發行市場選擇對發行公司之證券市場交易品質的影響

The Impacts of Issuing Market Selection on the Trading Market Quality of Initial Public Offerings

陳美秋(Mei-Chiu Chen)

指導教授 ： 王明昌

國立中正大學/管理學院/企業管理學系/碩士(2013年)

摘要

本文探討發行市場在制度差異下對證券市場交易品質的影響。以2003年至2012年在台灣上市的公開發行公司為研究樣本，並以市場買賣價差、市場深度、暫時波動性做為檢驗市場品質的變數，實證結果發現如下：第一、台灣證券市場除了上櫃市場外，選擇掛牌條件越嚴謹的發行市場證券市場品質確實較好。第二、蜜月期間定義為發行後第1天，前5天及前20天下，發行公司之證券市場交易品質會在蜜月期顯著惡化；蜜月期間超額報酬愈高，則發行公司之證券市場交易品質愈差。第三、放寬上市前五日漲跌幅限制法規，確實改善發行公司之證券市場交易品質。本文提供給政策制定者相關的實證意涵，發行市場之上市條件愈嚴格，會降低發行公司與投資人之間的資訊不對稱，進而改善發行市場之證券市場品質。

關鍵字

資訊不對稱 ； IPO 折價 ； 發行公司 ； 市場品質 ； 發行市場

並列摘要

The research aims to investigate the impacts of issuing markets in different systems on the market quality. Using the three transaction quality variables, such as bid-ask spread, market depth and transient volatility, from the IPO companies in Taiwan Stock market during 2003 and 2012, our findings show as below: firstly, the transaction quality of security market in the stock issuing market with highly strict lised conditions is better than ones in the market with lower listed conditions, except Gre Tai securities market. Secondly, transaction quality in honeymoon period of IPO, defined as the first day, the first five days and first twenty days, is worse than ones after honeymoon period. Besides, the higher the initial return of IPO firms during the honeymoon period, the worse the transaction quality of IPO firms. Thirdly, the transaction quality of IPO firms is improved after deregulation of price limit in first five days of IPO stock market. This study provides to policymaker empirical implication, as the highly strict prerequisite of companies listed in stock market could reduce the information asymmetry between issuing firms and investors for improving the securities transaction quality.

並列關鍵字

IPO underpricing ； Market quality ； Initial public offerings ； Issuing markets ； Information asymmetry

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