台灣存託憑證發行事件對發行公司原市場股價影響探討

Share Price Effects of Taiwan Depository Receipts Listing Event

黃騰緯(Teng-wei Huang)

指導教授 ： 胡星陽

國立臺灣大學/管理學院/財務金融學研究所/碩士(2011年)

https://doi.org/10.6342/NTU.2011.02274

摘要

最近幾年來，境外公司來台或回台發行台灣存託憑證(TDR)蔚為風潮，而市場上時見傳言，在TDR上市前存在著原上市地公司股價被炒作的現象。本文即探討發行的事件對於該公司在第一上市市場的股價的影響。本文蒐集至二零一一年三月十一日為止的上市資料，並進行事件研究法發現，藉由無母數方法，統計上的確可能支持TDR的發行前對原股股價的正面影響的現象。股價的正面影響可能是在台灣市場上市具備了先前ADR的研究發現的一些優點，抑或是市場的投機行為；然而由於在上市之後的TDR股價有傾向下跌的現象，因此發行之前的股價上漲可能部分源自於市場短期的投機炒作行為。

關鍵字

TDR ； 台灣存託憑證 ； 事件研究法 ； 投機

並列摘要

More and more non-Taiwan registered firms has cross-listed their shares as TDR (Taiwan Depository Receipt) in recent years, especially after 2009. This paper discusses the cross-listing effects of TDR on their home stock price as a basis of further research on motivations of their listing. It’s been widely discussed that the stock price of some TDR-listing firms increased dramatically due to speculation by insiders. Our event study , with available data as for Mar 11, 2011, shows statistical evidence with sign test of nonparametric method, and therefore provides possible support to the corporate benefits of cross-listing in Taiwan as that of ADR cross-listing, or insider speculation. The weak performance of share price of TDR-listing firms after listing event make us tend to believe the price increase before listing is possibly the result of market speculation.

並列關鍵字

TDR ； event study ； speculation

參考文獻

1. Foerster &Karolyi, 1999, The Effects of Market Segmentation and Investor Recognition on Asset Prices: Evidence from Foreign Stocks Listing in the U.S.

2. Craig Doidge, G. Andrew Karolyi, Rene M. Stulz, 2002, Why are foreign firms listed in the U.S. worth more?

3. Andrew Karolyi, 2005, The World of Cross-Listings and Cross-Listings of the World: Challenging Conventional Wisdom

4. Craig Doidge, G. Andrew Karolyi, and René M. Stulz, 2009, Why do foreign firms leave U.S. equity markets?

6. 洪裕弘，1997，台灣企業在海外上市對原公司股票之影響