摘要
本研究之目的在實證測試具有外生性權益融資衝擊的有利的股市自由化是否能減低融資限制？以台灣自1991年1月份開始之首次股市自由化(Equity Market Liberalization，EML)之有利經驗為研究對象，提供新的實證資料以測試台灣股市自由化，是否可以協助台灣不同融資類型之上市公司解除或降低融資限制。本研究利用Fazzari, Hubbard, and Petersen's (1988)之方法，使用差異中之差異法(Difference-in-Difference，DID) 迴歸，檢測台灣股市不同融資類型上市公司在自由化前與自由化後之投資對現金流量敏感度(investment-cash flow sensitivity)的影響效果。本文預期當地上市公司之融資限制，將在有利的股市自由化之後得到改善。實證發現依賴股票籌資公司之投資對現金流量敏感度，在股市自由化之前顯著為正數；而在自由化之後顯著下降。而此現象對於依賴外部股權融資(equity-dependent firm)的公司影響最大，但是對於非依賴外部股權融資(non-equity-dependent firm)公司則不然，因為這一類的公司並不依賴外部股權融資來支應資本投資所需資金。本文也發現，最可能遭遇融資限制的無發放股利(non-dividen-payiny firm)之公司的實證結果，在自由化後的投資對現金流量敏感度顯著下降，與依賴股票籌資公司的實證有相同的結果。但發放股利的公司(dividen-payiny firm)則無此現象。
以下議題是值得深入的研究的方向:台灣第一次的股市自由化否為台灣企業帶來投資熱潮？台灣第一次的股市自由化是否與過去二十年台灣經濟高成長有關的呢？

Abstract
This study aims to test whether favorable equity-market liberalization (EML), an exogenous supply shock to equity-financing channel, can reduce financing constraints? Using Taiwan’s first round of EML in January 1991 with a significant reduction in expected returns, new empirical data is provided to test if EML in Taiwan eliminates or reduces financing constraints across different types of listed domestic companies. This study uses the Fazzari, Hubbard, and Petersen (1988) measure of financing constraints and employs a differences-in-differences approach to compare the investment-cash flow sensitivities of different constrained types of firms before and after EML. This paper expects the financing constraints on locally listed firms to be mitigated after favorable EML. This equity-channel effect induced by EML should concentrate on equity-dependent firms which rely on external equity to finance their capital investments, but not for non-equity-dependent ones which are not dependent on external equity to finance their investments.
The following questions will be worthy studying for future researches: Does
Taiwan’s first EML cause investment booms for Taiwanese firms? Is Taiwan’s first EML related to the high growth economy that Taiwan has experienced in the past two decades?

TABLE OF CONTENTS
審定書 i
摘要 ii
Abstract iii

Chapter 1 Introduction 1
1.1 The Purpose of the study 1
1.2 Motives for the study 3
1.3 Why is equity market liberalization in Taiwan a good case for this study 7
1.4 Contribution to the literature 9
1.5 The Structure of the paper 13

Chapter 2 Literature review 15
2.1 Domestic literatures 15
2.2 Foreign literatures 17

Chapter 3 Data 25
3.1 Data source and sample selection 25
3.2 Summary statistics 27
3.3 Distinguishing between equity-dependent firms and
non-equity-dependent firms 28
3.4 Distinguishing between financially-constrained firms and
unconstrained firms 31

Chapter 4 Empirical results 35
4.1 Baseline results 35
4.2 Robustness test 44
Chapter 5 Conclusions 52
5.1 Conclusions 52
5.2 Future Research and Feasible Directions 53

References 54

LIST OF TABLES
Table 3-1 Summary statistics 28
Table 3-2 Comparison of equity-dependent versus
non-equity-dependent firms in terms of firm characteristics 30
Table 3-3 Comparison of constrained and unconstrained firms
in terms of firm characteristics 32
Table 4-1 Comparison of constrained and unconstrained firms
in terms of firm characteristics 39
Table 4-2 Comparison of constrained and unconstrained firms
in terms of firm characteristics 43
Table 4-3 Comparison of constrained and unconstrained firms
in terms of firm characteristics 45
Table 4-4 Comparison of constrained and unconstrained firms
in terms of firm characteristics 49
Table 4-5 Comparison of constrained and unconstrained firms
in terms of firm characteristics 50

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