台灣上市(櫃)公司發行全球存託憑證前後股價行為之研究

Price Behavior of Stocks around Global Depositary Receipts Issued by Taiwan Listed Companies

呂恒賢(Hengxian Lu)

指導教授 ： 顧廣平

淡江大學/商管學院/財務金融學系碩士在職專班/碩士(2021年)

https://doi.org/10.6846/TKU.2021.00117

摘要

本研究針對1992年至2018年間，曾發行全球存託憑證之台灣上市(櫃)公司為樣本，採事件研究法探討發行全球存託憑證之公告日和定價日前後，其普通股股票是否存在顯著異常效果，並分別針對不同市場產業別及增資率子樣本進行比較分析。
全部樣本結果顯示台灣上市(櫃)公司普通股股價在發行存託憑證公告日前存在顯著的正向異常反應，以及在發行存託憑證定價日後存在顯著的負向異常反應。至於，不同市場產業子樣本結果發現上市非電子類股股價對發行全球存託憑證之公告訊息存在顯著的正向反應，以及上櫃非電子類股股價在公告日前後，曾出現顯著之負向反應。而上市電子與上櫃非電子類股，其普通股股價在全球存託憑證定價日後存在顯著的負向反應。同時，也發現公告日的股票反應程度和定價日後的股價負向反應程度是與增資率高低呈現負向關係。

關鍵字

全球存託憑證 ； 普通股股價 ； 事件研究法

並列摘要

This study uses Taiwan listed companies that have issued Global Depositary Receipts (GDR) from 1992 to 2018 as a sample, and uses the event study to explore whether there is a significant abnormal effect on the common stock price around the announcement date or pricing date of the GDR. This study further explores the impact of exchange, industry, or capital increase rate on the stock price behavior around the announcement date or pricing date of the GDR.
All sample results show that there is a significant positive abnormal effect on the common stock price of Taiwan listed companies before announcement date of the GDR, and there is a significant negative abnormal effect after pricing date of the GDR. As for the industry sub-sample results of different exchanges, the stock prices of non-electronic stocks listed on the Taiwan Stock Exchange Corporation (TWSE) has a significant positive reaction to the announcement date of the GDR, and the stock prices of non-electronic stocks listed on the Taipei Exchange (TPEs) has a significantly negative reaction around the announcement date. As for TWSE-listed electronic and TPEs-listed non-electronic stocks, the common stock price has a significant negative reaction after the pricing date of the GDR. It also finds that the degree of stock reaction on the announcement date and the negative reaction degree of stock prices after the pricing date have a negative relationship with the capital increase rate.

並列關鍵字

Global Depository Receipts ； stock return ； Event study

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