發行海外存託憑證之股價反應：上市地點、產業 別與是否發行新股之探討

Market Reaction of GDR Listing：The Effect of Listing Locations, Industries and New Stock Issuing

翁暐婷(Wei-ting Weng)

指導教授 ： 何中達

國立中央大學/管理學院/財務金融學系/碩士(2014年)

摘要

隨著全球化的趨勢，愈來愈多臺灣企業選擇至國際資本市場海外上市，本文旨在
探討臺灣企業首次至國外發行海外存託憑證對發行公司帶來的效益為何，利
用事件研究法分別探討宣告日及上市日前後的股價反應，並依據上市地點、產業
別及是否參與現金增資來區分樣本，檢視其價格效果的差異，最後利用多元迴歸
模型探討各虛擬變數對於累計異常報酬的解釋能力。結果顯示，整體樣本在宣告
前市場有明顯正向反應，上市後則有明顯股價下跌現象。至盧森堡上市的公司相
對其宣告效果小於至倫敦美國上市的公司且時間點較早，電子業其宣告效果較非
電子業來的好，而包含以新股發行海外存託憑證的其宣告效果較純粹以現股發行
的公司來的好。

關鍵字

海外上市 ； 海外存託憑證 ； 事件研究法 ； 價格效果

並列摘要

With the trend of globalization, more and more companies in Taiwan choose to cross-list on international capital markets. This paper mainly examines how the Taiwan market react to the first issue of Global Depositary Receipts. This paper uses event study to examine the stock price effect of both announcement day and listing day. This paper also examine the differences of price effect according to listing
location, industries and whether issuing new stocks. Finally, this paper uses the multiple regression to test the explanation of dummy variables to the cumulative abnormal returns. Empirical results shows that the overall sample has significantly positive cumulative abnormal returns before the announcement day and the stock prices obviously go down after the listing day. The announcement effect of companies
cross-listing to Luxembourg is much earlier and smaller than companies to London or U.S., the electronics companies have strong effect than non-electronics companies, and the companies issuing new stocks have much higher abnormal returns than the companies using only original stocks.

並列關鍵字

Cross-listing ； Global Depositary Receipts ； Event study ； Price Effec

參考文獻

4. 黃騰緯，台灣存託憑證發行事件對發行公司原市場股價影響探討，臺灣大學

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Ahn, H., C. Cao and H. Choe. 1996. “Decimalization and Competition among Exchanges: Evidence from the Toronto Stock Exchange cross-listed securities.” Pennsylvania State University working paper.

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