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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/3795


    Title: 上櫃公司轉上市之事件研究--隨機係數模型的應用
    Other Titles: Event Study of Exchange Listing--- An Application of Stochastic Coefficient Regression Model
    Authors: 郭維裕
    Keywords: 上櫃轉上市事件研究;異常報酬;異常流動性
    event study of exchange listing;abnormal returns;abnormal liquidity
    Date: 2001
    Issue Date: 2007-04-18 16:36:11 (UTC+8)
    Publisher: 臺北市：國立政治大學國際貿易學系
    Abstract: 本研究利用事件研究法探討國內上櫃公司轉為上市公司交易後，其異常報酬與流動性的變化情形。我們利用Fama, Fisher, Jensen, and Roll (1969)的事件研究法計算異常報酬。此外，我們透過文獻上常用的數個流動性指標來衡量各公司在轉上市後流動性的變化情形。這些流動性指標包括Elyasiani, Hauser, and Lauterbach (2000)的買賣價差替代指標、Amivest 流動性指標、市場模型殘差變異數以及Tkac（1999）所提出的異常流動性指標。值得一提的是，本文的主要貢獻之一就是利用Tkac（1999）的異常流動性指標來評估上櫃公司轉上市事件的流動性變化程度，這是該指標第一次被應用於此領域。根據本研究結果發現，平均而言，上櫃公司在轉上市前後的異常報酬率皆為負值，此結果與文獻的發現有些不同。一般而言，文獻發現上櫃公司在正式宣告申請轉上市後，股價會呈現正面的反應而出現正的異常報酬，但於正式上市交易後，股價便呈現相對於市場疲軟的走勢而導致負的異常報酬。因此，總合而言，現有的文獻不認為上櫃公司可以透過轉上市交易的方法來增加其公司的整體市場價值。雖然和文獻一致，本文發現上櫃公司的轉上市後股票的異常報酬率是負的，但是轉上市前的結果卻與文獻的發縣大相逕庭。這個結果顯示：國內的投資人並不認為上櫃公司可透過轉上市交易的方法獲得任何好處。至於流動性的變化方面，雖然不同的指標呈現出些微不同的結果，但整體而言，上櫃公司在轉上市後股票的流動性並未獲得明顯的改善，此結果亦和文獻的發現相異。因此，我們認為上市市場並未提供足夠的誘因促使上櫃公司申請改變其交易場所。
    We employ the event study methodology of Fama, Fisher, Jensen, and Roll (1969) to examine the behaviour of abnormal returns and abnormal liquidity after a firm whose stock is traded in the over-the-counter market switch its trading venue to an exchange market in Taiwan. The abnormal returns are calculated according to the market model. The abnormal liquidity is measured based on several commonly used liquidity measures including the proxy of spread of Elyasiani, Hauser, and Lauterbach (2000), Amivest liquidity measure, the variance of the residual of market model, and the abnormal turnover ratio proposed by Tkac (1999). We would like to stress that the abnormal turnover ratio has never been used to examine the liquidity effect of exchange switching event before. This is one of main contributions of this study. Our result shows that the abnormal returns are negative both before and after the announcement of exchange listing. Although the negative abnormal returns after exchange listing are consistent with the findings in the literature, those before exchange listing are different from what have been found in the literature. It implies that investors in Taiwan do not consider changing trading venue as a means of market value creation for over-the-counter firms. Regarding the behaviour of abnormal liquidity for exchange listing, we find that the liquidity improvement resulting from the event is generally disappointing although different liquidity measures reveal somewhat different results. This result is inconsistent with the liquidity gain hypothesis of exchange listing supported by the literature. Overall, the exchange market in Taiwan does not provide enough incentives for over-the-counter firms to change their trading venue from the OTC market to the exchange market.
    Description: 核定金額：319600元
    Data Type: report
    Appears in Collections:[Department of International Business] NSC Projects

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