發行臺灣存託憑證對原上市地股價之影響

Local Market Reaction to Cross-Listing: The case of Taiwan Depositary Receipts

陳維真(Wei-chen Chen)

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(2011年)

摘要

隨著國際資本市場的發展，企業籌資管道不再侷限於國內，海外上市成為另一種選擇。近年來政府推動外國企業來臺灣上市，本研究想探討外國企業來臺灣發行存託憑證的此一事件對原上市地股價有何影響。本研究採用事件研究法分析樣本公司累計異常報酬，接著以多元迴歸式檢驗影響累計異常報酬之因素，最後分析海外上市前後原上市地和臺灣地區的市場風險。實證結果顯示整體樣本在事件前異常報酬為正，事件後累計異常報酬為負，原上市地為香港的樣本公司累計異常報酬較新加坡高，電子業的累計異常報酬也比非電子業來的高，本研究認為原上市地為香港的公司多為台資企業，臺灣投資人較熟悉，因此香港股票在臺灣交易較熱絡對原上市地股價有正向影響；而臺灣為電子產業重鎮，電子產業來臺灣掛牌上市會受到較多關注和分析，對原上市地股價同樣有正向影響，歸納以上結果本研究符合投資人認可假說。多元迴歸式分析結果再次驗證電子產業累計異常報酬顯著高於非電子產業；原上市地為香港企業累計異常報酬顯著高於新加坡企業。海外上市前後原上市地和臺灣地區的市場風險則無明顯改變。

關鍵字

臺灣存託憑證 ； 事件研究法 ； 海外上市

並列摘要

With the development of international capital markets, fund raising is no longer limited to domestic and overseas markets become an alternative. In recent years, the government promotes foreign companies listing in Taiwan. This paper examines the effects of local market reaction to cross-listing. First, this paper uses event study to examine cumulative abnormal returns, following by multiple regression to test the factor affect the cumulative abnormal returns. Finally, our study analyzes the beta of local market and Taiwan market before and after cross-listing. Empirical results show that the overall companies have positive cumulative abnormal returns before listing day and negative cumulative abnormal returns after listing day. The cumulative abnormal returns of Hong Kong companies is much more than Singapore, electronics companies is higher than non- electronics companies. This paper suggests that Taiwanese investors are more familiar with those companies from Hong Kong because most of them funded by Taiwanese enterprises. Similarly, electronic companies are recognized by Taiwanese investors because electronic industry is the largest industry in Taiwan. Our tests provide support for investor recognition hypothesis. Multiple regression analysis verifies the electronic industry and Hong Kong companies with higher cumulative abnormal return again. The beta of local market and Taiwan market before and after cross-listing has no significant change.

並列關鍵字

Taiwan Depositary Receipts ； Event study ； Cross-listing

參考文獻

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