外國公司來台F 股上市之短期股價績效研究

An Analysis of Market Size Broaden Policy Performance for Taiwan Depository Receipts and Foreign Corporations Listed on Taiwan Stock Exchange

許瑞鳳(JUI-FENG, HSU)

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(2013年)

摘要

本研究之目的為針對外國公司回台第一上市之宣告效果，建立三個假說進行研究，
所謂宣告效果係指其對普通股價影響，探討2010~2013年這三年間所篩選出的27筆
宣告樣本做事件研究的實證分析，資料樣本來自於台灣經濟新報的事件研究系統，
研究結論如下所示:
1. 研究實證顯示外國公司回台第一上市後，對市場傳達的訊息相當正面，其股價將
產生累積正向的異常報酬，且在事件日即會顯著出現，支持假說一。
2. 將樣本分成電子類股公司與非電子類股公司實證分析結果發現，電子類股之外國
公司股價受到回台第一上市宣告事件的衝擊較非電子公司來得大。無論在事件日
當天或是事件日後30 天後，顯示電子類股公司在回台第一上市發行宣告的股價
累積異常正向報酬會比非電子類股公司來得大，支持假說二。
3. 最後在不同上市時間的實證分析結果也顯示，前五家上市之外國公司其股價正向
累積報酬較後五家上市之外國公司，更為顯著，支持假說三。

關鍵字

異常報酬 ； 宣告效果 ； 事件研究法 ； 外國公司股票(F 股) ； 首次公開發行

並列摘要

This study tries to identify the IPO announcement effect of the foreign
corporations which are primary listed in Taiwan securities market. The announcement
effect is defined as the abnormal return of these corporations relative to the market
performance during the first listed month. In order to examine the announcement
effect exists or not, I establish three hypotheses and choose 27 samples which listed
during 2010 to 2013 and apply the event study approach to find the empirical
evidences. After the empirical effort, I can conclude the following three results:
1. The foreign corporations which are primary listed in Taiwan securities
market can generate positive cumulative abnormal return on the first listed
date..
2. The impacts are significant different for the sub samples that distinguished
as electronic and non-electronic categories, whether the positive cumulative
abnormal return of electronic samples are higher than non-electronic
samples both for the first listed date and the updating 30 dates..
3. The early listed samples enjoy more positive cumulative abnormal return
than the other samples that announce the IPO lately , indicating the
influences to the market are more obvious for the earlier corporations.

並列關鍵字

Abnormal Return, Announcement Effects ； Event Study ； F-Shares ； IPOs

參考文獻

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