本研究以1990年至2019年間首次在台灣證券交易所或中華民國證券櫃檯買賣中心公開發行的普通股股票為研究對象,利用事件研究法來探討新上市(櫃)股票掛牌後20個交易日之普通股股價變化。本研究除針對全部樣本進行分析外,並進一步探討漲跌幅限制、承銷制度與上市(櫃)別對新上市(櫃)股票價格行為之影響效果。 結果顯示台灣新上市(櫃)公司之普通股股價在新股掛牌發行後存在正向的影響效果,且有無漲跌幅限制與新舊承銷制度皆會影響股價對新股掛牌發行之反應程度,其中承銷新制無漲跌幅限制期間之股價正向反應程度顯著高於有漲跌幅限制。在承銷舊制下,區分新上市或新上櫃對其股價會產生不一樣之反應效果,以及在承銷新制下,區分新上市或新上櫃對其股價會產生相似之反應效果,但新上櫃股票的反應程度明顯高於新上市股票。其中,有無漲跌幅限制是影響新上市(櫃)股價反應效果之關鍵因素,以及結果支持新上市(櫃)股票承銷價格被低估的假說。
This study takes the common stocks that were first publicly issued on the Taiwan Stock Exchange or the Taipei Exchange from 1990 and 2019 as the research object. The event study method is used to explore the stock price changes after Initial Public Offerings (IPOs) 20 days. In addition to analyzing the entire sample, this study further explores the effects of price limit, underwriting system, and exchange on the stock price behavior of IPOs. The results show that the common stock price of Taiwan's newly listed companies has a positive effect after IPOs. The degree of positive effect of stock prices during the period of the no price limit is significantly higher than that of the price limit. Under the old underwriting system, newly listed on the Taiwan Stock Exchange and the Taipei Exchange have a different effect on their stock prices, and under the new underwriting system, newly listed on the Taiwan Stock Exchange and the Taipei Exchange have a similar effect on their stock prices. The price limit is a key factor that affects the response effect of the newly listed stock price, and the results support that the hypothesis of underpricing of IPOs.