- 學位論文
新股上市或上櫃當日價格之結構性變動研究
A Study of Price’ Structural Changes on Stocks’ First IPO Days in Taiwan’s Exchange and Over-the-Counter Markets
摘要
股票價格在初次公開發行(IPOs)初期常常會存在著超額報酬，所以投資人可以在個股還在興櫃市場交易時買入快要上市(櫃)的股票，但因預期個股在IPOs時常有承銷價低估的情形 ，投資人可能會因在興櫃的購入價過高而在個股上市(櫃)後遭受立即的損失。所以，本文嘗試用GARCH模型，探討在臺灣集中市場及櫃檯買賣中心初次公開發行公司的股價是否在上市(櫃)的當天有結構變動發生。在控制大盤的情況下，本文發現，在臺灣集中市場初次發行的個股於掛牌第一天收盤價會折價37.56%、在櫃檯買賣中心初次發行的則會折價29.32%，結構變動十分明顯。換言之，個股股價在興櫃市場時期多被高估，即對公司將上市(櫃)的消息過度反應，投資人若想賺取超額報酬，應至少等到個股上市(櫃)後再交易。
並列摘要
Excess returns are often found in the early period of stocks’ initial public offerings (IPOs). Therefore, investors think that they can buy individual stocks while they are still transacted in the emerging stock markets to grasp the return-earning opportunity. However, individual stocks may have been over-priced in the emerging stock market due to investors’ impressions that they are cheap. This will cause immediate losses for the buyers after the stocks’ IPOs. Consequently, this study try to investigate whether there are prices’ structural changes at the first day of stocks’ IPOs in Taiwan’s exchange and OTC markets using GARCH models. Controlling the stock price indices, we find that individual stock prices on average decrease 37.56% in Taiwan’s Exchange market and 29.32% in Over-the-Counter market at the first day of the IPOs. In other words, most individual stocks are over-priced in the emerging stock market, i.e., over-reactions to individual stocks’ IPOs information are observed. If investors like to take advantages of individual stocks’ IPOs, it seems that they should wait and not to buy them in the emerging stock market.