鑒於「初次公開上市股票」(IPO)績效的研究多以已開發市場為主,較少為新興市場的相關研究,特別是近幾年更是有數十家國際企業在臺灣申請上市,以存託憑證掛牌又稱「第二上市」,進行募資。是故,本研究欲檢視在2005年放寬初次上市(櫃)掛牌首五個營業日之漲跌幅限制後,使用市場調整後報酬法和市場模型法分析臺灣證券交易所(TWSE)的84支IPO之短期績效。執於臺灣證交所之特性,科技業在日交易量及所有上市公司比例這兩項均占有主導地位,本論文遂就84個初次上市股票樣本(IPO)及再分支出66個與科技業有關樣本(IPO-TECH);除此之外,2009年開始,法令對外資等逐步放寬,吸引許多企業到臺灣發行存託憑證(TDR),因此本研究亦針對26個臺灣存託憑證的掛牌第二上市,探討此些的短期異常報酬。 資料樣本部分,在IPO方面,使用2005年至2011年間上市的84檔IPO;其中有66檔股票為IPO-TECH;在TDR部分則採2009年4月上市的「旺旺」至2011年4月上市的「晨訊科」。分別使用市場調整後報酬法和市場模型法來探討其上市後第一日到第五日是否存在異常報酬。而實證結果在兩種研究方法上具有一致性,在5%的顯著水準下,IPO、IPO-TECH、TDR上市後首日皆存在顯著的異常報酬;而僅TDR的異常報酬持續至上市後第四日;上市後第五日,IPO、IPO-TECH、TDR則皆無足夠證據拒絕虛無假,表示不存在顯著異常報酬。
Existing research on the share price performance of the initial public offering (IPO) companies has mainly focused on developed markets. Limited literature can be found for studies focusing on emerging markets. The proliferation of multinational enterprises going for IPOs or TDR offerings (also known as “second-IPO”) in Taiwan for fundraising has also been observed in recent years. This research aims to examine the short-term share price performance of post-IPO companies by analyzing a sample of 84 IPOs in the Taiwan Stock Exchange (TWSE) since the launch of the 2005 regulation relaxing the price limits within the first five days after the IPO, using Market Adjusted Return Method and Market Model Return Method. Taking into account the characteristics of the (TWSE) that the Hi-Tech sector accounts for a significant proportion of both the total stock exchange daily trading volume and the total number of listed companies, this research further analyzes the 66 IPOs related to the Hi-Tech sector (Hi-Tech IPOs) in depth. Furthermore, since 2009, regulation has gradually loosened with regard to foreign capital; this research also examines a sample of 30 second-IPOs in Taiwan (TDR) and investigates their short term abnormal returns. Looking at the sample analyzed, as for the IPO, the research deploys 84 equities which went for IPO between 2005 and 2011 and of which 64 are from the Hi-Tech sector; and as for the TDR, the researcher uses “Want Want” (issued in April 2009) and “SIM Technology” (issued in April 2011). Using Market Adjusted Return Method and Market Model Return Method respectively to analyze whether there exists any short term abnormal returns Day 1 to Day 5 after IPO. The results show that with the whole IPO sample, the Hi-Tech IPO sample and the TDR, no short term abnormal returns can be found, confirming the fairness and efficiency of the IPO pricing in Taiwan. This research concludes that the launch of the 2005 regulation relaxing the price limits the first five days after the IPO has facilitated the functioning and efficiency of the capital market in Taiwan.