2009-08-012024-05-17https://scholars.lib.ntu.edu.tw/handle/123456789/689581摘要：本篇論文所探究的議題包括銀行間競爭、綜合銀行制度、公司治理效率，以及證券投機交易，並且討論這些原因互動所造成的股票市場表現（流動性、波動度，以及資訊效率性）。在我們所設想的經濟體系中，有一間尋求外部融資的公司，事前必須進行投資計劃，而計劃結果將決定其公司的體質。體質好的公司將有效率的營運，並且採行低風險的投資計劃；體質差的公司將進行資產替代的運作。此外，只有借出該公司貸款的銀行，可以藉由事前付出監督成本，亦即銀行可以決定是否付出成本來了解該產業，以減輕體質差的公司期中進行資產替代的問題。當此後該產業有融資需求的借款者陸續光臨，銀行將享有資訊獨占的好處。隨著銀行家數增加，每家銀行可貸出的金額均下降，使得扮演監督角色的銀行，其借貸給同產業新公司所能享受的訊息租降低。因此銀行間的競爭會降低銀行的監督功能，造成第一間借款公司在事前為了改善其體質而過度投資的結果。 接著導入股票交易與有優勢資訊的投機交易人。我們證明，當存在投機股票交易時，均衡股價過程會提供新訊息給整個銀行產業，因此損害到監督銀行所能獲得的資訊獨占好處。 最後，我們以一個連續時間動態交易模型，來檢視銀行間競爭與綜合銀行制度對債券以及股票交易的影響。而公司證券的均衡價格決定於銀行間競爭強度以及綜合銀行制度被規定管理的程度。我們證明銀行間競爭增加，將使得債券市場以及股票市場有較高的市場深度，而且投機交易人可得到較高的超額獲利；以及限制條件更嚴格的防火牆制度，將同時造成債券市場以及股票市場較低的市場深度，而且投機交易人可得到的超額獲利亦較低。 <br> Abstract: This paper investigates the relationships among bank competition, universal banking, corporate efficiency, speculative trading in corporate securities, and the resulting stock market performance. We consider an economy where firm seeking external financing must make an ex-ante investment that affects the interim quality of the firm. A high quality firm will operate efficiently and adopt a low-risk project, but a low-quality firm will operate for asset-substitution activities. Only a lending bank can alleviate the low-quality firm`s interim asset-substitution problem by exerting an ex-ante monitoring effort, which also represents an investment in sector specialization, so that a monitoring bank may enjoy information monopoly when lending to a borrower from the same sector subsequently. As the number of banks increases, the loan making capacity of each bank falls which reduces the probability that a monitoring bank may enjoy its information rent when lending to a new borrower. Thus bank competition reduces bank monitoring, which may encourage the first borrowing firm to over-invest in the ex-ante quality enhancement. We then introduce stock trading and allow endogenous entry of informed speculators. With speculative stock trading, the equilibrium stock price process provides new information to the entire banking industry, and hence undermines the information monopoly enjoyed by the monitoring bank. Finally, we examine the impacts of bank competition and universal banking on bond and stock pricing in a continuous-time sequential trade model. The equilibrium prices of those corporate securities depend on the intensity of bank competition and how severely universal banking is regulated. We show that enhanced bank competition results in a higher market depth, and also a higher abnormal return for the informed speculators; and that a more restrictive firewall regulation results in a lower market depth, and also a lower abnormal金融機構信用市場競爭市場微結構一次性借貸銀行監督內部人交易連續時間財務資產評價Financial InstitutionsCredit Market CompetitionMarket Micro-structureArm’s-Length DebtBank MonitoringInsider TradingContinuous-time FinanceAsset Pricing