| 摘要: | 過去許多文獻指出，鄰近掛牌公司之交易人可能具有資訊優勢（例如：Nieuwerburgh and Veldkamp, 2009; Kang et al., 2021）。然而，亦有文獻指出許多投資人有在地偏誤(例如：Hong et al., 2005; Huberman, 2001)。本研究嘗試以台灣證券市場之特殊資料，即分布於全台灣七百餘家證券商分公司據點之成交資料，首先計算於中華民國櫃檯買賣中心上櫃之每日買賣單失衡資料，再以證券商分公司據點地址與上櫃公司地址之距離為在地性(locality)之代理變數，透過資本資產定價模式(CAPM)模型探討地區證券商是否具有地緣優勢抑或是在地偏誤。藉由透過研究公司治理變數中，公司董監、高階主管及大股東，其對自家公司股價的影響力為何?本研究亦有有趣的發現。
本研究結果除了將有助於瞭解新興市場投資人之交易行為以外，也將為市場投資人提供另一項投資決策之參考指標。
Much of the literatures in the past suggests that traders close to listed companies may have an informational advantage (Example: Nieuwerburgh and Veldkamp, 2009；Kang et al., 2021). However, the literature also points out that many investors have local bias (Example: Hong et al., 2005；Huberman, 2001). Our research attempts to use the special data of Taiwan's securities market, that is, the transaction data of more than 700 branches of securities firms located throughout in Taiwan. First, we calculate the order imbalance data of daily orders listed on the OTC counter in the Republic of China, then take the distance between the address of the branch office of the securities firm and the address of the OTC company as the proxy variable for lo-cality, and we use the capital asset pricing model (CAPM), this paper explores wheth-er regional securities firms have geographical advantages or local biases. By research-ing the corporate governance variables, what is the influence of company directors, senior exectives and major shareholders on their own company’s stock price? Our re-search also have interesting findings.
The results of this research will not only help to understand the trading behavior of emerging market investors, but also provide market investors with another refer-ence indicator for investment decisions. |
