本研究旨在探討全體員工流動率與股價崩盤風險之關聯性，藉以釐清人力資本變動如何反映企業資訊環境與未來極端下跌風險。在研究方法上，本文採用多元迴歸模型進行實證分析，並以負條件報酬偏態(Negative Conditional Return Skewness, NCSKEW)與漲跌波動率比(Down-to-up Volatility, DUVOL)作為股價崩盤風險之代理變數，以檢驗員工流動率對資本市場風險之解釋效果。本研究進一步探討員工特徵與公司治理對員工流動率與股價崩盤風險之調節效果。
實證結果顯示，員工流動率對股價崩盤風險之影響具有明顯產業差異，其正向效果主要存在於高度依賴人力資本之科技業。進一步分析發現，員工平均年資、平均年齡及教育程度皆未產生顯著調節效果；獨立董事比例與股權集中度則具有顯著正向調節作用，當公司治理機制較完善或股權集中度較高時，市場對員工流動所隱含之風險訊號反應更為敏感，進而強化其對股價崩盤風險之影響。此外，納入異質風險作為控制變數後，主要實證結果仍大致一致，顯示本文結論具一定穩健性。

This study investigates the relationship between aggregate employee turnover and stock price crash risk, aiming to clarify how human capital dynamics reflect a firm’s information environment and its future extreme downward risk. Using a multiple regression model for empirical analysis, this study employs the negative skewness of stock returns (NCSKEW) and the down-to-up volatility ratio (DUVOL) as proxies for stock price crash risk to examine the explanatory power of employee turnover on capital market risk. Furthermore, the research explores the moderating effects of employee characteristics and corporate governance on the nexus between employee turnover and crash risk.
Empirical results demonstrate that the impact of employee turnover on stock price crash risk exhibits significant industrial heterogeneity, with a pronounced positive effect observed primarily in the technology sector, which is heavily reliant on human capital. Further analysis reveals that individual employee characteristics, average tenure, age, and educational attainment, do not exert significant moderating effects. Conversely, the proportion of independent directors and ownership concentration show significant positive moderating roles; that is, in firms with more robust governance or a higher degree of ownership concentration, the market is more sensitive to the risk signals latent in employee turnover, thereby intensifying its impact on crash risk. Additionally, the results remain consistent after incorporating idiosyncratic risk as a control variable, indicating the robustness of the conclusions.

目錄
論文審定書 ....................................................................................................................... i
誌謝 .................................................................................................................................. ii
摘要 ................................................................................................................................. iii
Abstract ............................................................................................................................ iv
目錄 .................................................................................................................................. v
表目錄 ............................................................................................................................ vii
第一章 緒論 .................................................................................................................... 1
第一節 研究背景與動機 ............................................................................................ 1
第二節 研究目的 ........................................................................................................ 4
第三節 研究結果 ........................................................................................................ 4
第四節 研究貢獻 ........................................................................................................ 5
第五節 研究架構 ........................................................................................................ 6
第二章 文獻探討與研究假說 ........................................................................................ 7
第一節 員工流動 ........................................................................................................ 7
第二節 股票崩盤風險 ................................................................................................ 9
第三節 員工特徵與公司治理 .................................................................................. 10
第四節 研究假說 ...................................................................................................... 13
第三章 研究方法 .......................................................................................................... 16
第一節 資料來源與研究期間 .................................................................................. 16
第二節 變數定義 ...................................................................................................... 17
第四章 研究結果 .......................................................................................................... 26
第一節 敘述性統計與相關性分析 .......................................................................... 26
第二節 員工流動率與股價崩盤風險 ...................................................................... 31
第三節 員工流動率與股價崩盤風險 – 科技業與非科技業 ................................ 32
第四節 員工流動對股價崩盤風險 – 科技業員工年資之調節效果 .................... 36
第五節 員工流動對股價崩盤風險 – 科技業員工年齡之調節效果 .................... 37
第六節 員工流動對股價崩盤風險 – 科技業員工教育程度之調節效果 ............ 39
第七節 員工流動對股價崩盤風險 – 科技業獨立董事比例之調節效果 ............ 40
第八節 員工流動對股價崩盤風險 – 科技業股權集中度之調節效果 ................ 42
第五章 穩健性測試 ...................................................................................................... 44
第一節 員工流動率與股價崩盤風險 – DUVOL穩健性測試 .............................. 44
第二節 DUVOL穩健性測試 – 科技業之調節效果 ............................................. 46
第四節 異質風險穩健性測試 – 科技業與非科技業 ............................................ 51
第五節 異質風險穩健性測試 – 科技業員工年資與年齡之調節效果 ................ 55
第六節 異質風險穩健性測試 – .............................................................................. 57
科技業員工教育程度、獨立董事比例與股權集中度之調節效果 ........................ 57
第六章 結論與建議 ...................................................................................................... 59
第一節 結論 .............................................................................................................. 59
第二節 未來研究建議 .............................................................................................. 60
參考文獻 ........................................................................................................................ 61

表目錄
表4-1 產業別樣本佔比統計表 .................................................................................. 28
表4-2 敘述性統計表 .................................................................................................. 29
表4-3 相關性係數表 .................................................................................................. 30
表4-4 員工流動對股價崩盤風險的影響 .................................................................. 32
表4-5 員工流動對股價崩盤風險的影響-科技業..................................................... 33
表4-6 員工流動對股價崩盤風險的影響-非科技業................................................. 35
表4-7 員工流動對股價崩盤風險的影響-科技業員工年資之調節效果................. 37
表4-8 員工流動對股價崩盤風險的影響-科技業員工年齡之調節效果................. 38
表4-9 員工流動對股價崩盤風險的影響-科技業員工教育程度之調節效果......... 40
表4-10 員工流動對股價崩盤風險的影響-科技業獨立董事比例之調節效果....... 41
表4-11 員工流動對股價崩盤風險的影響-科技業股權集中度之調節效果 ........... 43
表4-12 員工流動對股價崩盤風險的影響 – DUVOL穩健性測試 ........................ 46
表4-13 DUVOL穩健性測試 – 科技業之調節效果 ................................................ 48
表4-14 員工流動對股價崩盤風險的影響 – 異質風險穩健性測試 ...................... 51
表4-15 異質風險穩健性測試 – 科技業與非科技業 .............................................. 54
表4-16 異質風險穩健性測試 – 科技業員工年資與年齡之調節效果 .................. 56
表4-17 異質風險穩健性測試 – 科技業員工教育程度、獨立董事比例與股權集
中度之調節效果 .................................................................................................. 58

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