaction of the cash flow components of earnings.Consequently,firms with relatively high (low) levels of accruals experience negative (positive) future abnormal stock returns. The negative relationship between accounting accruals and subsequent stock returns calls the “Accruals anomaly” in this paper. With repect to the investors, I distinguish them from the advantage of obtaining the information into insiders, institution investors (QFII, mutual funds, security dealers), and individual investors; then use the percentage of the investors’ holding and the percentage of the investors’ holding change to represent the investors’ holding behavior. Besides, I use the total accruals and individual working capital accruals（change in accounts receive, change in inventory, and change in minus accounts payable）to measure accruals. Firstly, I test whether the accruals anomaly exists in our country or not, then exploit the hedge portfolio formed by accruals anomaly,by taking a long position in the stock of firms reporting relatively low levels of accruals and a short position in the stock of firms reporting relatively high levels of accruals generates positive abnormal stock returns to probe into the association between accruals anomaly and investors’ holding behavior. The results suggested that accruals anomaly indeed exists in our country and the individual working capital accruals. With regard to the percentage of the investors holding, QFII and insiders seems to capable of exploiting the hedge portfolio formed by accruals anomaly; when firms with relatively low levels of total accruals experience the percentage of the high investors holding,but there have different results of using dissimilar measurement of accruals. For the percentage of the investors holding change, this paper’s regression model doesn’t have enough capability of explaining the association between accruals and percentage of the investors holding change except insiders and individual investors. Furthermore, although the percentage of the insiders’ holding change in the second year is negatively correlated with total accruals and change in inventory, the empirical results are not significant. Key words: accrual anomaly, investors, holding behavior, accruals, institution investors, insiders, individual investors, hedge portfolio

本研究經由兩個系列的實驗設計以探討套票的使用行為與續購行為。其中，實驗一是以虛擬情境檢視套票型式影響消費者的使用意圖，並以受測者的規範導向做為調節變數；實驗二則更進一步地以較接近真實生活的情境來進行操弄，更明確地檢測了消費者對套票的實際使用情形以及續購行為，除仍以受測者的生理規範導向做為調節變數，另探討了套票持有的前期與後期對使用行為的調節效果。 實驗一的結果顯示透過不同套票類型所引發持有者沉入成本上的差異，可能導致受測者在套票的使用意願不同。具體來說，愈是能讓受測者感受到不使用便等同於虧損的套票，受測者的使用意願便會更高。此外，不同規範導向的受測者所重視的目標不同。積極導向動機較強的受測者，行為較易受到努力得到想要結果的動機驅策，所以比較在意結果是否能獲得之前欠缺的東西；反過來說，保守導向動機較強的受測者，行為較易受到努力保持現有結果的動機引導，所以比較在意結果是否會失去之前擁有的東西。以不同動機系統為主的不同類型受測者的行為會有很大的差異。積極導向者比較容易追尋更完美的結果，所以當競爭者推出可能是較佳的替代品時，轉換意願較高；至於保守導向者則較在意持有現有可接受的結果，所以發現可能是較佳的替代品時，則寧願使用手中持有的套票。 至於實驗二的結果則顯示受測者在套票持有的前期較易於使用套票，換言之，隨著套票持有的時間愈久，對未使用完畢套票的沉入成本感受會隨著時間降低，使用套票的可能性也就因此愈低。此外，不同的套票型式對保守導向者的影響比較大，對保守導向動機較強的受測者而言，若所持有的套票型式是較容易感受到當未使用套票時，就意謂著沉入成本無法回收時，使用套票的意願會較高。而當持有的型式是較不容易感受到套票成本的型式時，使用此套票的可能性就相對降低了。但是積極導向動機系統為主的受測者來說，套票的實體型式對使用行為的差異就不太明顯了。不同型式的套票，並不會對積極導向者產生太大使用行為上的差異。 若保守導向者持有的是較容易感受到此套票成本的型式時，在套票持有的前期與後期間的使用差距不太會有明顯的改變，也就是說，他們比較不會因為套票持有的時間較久就明顯地降低使用行為，但若持有的是比較不容易感受到成本的套票時，在套票持有的後期會比前期容易不去使用套票。至於對積極導向者來說，這項因為套票型式上的差別造成在持有套票的前期與後期使用套票上的變化就不太明顯，事實上，積極導向者無論持有何種型式的套票，在後期都會明顯的降低使用套票的行為。 當套票使用完畢後，原持有的是較不容易感受到成本的套票型式受測者，續購意願比較高。而原持有的是較容易感受到套票成本的型式時，相對上的續購意願會較低。這項影響僅對保守導向者有影響，至於對積極導向者來說，就沒有什麼明顯的差異。 研究的結果大致與研究假說一致，因此，對於理論與實務上亦據本研究的結論提一些的建議。 關鍵詞: 沉入成本效果、規範導向論、動機系統、價格組合、套票、認知評估論 / This study utilized two experimental designs in testing consumer behavior in the usage and repurchase of bundled tickets (price bundling). In the first experiment, a traditional context was employed by using respondent regulatory focus as the moderator to test the impact of bundled ticket types on consumer usage intention. In the second experiment, a more realistic context was employed to examine consumers’ real usage and repurchase behavior with the bundle. Here in addition to using respondents’ regulatory focus as pure-moderator, study two also included bundling quasi-moderator—possession phases. The results of the first study showed that the difference in sunk cost effects caused by the two types of bundling would result in different bundling utilization intentions. Moreover, respondents within different motivation systems showed significantly different behavior patterns—promotion focus respondents were more likely to seek better gains, thus when competitors provided better alternatives, these respondents were more likely to make the switch. Prevention focus respondents, on the other hand, cared more about losses, making them more likely to remain with the original service provider. The result of the second study showed that compared with the later phase, bundling usage propensity was higher in the earlier holding phase. Moreover, different forms of bundled tickets had different extent influences on prevention focus respondents. Prevention focus respondents held that separate types caused them to have higher intentions in using bundling, but they would be relatively less likely to use bundling when they were in possession of an integrated one. However, the effect of different types of bundling on the usage behavior of promotion focus respondents was not significant. Among prevention focus respondents who were more sensitive to bundled ticket costs, there is no significant difference in their utilization of bundling from earlier to later phases. However, if the bundled tickets in possession were the integrated type, they were less likely to use the tickets in the later phase than in the earlier one. Regarding promotion focus respondents, the effect of bundled ticket form in the usage of said tickets in the two phases was not significant. In fact, no matter what form the bundling took, promotion focus respondents displayed significantly less use for the bundling in the later phase. Bundling possession forms had the direct impact on repurchasing behavior. In this regard, respondents holding integrated bundling types displayed a higher incidence of repurchase behavior. This was, however, only effective when it came to prevention focus respondents; no significant difference was found regarding promotion focus respondents. The results of this study yielded suggestions for both theoretical and practical areas. Key Words: Sunk Cost Effect, Regulatory Focus Theory, Motivation Systems, Price Bundling, Bundled Ticket, Cognitive Evaluation Theory

本研究之宗旨在於探究中國大陸對亞洲區域內國家的金融市場影響程度之變化。由過去的各國股市日報酬率資料間相關程度與政策改變間的影響結果，來觀察是否未來在兩岸政策更開放下會使中國大陸對台灣的影響程度上升，進而使國際間投資組合的風險分散效果下降。本研究自DataStream選取台灣、香港、中國大陸、泰國、印尼、新加坡、馬來西亞、菲律賓、日本以及美國等十國的股價指數日資料，以對數轉換為日報酬率後年化加以分析。選取時間自1991年7月15日(中國大陸上海證券交易所股價指數公開後)至2008年12月31日。本研究選用的方法為使用風險值(VaR; Value at Risk)的概念來取代傳統的標準差，衡量以該十國所分別組成的各投資組合風險值變動情形；以及由風險值所衍生出的Diversification Benefit與Incremental VaR的結果。發現到僅由亞洲區域國家內組成的投資組合風險分散效果逐漸下降；且效果並不如有納入區域外國家(如美國)的投資組合。接著本研究將Gaussian Copula模型放入VaR中以增加對極端值的捕捉能力，結果發現本研究所選用的指數加權移動平均法所求得之相關係數已可有效反應出各國之間的相依程度，即加入Copula的效果有限。另外藉由Copula所求得之相關係數顯示，台灣、香港對中國大陸之間的相依程度已逐漸上升，並開始出現超越美國之現象，其中又以2005年為上升趨勢的起點。最後本研究以向量自我迴歸模型(VARs)來驗證2005年前後中國大陸股市對其他亞洲區域國家的影響力是否存在結構性的改變；並再佐以變異數拆解之方法來觀察2005年前後各國家之間自發性衝擊對彼此之間的影響程度變化。研究結果發現，透過VARs可證明中國大陸對亞洲區域各國的影響力在2005年後轉變為顯著；僅對美國不存在此一現象。另外變異數拆解的結果也顯示各國之間的相依程度在2005年後有明顯的上升，中國大陸對各國的影響程度亦然。透過本研究之結論，在未來兩岸將簽訂金融監理備忘錄使整合關係提升的環境下，需提醒投資人整合關係的上升將使得以之為標的之投資組合風險分散效果下降，需作為投資策略之考量。 / The object of this research is to find out the trend of dependence and correlation between China and other Asian countries. Based on past information about the relationship between equity markets’ correlation and changes in policies, this research can make suggestions to the foreseeable future of Taiwan and China whose relationship will be more solid due to new policy. The data of this research are gathered from DataStream, which includes Taiwan, Hong Kong, China, Thailand, Indonesia, Singapore, Malaysia, Philippines, Japan and United States. Selected from 1991/07/15 (when the Shanghai SE Composite went public) to 2008/12/31, this research calculates the annualized daily return using natural logarithms of two consecutive daily index prices. This research uses Value at Risk (VaR) to measure the risk exposure of portfolios formed by ten countries, and extends to the use of Diversification Benefit and Incremental VaR. The results found out that the diversification effects of portfolio which includes only Asian countries are decreasing and inferior to the effects when cross region countries are included. The second study of this research is to combine Gaussian Copula Model with VaR to capture the effects of extreme values. Empirical results found out that the VaR using Exponentially Weighted Moving Average method is good enough for analyzing Asian stock markets. The correlation in Copula model suggests that the dependence between Taiwan and China had increased since 2005 and has the increasing trend which might overwhelm the dependence between Taiwan and United States. Final research is about using Vector Autoregressions Model (VARs) to testify is there exist any structural change of dependence before and after 2005, and using Variance Decomposition to observe the relationships between these ten countries. The results found out that there exist structural change in 2005, the post-2005 periods shows that for Asian countries the effect from China are significant and greater than pre-2005 periods.