證券首次公開發行與市場交易品質之探討

An Empirical Analysis of the Initial Public Offerings and Market Quality

王明昌(Ming-Chang Wang) ； 丁裕家(Yu-Jia Ding)

《修平學報》 28期 (2014/03) Pp. 67-84

摘要

本文探討台灣證券市場IPOs制度對市場交易品質的影響，觀察IPOs的各種現象，以提供主管當局及投資人決策參考。實證結果發現：首先，以證券IPOs制度條件越嚴謹的發行市場，其證券市場交易品質相對較好。其次，觀察IPOs蜜月期的時間而言，市場交易品質以IPOs第1天最好，且蜜月期間超額報酬愈高時，其證券市場交易品質下降。第三，IPOs放寬漲跌幅限制的承銷制度可改善市場交易品質。根據上述，發行市場之上市條件愈嚴格，會降低發行公司與投資人之間的資訊不對稱，進而改善發行市場之證券市場品質，而市場參與者應審慎評估不同IPOs市場制度風險。

關鍵字

首次公開發行 ； 市場交易品質 ； 資訊不對稱 ； 超額報酬

並列摘要

The purpose of this paper is to investigate the impacts on market quality arising from various IPOs issuing markets in Taiwan. We apply three variables of market quality, such as bid-ask spread, market depth and transient volatility, which examine the impacts of various IPOs systems and provide references to the official policymakers and investors. Empirical results show as follow: (i) if the issuing conditions of IPOs markets are more strict, relatively its market quality would be improved; (ii) the improvements in market quality of IPOs first day are the best during the honeymoon period of IPOs; when IPOs initial returns increase, the market quality declines relatively; and (iii) deregulation of price limit during first five days of IPOs would improve the market quality. Based on the above, the strict prerequisites of IPOs could reduce the information asymmetry between issuing firms and investor, which improve the market quality of securities. Market participants should carefully assess the risks of IPOs institutional differences.

並列關鍵字

IPOs ； market quality ； information asymmetry ； excess return

參考文獻

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