家族控股集團與股票報酬共變性之實證研究

Family Controlled Groups and Return Covariation in Taiwan Stock Market

10.6226/NTURM1998.9.1.25

葉銀華(Yin-Hua Yeh)

家族控股 ； 集團企業 ； 股票報酬變動性 ； Family control ； Return Covariation ； Taiwan Stock Market

臺大管理論叢

9卷1期（1998 / 12 / 01）

25 - 49

繁體中文

有關影響股票報酬共變性的因素，除了市場因素外，還包括產業因素與公司特性因素。然而同一集團之上市公司，以相互持股結合的方式創造公司間利潤的關聯性，和以互為董事結合的方式獲得財務調配與資源整合等效果，讓市場投資者將這些公司視為同質集團。臺灣上市集團相對於美國與日本而官，最明顯的特徵為家族成員握有決定性的股權比率，而且普遍位居各公司之董事與高階管理者，此稱為家族控股集團。 本文的實證結果發現：(1)在控制市場因素後，集團企業因素與產業因素為影響股票報酬共變性的重要來源。(2)家族集團金業因素對股票報酬共變性的影響程度比產業因素強。(3)家族集團上市公司間相互持股比率或家族控股比率愈高，其股票報酬共變性愈強。(4)台灣證券市場家族控股因素對股票報酬共變性的影響程度比香港市場強。(5)集群分析也顯示同一集團全業控制的股票報酬具有同質性並形成同一集群，特別是家族集團。因此，投資者在建構投資組合時，不可輕忽家族控股集團因素，才能達到分散風險的目的。

After removing the influence of overall market, industry and corporate groups control emerges as important extra-market sources of the stock return covariation. Corporate groups control over a numbers of companies can be achieved both through interlocking stock holdings and through interlocking directorates. In Taiwan stock market, stock ownership is relatively highly concentrated in the hands of a few institutions and ultimately, a few wealthy families. In addition to share ownership, family company is said to be under family control. Companies controlled by the same family are said to be in the same ”family group”. The empirical results of this paper suggest: (1) Stock returns of companies under the control of the same family or corporate groups tend to covary strongly and form homogeneous groups. (2) The influencing of the family groups effect to the covariation of stock return is stronger than the industry groups effect. (3) The higher percentage of the family control stock holding, the stronger covariaion of stock returns between the family groups. (4) The results of cluster analysis also corroborate the above statements. An implication of the paper is that, in construction a portfolio, investors must not overlook the importance of classifying the stocks by family control. Specifically, investors would have to diversify their portfolio outside a family group in order to avoid the return covariation of homogeneous family stocks.

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