以市場微結構之觀點探討財務會計準則34號公報對金融業與電子業的影響

The Impact of Statement of Financial Accounting Standards No. 34 on Financial and Electronic Industries: Evidence from Market Microstructure Perspective

財務會計準則公報第34號公報「金融商品之會計處理準則」，業已於2006年第一季起開始實施，其最主要的目的在於使公司所持有之金融商品的真實價值能夠充份反應於財務報表中。而該公報的實施是否會對證券市場產生影響？本文從市場微結構的角度切入，探討34號公報實施對於市場流動性、波動性與效率性之影響。由整體樣本與樣本分群之平均數檢定，以及二階段最小平方法的檢測結果可得知，34號公報的實施，初期雖對市場流動性與市場效率性具有負面的影響，同時促使市場波動性提高，但此或許係因新公報實施，使得公司財務報表易受金融商品的影響，增加會計盈餘之波動性所導致。然而，隨著時間經過，34號公報對於財務資訊更加透明之優點已呈現，不僅使市場流動性與市場效率性提升，市場波動性亦降低。

The Statement of Financial Accounting Standards (SFAS) No. 34, ”Accounting for Financial Instruments” has been enforced since the first season of 2006. The purpose of SFAS No.34 is to improve the accuracy of price of financial instruments held by corporations and reflect the true information in the financial reports. Will the enforcement of SFAS No. 34 affect the security markets? This study examines the effects of SFAS No. 34 on the market liquidity, volatility, and efficiency from the market microstructure viewpoint. Using the mean test of the whole sample and subsample and two-stage least squares model, we find that the enforcement of SFAS No. 34 at the beginning has a negative effect on market liquidity and efficiency. At the same time, market volatility has been increased. However, these findings may result from the enforcement of SFAS No. 34 which influences the value of financial instruments held by corporations and increases earnings volatility. Finally, as time goes by, the merit of providing more transparent information in the financial statement has been presented. Therefore, the enforcement of SFAS No. 34 not only increases market liquidity and efficiency, but also reduces market volatility.