興櫃股票轉上市（櫃）宣告期間與報酬研究

IPOs Declaring Period and Returns in the Taiwan Emerging Markets

秦銘璟(Ming-Chin Chin) ； 余威廷(Wei-Ting Yu) ； 吳仲凱(Chung-Kai Wu)

《真理財經學報》 25期 (2011/12) Pp. 19-38

https://doi.org/10.29963/TOJEB.201112.0002

摘要

2003年1月1日起，強制實施上市、櫃前必須先登錄興櫃股滿3個月才可申請上市上櫃。2005年1月1日掛牌時限延長到6個月。申請掛牌需歷經送件、審議委員會、董事會、正式掛牌事件宣告等過程。本研究以台灣初次上市（櫃）市場（IPOs）為研究對象，採用事件研究法檢驗個股在各重要事件日前後之異常報酬。研究結果顯示登錄興櫃日後1、4、5 日呈現正向顯著；申請送件日及審議委員當日和後1日皆呈現正向顯著；董事會事件宣告則呈現完全不顯著；上市（櫃）掛牌日在研究期間皆有異常報酬存在。此外，自2005年實施「初次上市股票首五個交易日無漲跌幅限制」在掛牌日後5到8日皆無顯著異常報酬。

關鍵字

興櫃股票 ； 初次上市（櫃）市場 ； 異常報酬 ； 標準化殘差法

並列摘要

This study uses event study approach to examine the existence of the abnormal return among the different event dates in the Taiwan emerging stock market. The research period covers from January 2002 to October 2010. To reduce the bias of individual abnormal return, this study employs the standardized-residual method proposed to standardize average abnormal returns (SARE ) and followed by the test.The results of the SARE show significantly positive at the second, fifth and sixth day after the application for registration for emerging stock market. Moreover, the SARE effects are significantly positive on the day and the second day after for the submit date and the date of Review Committee approved. However, there is no significant SARE effect during the declaring period of the board of directors.

並列關鍵字

Emerging stock market ； IPOs ； Event Study ； Abnormal Return