標題: Corporate Transparency as a Defense against a Stock Price Plunge: Evidence from a Market-Crash Context
企業股價抗跌性與資訊透明度之關聯:股市崩盤情境之例證
作者: 紀麗秋
鄧誠中
陳明遠
Li-Chiu Chi
Tseng-Chung Tang
Ming-Yuan Chen
Department of Management Science
管理科學學系
關鍵字: 公司透明度;資訊揭露;股價抗跌性;股市崩盤;變數重要性定序;Corporate transparency;Information disclosure;Stock price defense;Market crash;Variable importance ranking
公開日期: 2012
摘要: 股市崩盤以及崩盤所衍生的金融感染效應為財務領域中之重要議題,但目前的相關研究論述僅侷限於股市崩盤成因之探討及現象之描述,對於崩盤引發的純粹性金融感染及股價抗跌之相關議題未有著墨。本研究是第一篇由股市崩盤情境,探討企業的透明度對其股價抗跌性影響之文章,主要的創新與貢獻性在於確立企業的資訊透明度與其股價抗跌性間的關係;此外,亦以基因演算法做為變數重要性定序技術,針對影響股價抗跌性之攸關變數進行篩選以提升模型有效性。以2003-2006年臺灣地區實證資料之研究結果發現,資訊透明度較佳的企業,在股市崩盤時確實有較好的股價抗跌表現;再者,多元迴歸分析結果指出股價抗跌性與Beta值呈現顯著負相關,但交易量和本益比兩控制變數均未達顯著水準。
Stock market crashes and the related financial contagion effects on stock price are important issues in the field of finance. Preventing a sharp plunge in stock prices in reaction to a market crash is an important risk management task. However, there has not been any discussion about how a firm can better protect its stock value in a market crash. This study, being among the first of its kind, sets out to examine the impact of the information transparency of a firm on its ability to defend against a plunge in its stock price in the specific context of a market crash, as well as to perform screening for vital variables affecting stock price defense with a genetic algorithm as the variable importance ranking technique Utilizing unique pooled firm-event data for listed firms in Taiwan over the sample period 2003-2006, the results of this study substantiate the conjecture that a firm with superior information transparency has greater ability to defend its stock price on the day of a market crash. 1n addition, multiple regression results show that stock price defense is negatively related to Beta, while trading amount and P/E ratio are not statistically significant in explaining stock price defense.
URI: http://hdl.handle.net/11536/128963
期刊: 交大管理學報
Chiao Da Mangement Review
Volume: 1
起始頁: 137
結束頁: 162
Appears in Collections:Chiao Da Mangement Review


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  1. 201206137162.pdf