轉上市對流動性與價格行為之影響

本研究旨在探討自中華民國證券櫃檯買賣中心移轉至台灣證券交易所交易之公司市場流動性及異常報酬行為變化。本文利用2001及2003年轉上市公司進行了轉上市期間流動性及異常報酬變化分析，研究發現2001年（整批上市）及2003年（分批上市）之轉上市公司均有明顯的流動性及價格變化，其中整批上市公司流動性及價格變化是發生於發佈日前，而分批上市公司則是發生於申請日後，兩者有極大差異。另外，能見度較低的轉上市公司，其流動性及異常報酬變化並未有較高幅度的提升。此一結果與Arbel and Strebel (1982, 1983) and Carvel and Strebel (1987)提出愈被分析師與投資大眾忽略的股票，在移轉交易所後將獲得較大的利益明顯不同。

關鍵字

上櫃轉上市；流動性；價格行為；能見度

並列摘要

This study investigates the behavior change of firms' market liquidity and abnormal returns as they switch trading location from the GreTai Securities Market(OTC) to the Taiwan Stock Exchange Corporation(TSEC). This paper analyzes the liquidity and abnormal returns of the firms successfully conducting exchange listing in 2001 and 2003. The study indicates that there is a significant change in the liquidity and price behavior of those exchange listed firms both in 200 1(collectively listing) and 2003(separately listing). However, it differs enormously between those two groups. To the firms collectively conducting exchange listing, the change occurs before the announcement day, whereas it occurs after the application day to the firms separately conducting listing. Furthermore, to those exchange listed firms with relatively low visibility, the liquidity and abnormal returns do not increase by a higher range. This result differs significantly with the proposition of Arbel and Strebel (1982, 1983) and Carvel and Strebel (1987) that the more the stocks ignored by analysts and investors, the greater benefit gained by those stocks from exchange listing.