公開申購與部分競拍的股價調整速度之差異：台灣新上市股票之實證研究

The Difference of the Speed of Stock Price Adjustment between Public Subscription and Partial Auction: An Empirical Study on IPOs in Taiwan

陳國瑞(Guo-Ruei Chen)

指導教授 ： 顏吉利 ； 李見發

朝陽科技大學/管理學院/財務金融系/碩士(2010年)

摘要

Yen, Yen & Chen (1995)旨在探討中籤率高低對短期超額報酬之影響，文中提及股價調整至股票的內生價值需14天，該篇論文主要是採圖形分析來判斷股價達到平穩狀態所需的天數，由於是採用目測法，較不具客觀性。因此，本篇學位論文試圖運用計量模型來探討「公開申購」與「部分競拍」的股價調整速度之差異。
本篇學位論文在探討當承銷價低估的狀況下，使用不同之承銷制度，其股價調整速度何者較快。為探究「公開申購」與「部分競拍」兩制度下股價調整速度之差異，本篇學位論文是將Lin & Rozeff (1995)之股價調整速度模型修正後進行實證分析。本篇學位論文的研究期間自民國85年1月1日起至民國93年12月31日止，研究樣本為在此期間內新上市之公司。採用公開申購的樣本公司有117家，採用部分競拍的樣本公司有53家。實證結果顯示，採用「部分競拍」的公司相較於採用「公開申購」的公司，擁有較迅速的股價調整速度，但其之間的差異未達統計顯著性。

關鍵字

部分競拍 ； 股價調整速度 ； 公開申購

並列摘要

Yen, Yen & Chen (1995) find that the post-offering price adjustment process is completed approximately on the 14th transaction day for the case of “public subscription”. The study just mentioned adopts graphic analysis as a measure of days-needed-for-reaching-equilibrium. Since it use the visual method, it is less objective. Therefore, this thesis attempts to apply the econometric model to explore the difference of the speed of stock price adjustment between “public subscription” and “partial auction”.
In order to explore the difference of the speed of stock price adjustment between “public subscription” and “partial auction”. This thesis modifies the model of Lin & Rozeff (1995) to conduct our empirical analysis. Our sample is composed of the newly listed corporations on the Taiwan Stock Exchange (TAIEX) arising from the IPOs over the period from January 1 1996 to December 31 2004. The empirical results show that newly issues underwritten under partial auction have indeed registered a quick pace of price adjustment when compared with their counterparts underwritten under public subscription, although the difference in the stock price adjustment has not reached the statistical significance.

並列關鍵字

Partial Auction ； Public Subscription ； Speed of Stock Price Adjustment

參考文獻

3. 顏吉利、李見發與陳怡如(2009)。詢價圈購、承銷價格與股價行為:臺灣地區新上市股票之實證分析。第十屆管理學域國際學術研討會論文集 (頁9-18)。台中：朝陽科技大學。

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