影響臺灣存託憑證上市後股價表現之決定因素

Factors affecting the performance of Taiwan Depository Receipt

莊上逸(Shang-I Chuang)

指導教授 ： 林建甫

國立臺灣大學/社會科學院/經濟學研究所/碩士(2011年)

https://doi.org/10.6342/NTU.2011.10063

摘要

本研究採樣98年迄100年7月底上市28檔臺灣存託憑證，分析影響渠等上市後股價表現之關鍵因素，包括上市前原股走勢（臺灣存託憑證掛牌前三個月）、發行條件（承銷價格折/溢價發行、資產規模、發行數量、科技事業屬性、上市前一會計年度公司獲利狀況）及上市後原股暨臺灣大盤指數走勢。除此之外，更進ㄧ步藉著GMM計量方法實證影響臺灣存託憑證上市後股價表現之決定因素。
本研究之主要貢獻，首先採樣近三年28檔新發行存託憑證，充分凸顯近期存託憑證於國內資本市場帶動之上市熱潮；另深入分析臺灣存託憑證發行面作業及法令規範，高度貼近市場實務；再者，本文的模型設定能清楚解釋影響臺灣存託憑證上市後股價表現之決定因素為何。我們的實證結果顯示影響臺灣存託憑證上市後表現之影響因素：原股於臺灣存託憑證掛牌前三個月股價表現呈現低度正相關；另公司申請發行臺灣存託憑證之基本門檻要求，包括獲利能力呈現低度負相關，折(溢)價發行條件呈現低度正相關，公司規模呈現低度負相關，公司所屬產業(是否為科技事業)呈現低度負相關；最後，茲因臺灣存託憑證本為第二上市，其股價表現理應受到系統風險(臺灣大盤指數及原股)及非系統風險(公司發行條件)所影響，實證發現前開兩項因素皆呈現高度正相關。

關鍵字

臺灣存託憑證 ； 海外上市 ； 折(溢)價格 ； 一般動差法

並列摘要

In this paper, I set indicators to examine the crucial factors which affect the TDR performance as the followings.
1.Pre-Listing: Track of three months for the underlying share price performance.
2.Issuing conditions: Discount/ Premium rate, Industry (high tech/others), Profitability, Issuing Scale and Company Size.
3.Post-Listing: Correlating with TWSE Index and Underlying stock price for one month.
With the panel data from Taiwan Depository Receipts listed from 2009 to July 2011, I adopt Ordinary Least Squares (OLS) and System Generalized Method of Moments (System GMM) to analyze. The results indicate that TWSE Index and Underlying stock have positive and significant effect on TDR; as for TDR’s public offering conditions, including industry (high tech/others), profitability, issuing scale and company size have insignificant effect on TDR performance, and furthermore the track of three months for underlying stock performance has insignificant effect either. Besides, the local investors obviously concern the discount/premium rate of TDR offer price, the empirical result shows its significant but minor effect.

並列關鍵字

TDR ； Foreign Listing ； Discount/Premium Rate ； G.M.M.

參考文獻

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