亞洲公司治理評鑑與各國股價指數之關係

The Relationship Between the CG Watch Report and Asian Stock Indices

陳勝源(Shen-Yuan Chen)；李坤璋(Kuen-Chang Lee)；崔靜菱(Ching-Ling Tsui)；王昱凱(Yu-Kai Wang)

公司治理 ； 股價指數 ； 事件研究法 ； 異常報酬 ； 亞洲公司治理協會 ； Corporate governance ； Stock index ； Event study ； Abnormal returns ； Asian Corporate Governance Association

會計審計論叢

7卷1期（2017 / 06 / 01）

105 - 132

繁體中文

本文以事件研究法探討亞洲公司治理協會(The Asian Corporate Governance Association, ACGA)所發佈的公司治理評鑑報告(CG Watch)與亞洲各國股價指數間的關聯性。實證結果發現：評鑑報告所釋出的好消息(評分上升)或壞消息(評分下降)，在事件日的前、後各國股價指數並無顯著的異常報酬產生；若進一步分析該評鑑的五項構面與各國股價指數報酬率之關係，結果發現五項評鑑構面分數與各國股價指數亦無顯著之關聯。最後本文以臺灣股票市場為例，探討機構投資者是否因評鑑結果而改變投資行為，實證顯示三大法人或外資在評鑑報告發佈日前、後各一年之買賣超淨額並無顯著的差異。本文研究結果說明亞洲公司治理協會所發佈之公司治理評鑑報告與亞洲各國股價指數報酬率間並無明顯之關聯性，而該評鑑對臺灣之機構投資者尚不具投資訊息內涵。

The purpose of this study is to examine the relationship between the CG Watch report and stock indices in 11 Asian countries by event study. The empirical results show that no matter the CG Watch report released good news (scores increase) or bad news (scores decrease), there are no significant abnormal returns in each country's stock indices, neither before nor after the event days. There are also no significant differences in stock indices' returns between the past and next year of the reports released dates. Further, we found there is insignificant correlation between the indices’ returns and five component factors adopted in the reports. Finally, take Taiwan stock market as an example, we examined the effect of the CG Watch report on investment decision of the institutional investors. The yearly amounts of net buying/selling were no significant change before and after CG Watch reports’ release. We conclude there is no significant relationship between CG Watch report and index returns among Asian countries and CG Watch contains no information content for Taiwan institutional investors.

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