申請上市櫃過程中股票價格之變化：來自興櫃市場的實證; The Return of Stocks during IPO Period: Evidence of Emerging Stock Market in Taiwan

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题名:	申請上市櫃過程中股票價格之變化：來自興櫃市場的實證;The Return of Stocks during IPO Period: Evidence of Emerging Stock Market in Taiwan
作者:	陳禮隆;Li-lung Chen
贡献者:	財務金融學系碩士在職專班
关键词:	興櫃股票;超額報酬;excess return;Emerging Stock
日期:	2011-07-05
上传时间:	2012-01-05 15:07:46 (UTC+8)
摘要:	本本文分為五個事件日來比較興櫃公司送件申請上市(櫃)日至掛牌日的價格變化，分別是：(1)上市(櫃)送件申請日；(2)證券主管機關審議委員會日;(3)證券主管機關上市(櫃)董事會日；(4)證期局核准上市(櫃)契約日；(5)上市(櫃)掛牌日。實證結果顯示：除了事件(3)證券主管機關上市(櫃)董事會日外，其餘四個事件日當天都具有顯著性的超額報酬，掛牌日當日為負的超額報酬，其餘三個事件日則具有正的超額報酬。此外，本文也分為七個區間比較買進並持有的超額報酬，分別是：(1)送件申請日前十天到送件申請日前一天，(2)申請送件日後一天到證券主管機關上市(櫃)審議委員會日前一天，(3)證券主管機關上市(櫃)審議委員會日後一天到上市(櫃)董事會日前一天，(4)證券主管機關上市(櫃)董事會日後一天到證期局核准日前一天， (5)證期局核准契約日後一天到上市(櫃)掛牌日前一天， (6)上市(櫃)掛牌日第一天至第五天 (7)證期局核准日到上市(櫃)日第五天，並計算送件申請前十天至掛牌日後十天的累積超額報酬。實證結果顯示：區間(2)申請送件日後一天到證券主管機關上市(櫃)審議委員會日前一天及區間(5)證期局核准日後一天到上市(櫃)掛牌日前一天，具有較高的超額報酬，投資人獲得的報酬也最高；另外也驗證了興櫃股票自送件申請上市(櫃)到掛牌的過程中，股價會上漲。最後在新股掛牌股價的探討，我們的結論是興櫃公司掛牌後十天內並無蜜月期，推論是1.興櫃市場收盤價位可能失真，2.承銷階段新投資者的加入，故興櫃公司掛牌前後的股價最高點落於興櫃市場階段。 This thesis compares the change of price of initial public offerings (IPOs) stock by 5 event days. The 5 event days include: (1) the apply day to TSEC or OTC, (2) the day the application approved by Examination Committee of TSEC or OTC, (3) Taiwan Stock Exchange or OTC board of directors meeting day for listing approval, (4) the contract execution day of Securities and Futures Bureau listing approval, and (5) the listed day in TSEC or OTC. In this research, we found the result that, except the event day (3) Taiwan Stock Exchange or OTC board of directors meeting day for listing approval, there is significant excess return on all of 4 other event days. On the event day (5) the listed day in TSEC or OTC, the excess return is significant negative, and on the other 3 event days the excess return is significant positive. Moreover, we examine the excess returns of buy-and-hold strategy in 7 following periods: (1) from the tenth day before the apply day to the day before the apply day, (2) from the day after the apply day to the day before the application approved, (3) from the day after the application approved to the day before Taiwan Stock Exchange or OTC board of directors meeting day for listing approval, (4) from the day after Taiwan Stock Exchange or OTC board of directors meeting day for listing approval to the day before the contract execution day of Securities and Futures Bureau listing approval, (5) from the day after the contract execution day of Securities and Futures Bureau listing approval to the day before the listed day in TSEC or OTC, (6) from the listed day to the fifth day after the listed day, and (7) from the contract execution day of Securities and Futures Bureau listing approval to the fifth day after the listed day. We also examine the excess return for the period from the tenth day before the apply day to the tenth day after the listed day in TSEC or OTC. The result indicates that there is higher excess returns in period (3) and (5) than in the other periods and the price of IPOs stock trend up from the apply day to the listed day. Finally, we conclude that there is no honeymoon effect of IPOs stock within 10 days after the listed day. Our reasoning is as follows: (1) the closing price on Emerging Stock Market is probably distorted; (2) new investors buy IPOs stock on underwriting stage, therefore the highest price of IPOs stock is found on Emerging Stock Market.
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