本文探討市場波動度對於合併收購的影響。市場波動度分別採用台灣選擇權波動率指數以及芝加哥選擇權波動率指數加權計算，實證結果顯示出市場波動度與市場中合併收購交易宣告數量在未加入控制變數模型中呈現負向的關係，交易宣告數量也會受到前一年市場上企業之現金總持有量的影響。本文進一步分析合併收購交易特徵，如:交易天數、收購溢價、主併和被併在宣告日的累計異常報酬以及交易付款方式，並將資料分為台灣選擇權波動率指數樣本和芝加哥選擇權波動率指數樣本(兩者資料長度不同)，結果顯示市場波動率與交易天數(未加入控制變數)和主併公司累計異常報酬呈現顯著正相關，其原因分別為當市場不確定性高時，公司在評估投資項目時皆會更加地謹慎，大大地提高交易複雜性。從另一方面來觀察，未來對於主併公司的風險也就越低，該筆合併收購案也就對於主併公司越有效率；市場波動率與收購溢價和被併公司累計異常報酬呈現顯著負相關，其原因為公司評估投資項目時會更加地謹慎，出價相對保守；本文發現當市場波動度越大時，主併公司傾向採用股票支付的方式(儘管部分顯著值未達傳統標準)，主併公司希望未來面對市場對本業帶來的衝擊有較多現金部位來因應。

This article explores how market volatility affects mergers and acquisitions. The empirical results show that the number of M&A′s announcements are negatively related (without controlling for other factors). This article further analyzes the M&A′s transaction days, bid premium, the CAR of the announcement date, and the transaction payment method. The results show that the market volatility is significantly positively correlated with the number of trading days (without controlling for other factors) and the CAR of acquirers. The reason is that when the market uncertainty is high, the acquirers will be more cautious when evaluating investment projects and improving transaction complexity. From another perspective, the lower the risk to the merger companies in the future, the more efficient the mergers and acquisitions will be for the acquirers; market volatility and bid premium and the CAR of the acquirers are significantly negatively related. The reason is that the companies will be more cautious when evaluating investment projects. This paper finds that when the market volatility is greater, the acquirer tends to use stock as the payment method (in spite of insignificance at traditional levels).

論文審定書…………………………………………………………… i
中文摘要………………………………………………………………… ii
英文摘要………………………………………..……………………..... iii
第 一 章 緒論……………………………………………………….. 1
1.1研究動機及目的………………………………………….….… 1
1.2研究貢獻及差異……………………………………………….. 3
第 二 章 文獻回顧與探討……………………………………………. 5
2.1衡量不確定性之方法………………………………………….. 6
2.1.1 VIX指數(Volatility Index)……………………………… 6
2.1.2 政治不確定性指數………………………………….... 7
2.2合併收購數量上的變化之文獻回顧………………………… 8
2.3合併收購交易天數之文獻回顧……………………………… 9
2.4收購溢價之文獻回顧……………………………………… 10
2.4.1 收購溢價成因:綜效效應(Synergy Effects)……………... 10
2.4.2 收購溢價成因:合併收購案的定價……………………... 11
2.5 主併公司及目標公司之異常報酬之文獻回顧…………… 12
2.6合併收購交易方式之文獻回顧…………………………….... 13
2.7 合併收購浪潮文獻回顧……………………………………... 14
2.7.1 合併收購浪潮成因:新古典主義……………………… 14
2.7.2 合併收購浪潮成因:錯誤估值…………………………... 15
第 三 章 研究設計………………………………………………… 16
3.1研究假說……………………………………………………… 16
3.2資料來源及敘述統計…………………………….................... 18
3.3資料來源及敘述統計…………………………….................... 23
第 四 章 實證分析………………………………………………… 30
4.1市場波動度與合併收購交易數量之關係…………………… 31
4.2市場波動度與合併收購交易天數之關係……….................... 34
4.3市場波動度與合併收購收購溢價之關係……….................... 37
4.4市場波動度與合併收購股東價值之關係…………………… 40
4.5市場波動度與合併收購支付方式之關係………………… 49
第 五 章 結論….…………………………………………………… 51
參考文獻……………………………………………………….……… 52

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