我國上櫃轉上市公司股票之研究-以異常報酬、知名度及流動性觀點

Abstract

證期會為因應加入世界貿易組織，自民國89年起簡化上櫃轉上市的制度與流程，以提昇我國集中市場的國際競爭力，因而使轉上市家數迅速成長。進而引發從股東或是投資人的角度探討上櫃轉上市公司之股價行為在轉上市前後是否有差異，亦從公司或經理人的角度探討上櫃轉上市公司在轉上市後的知名度及流動性是否有差異。 本研究以台灣股票市場於民國85年至民國92年間上櫃轉上市家數為研究對象，以事件研究法分別以轉上市申請日與轉上市掛牌日作為事件日探討轉上市前後的股價行為。結果發現以轉上市申請日為事件日時，全體樣本在事件日前後皆產生負向的異常報酬，且事件日後的負向累積平均異常報酬擴大，僅舊制度樣本群於申請日當日有正向的異常報酬，高獲利樣本群的負向累積平均異常報酬相對最小。造成前後皆產生負向異常報酬的可能原因是受到以上櫃公司股票為投資標的的店頭型共同基金出售轉上市股票、估計期間及其他非轉上市事件的干擾因素影響所造成。以轉上市掛牌日為事件日，全體樣本群在事件日前有正向的異常報酬，事件日當天及事件日後產生負向的異常報酬。此現象在扣除民國90年度於事件日前後受到911恐怖攻擊與納莉風災事件影響的樣本群後更為明顯，此結果的可能原因是投資人對轉上市宣告過度反應之價格修正所造成。在知名度與流動性方面，上櫃公司轉上市後，全體樣本的知名度與流動性皆有所提昇。

In response to Taiwan’s the join to The World Trade Organization(WTO), the Securities and Futures Commission(SFC) has simplified exchange listing rules and procedures to give the national security market a further competitive edge in 2000. As a result, there is a rapid growth in exchange listing companies. Under these circumstances, the observation and analysis of how pre/post-listing price behavior might change from the views of both stockholders and investors, as well as how the visibility and liquidity of companies might be affected from the standpoints of the companies and managers, become a worthy topic for research. This study examines the common stocks transfers from the GreTai Securities Market(GTSM) to the Taiwan Stock Exchange Corporation(TSEC) of Taiwan’s stock market in the time period of 1996-2003. The approach adopted is the event study methodology. The price behavior based on two different sets of event days are compared. The results show that when the application date is taken to be the event day, the stocks involved in exchange listing experience negative abnormal returns both prior and subsequent to it. Only the old system samples have positive abnormal returns on application date, and the high profit samples have relatively small negative average cumulative abnormal returns. The negative abnormal returns may be caused by the sales of exchange listing stocks by GTSM mutual funds, estimate period, and other non-exchange listing factors. In cases where the listing date is made event day, however, the stocks involved in exchange listing show positive abnormal returns prior to it, but negative abnormal returns thereafter. This phenomenon is even more obvious when we exclude samples from year 2001, leaving aside what influence the 911 terrorist attack and the Nari typhoon during that time might have had. The result may be attributable to a correction in price from investors’ overreaction to the listing announcements. From the aspects of visibility and liquidity, overall improvement is found for all sample groups.