創投參與高科技公司股票IPO閉鎖期結束之異常報酬與交易量之研究

A Study of the IPO Lockup Expiration Effect on the Stock Return and Trading Volume of VC-backed IT Firm in Taiwan

陳美如(MEI-RU CHEN)

指導教授 ： 陳達新

國立臺北大學/商學院/國際財務金融碩士在職專班/碩士(2010年)

摘要

我國閉鎖期採用強制集保規定，與美國採協議制不同。在美國學者實證文獻指出，由於受限制股東會於解鎖時開始出售持股，將使閉鎖期附近產生異常股價行為，且科技類股異常情形大於非科技類股，有創投股東公司大於無創投股東公司。鑑於高科技股為台灣交易市場盤面的主流，故以高科技股為研究標的，共收集了民國90年3月至民國98年7月底止492家初次上市(櫃)公司為樣本資料，並將樣本區分為有創投參與公司及無創投參與公司，再依市場別將有創投參與公司區分為上市有創投參與公司及上櫃有創投參與公司，探討高科技股於集保規定的第一階段閉鎖期結束前後是否產生異常報酬與異常成交量?根據實證結果可歸納如下：
一、台灣高科技公司股票初次上市(櫃)在閉鎖期結束日前後有顯著為負的異常報酬及顯著為正的異常成交量。
二、有創投參與高科技公司股票初次上市(櫃)在閉鎖期結束日前後較無創投參與公司有顯著為負的異常報酬，但在顯著為正的異常成交量方面卻小於無創投參與公司。
三、上市掛牌公司其股票之異常報酬與異常成交量不同於上櫃掛牌公司，而上市市場的異常報酬強度大於上櫃市場，但上市市場的異常成交量強度小於上櫃市場。

關鍵字

創投事業 ； 異常報酬 ； 異常成交量 ； 事件研究法 ； 閉鎖期

並列摘要

The lockup in Taiwan adopts the regulations of enforced by TDCC (Taiwan Depository& Clearing Corporation). It is different from the USA, which selects the agreement system. The American scholars in the empirical literatures point out that the constrained shareholders will begin to sell out the shares near the expiration of lockup with the behavior of abnormal prices--the tech.-shares are greater than non-tech.-shares, and the venture capital (V.C) backed firms are higher than non-V.C backed firms before/after the expiration of lockup. The high-tech. companies are the main-stream shares in the Taiwan stock exchange market, thus the high-tech shares are the study objectives to collect 492 IPO IT firms from March, 2001 to July, 2009 as the sampling data. The sampling data can be separated into the firms with V.C-backed and the firms without V.C-backed. Then, based on the markets, the IPO firms with V.C-backed have two types: the IPO in Taiwan Stock Exchange (TWSE) and OTC Market to discuss that the high-tech shares will have whether abnormal returns and volumes before/after the first stage of lockup under the regulation of TDCC or not? Based on the empirical results, the summaries are as follows:
1. The high-tech. shares IPO in TWSE and OTC Market before/after the first stage of lockup will have significantly negative abnormal returns and significantly positive abnormal volumes.
2. For the IPO high-tech firms with V.C backed, they have more significantly negative abnormal returns and significantly positive abnormal volumes less than these of the firms without V.C backed before/after the first stage of lockup.

3. For the shares of abnormal returns and abnormal volumes, the IPOs in TWSE are different from the IPOs in OTC Market; whereas the strengths of abnormal returns for the IPOs in TWSE are larger than those of IPOs in the OTC Market, and the strengths of abnormal volumes for the IPOs in TWSE are less than those of IPOs in the OTC Market.

並列關鍵字

Venture Capital ； Abnormal Returns ； Abnormal Volumes ； Event Study ； Lockup

參考文獻

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