若公司股票報酬的變異大多被市場報酬與產業報酬所解釋，股票報酬同步性越高，公司特有資訊反應在股票報酬的比例降低。台灣上市公司之最終控制者大多為家族成員，而控制股東最終控制權與現金流量請求權發生偏離之情形也普遍存在，當控制股東所擁有的股權超過一定比例時，可能會為了自身的利益而隱匿與公司價值有關之資訊，進而使股票市場上資訊透明程度降低，因此本文欲探討台灣上市公司股權結構與股票報酬同步性之間的關聯性，並進一步分析家族與非家族企業與股票報酬同步性之間的關聯性是否有異。本文以台灣上市公司為研究對象，樣本期間為2001至2016年，實證結果發現當控制股東最終控制權與現金流量請求權發生偏離時，股票報酬同步性會提高，且當公司為非家族企業時，該正向關係更為明顯。另外，當機構投資人持股比例越高或公司為公股主導時，股票報酬同步性會隨之降低。

If the variation of stock return is mostly explained by market return and industrial return, stock price synchronicity increases but the proportion of stock return reflecting firm-specific information decreases. In Taiwan, most of the listed firms are ultimately controlled by family members while there is also a general separation between the ultimate control rights and cash flow rights. When the ownership of controlling shareholders exceeds a certain level, they may prefer to conceal firm-specific information in order to gain more private profits. However, the concealment may reduce the information transparency in stock market. Therefore, we want to examine the relationship between ownership structure of the listed firms and the stock price synchronicity in Taiwan. In addition, we want to further examine whether there is any difference for the relationship between family business and non-family business. We take the listed firms in Taiwan as our sample and the sample period is from 2001 to 2016. The empirical results show that stock prices are more synchronous when the ultimate control rights of controlling shareholders separate from the cash flow rights while this positive correlation becomes stronger when firm is non-family business. Besides, stock price synchronicity decreases with the ownership of institutional investors or when firm is controlled by government.

論文審定書 i
摘要 ii
Abstract iii
目錄 iv
表次 v
第一章 緒論 1
第二章 文獻回顧與探討 3
第三章 研究方法 7
一、資料來源與樣本選取 7
二、實證模型與分析方法 9
第四章 實證結果 10
一、敘述統計與相關係數檢定 10
二、股權結構與股票報酬同步性迴歸分析結果 15
三、家族與非家族企業之股權結構與股票報酬同步性迴歸分析結果 17
四、機構投資人對股票報酬同步性的影響之迴歸分析結果 20
五、穩健性檢驗 24
第五章 結論 26
參考文獻 27

丁秀儀與王銘駿，2011。機構投資人與股票報酬同步性：由市場、產業與公司特有資訊層面探討，經濟與管理論叢，第7卷第2期，285-308。
王元章與張椿柏，2011。從核心代理問題的角度探討股權結構，董事會特性對公司價值之影響，證券市場發展季刊，第23卷第2期，131-174。
李春安、吳欽杉與葉麗玉，2003。所有權結構與公司非法行為關係之研究:以台灣股票上市公司為例，證券市場發展季刊， 第14 卷第4 期，75-138。
周行一、陳錦村與陳坤宏，1996。家族持股、聯屬持股與公司價值之研究，中國財務學刊，第4 卷第1 期，115-139。
高蘭芬、陳振遠(Roger C. Y. Chen)與李焮慈，2006。資訊透明度及席次控制權與現金流量權偏離對公司績效之影響－以台灣電子業為例，台灣管理學刊，第6卷第2期，81-104。
Agrawal A., and Mandelker, G. N. (1990). large shareholders and the monitoring of managers: The case of antitakeover charter amendments. The Journal of Financial and Quantitative Analysis, 25(2), 143-161.
An, H., and Zhang T. (2013). Stock price synchronicity, crash risk, and institutional investors. Journal of Corporate Finance, 21, 1-15.
Attig, N., Fong, W.-M., Gadhoum, Y., and Lang, L.H.P. (2006). Effects of large shareholding on information asymmetry and stock liquidity. Journal of Banking & Finance, 30, 2875-2892.
Ball, R. (2001). Infrastructure requirements for an economically efficient system of public financial reporting and disclosure. Brookings Papers on Financial Services 2001, 127-182.
Balsam, S., Bartov, E., and Marquardt, C. (2002). Accruals management, investor sophistication, and equity valuation: Evidence from 10-q filings. Journal of Accounting Research, 40, 987-1012.
Bartov, E., Radhakrishnan, S., and Krinsky, I. (2000). Investor sophistication and patterns in stock returns after earnings announcements. The Accounting Review, 75, 43-63.
Bertrand, M., Mehta, P., and Mullainathan, S. (2002). Ferreting out tunneling: An application to Indian business groups. The Quarterly Journal of Economics, 117, 121-148.
Boubaker, S., Mansali, H., and Rjiba, H. (2014). Large controlling shareholders and stock price synchronicity. Journal of Banking and Finance, 40, 80-96.
Chan, K. H., Lin, K. Z., and Mo, P. L. (2006). A political economic analysis of auditor reporting and auditor switches. Review of Accounting Studies, 11, 21-48.
Chan, K., and Hameed, A. (2006). Stock price synchronicity and analyst coverage in emerging markets. Journal of Financial Economics, 80(1), 115-147.
Claessens S., Djankov S., and Lang L. H. P. (2000) The separation of ownership and control in East Asian Corporations. Journal of Financial Economics, 58, 81-112.
Claessens S., Djankov S., Fan J. P. H., and Lang L. H. P. (2002) Disentangling the incentive and entrenchment effects of large shareholdings. Journal of Finance, 57(6), 2741-2771.
Durnev, A., Morck, R., and Yeung, B. (2004). Value-enhancing capital budgeting and firm specific stock return variation. Journal of Finance, 59, 65-105.
Durnev, A., Morck, R., Yeung, B. and Zarowin, P. (2003). Does greater firm-specific return variation mean more or less informed stock pricing? Journal of Accounting Research, 797-836.
Eng L. L., and Mak Y. T. (2003). Corporate governance and voluntary disclosure. Journal of Accounting and Public Policy, 22(4), 325-345.
Fernandes, N., and Ferreira, M. A. (2008). Does international cross-listing improve the information environment? Journal of Financial Economics, 88, 216-244.
Fernandes, N., and Ferreira, M. A. (2009). Insider trading laws and stock price informativeness. Review of Financial Studies, 22, 1845-1887.
Gul, F. A., Kim, J. B., and Qiu, A. A. (2010). Ownership concentration, foreign shareholding, audit quality, and stock price synchronicity: Evidence from China. Journal of Financial Economics, 95, 425-442.
Haggard, K., Martin, X., and Perreira, R. (2008). Does voluntary disclosure improve stock price informativeness? Financial Management, 37, 747-768.
Hutton, A.P., Marcus, A.J., and Tehranian, H. (2009). Opaque financial reports, R2, and crash risk. Journal of Financial Economics, 94(1), 67-86.
Jiang, L., and Kim, J. B. (2004). Foreign equity ownership and information asymmetry: Evidence from Japan. Journal of International Financial Management &Accounting, 15, 185-211.
Jin, L., and Myers, S. (2006). R2 around the world: New theory and new tests. Journal of Finance, 79, 257-292.
Johnson, S., La Porta, R., Lopez-de-Silanes, F., and Shleifer, A. (2000). Tunneling. The American Economic Review, 90, 22-27.
Kang, J. K., and Stulz, R. (1997). Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan. Journal of Financial Economics, 46, 3-28.
Kim, J. B., and Cheong, H. Y. (2015). Foreign versus domestic institutional investors in emerging markets: Who contributes more to firm-specific information flow? China Journal of Accounting Research, 8(1), 1-23.
Kim, J. B., and Shi, H. (2009). International financial reporting standards, analyst following, institutional infrastructure, and stock price synchronicity. City University of Hong Kong and Fudan University, Unpublished working paper.
Kim, J. B., and Shi, H. (2012). Voluntary IFRS adoption, analyst coverage, and information quality: International evidence. Journal of International Accounting Research, 11, 45-76.
Kim, J. B., and Yi, C. H. (2006). Ownership structure, business group affiliation, listing status, and earnings management: Evidence from Korea. Contemporary Accounting Research, 23, 427-464.
King, B., (1966). Market and industry factors in stock price behavior. Journal of Business, 39(1), 139-190.
La Porta, R., Lopez-de-Silanes F., and Shleifer, A. (1999). Corporate ownership around the world. Journal of Finance, 54(2), 471-517.
La Porta, R., Lopez-de-Silanes F., Shleifer A., and Vishny, R. (1998). Law and finance. Journal of Political Economy, 106(6), 1113-1155.
La Porta, R., Lopez-de-Silanes F., Shleifer A., and Vishny, R. (2000). Investor protection and corporate governance. Journal of Financial Economics, 58, 3-27.
Mak, Y. T., and Li, Y. (2001). Determinants of corporate ownership and board structure: Evidence from Singapore. Journal of Corporate Finance, 7 (3), 235–256.
Morck, R., Yeung, B., and Yu, W. (2000). The information content of stock markets: Why do emerging markets have synchronous stock price movements? Journal of Financial Economics, 58, 215-260.
Ntow-Gyamfi, M., Bokpin, G. A., and Gemegah, A. (2015). Corporate governance and transparency: Evidence from stock return synchronicity. Journal of Financial Economic Policy, 7(2), 157-179.
Pindyck, R. S., and Rotemberg, J. J. (1993). The comovement of stock prices. The Quarterly Journal of Economics, 108, 1073-1104.
Piotroski, J., and Roulstone, D. (2004). The influence of analysts, institutional investors, and insiders on the incorporation of market, industry, and firm-specific information into stock prices. Accounting Review, 79, 1119-1151.
Roll, R. (1988). R-squared. Journal of Finance, 43(3), 541-566.
Schipper, K. (1989). Commentary on earnings management. Accounting Horizons, 3(4), 91-102.
Shleifer, A., and Vishny, R. W. (1997). A survey of corporate governance. Journal of Finance, 52(2), 737-783.
Tas, O., and Tan, S. D. (2016). Corporate governance, foreign ownership and stock price synchronicity: Evidence from Borsa Istanbul. Journal of Economics Finance and Accounting, 3(2), 156-165.
Vo, X. V. (2017). Do foreign investors improve stock price informativeness in emerging equity markets? Evidence from Vietnam. Research in International Business and Finance, 42, 986-991.
Wurgler, J. (2000). Financial markets and the allocation of capital. Journal of Financial Economics, 58, 187-214.