承銷制度變革對新上市櫃股票短期報酬績效之影響

Abstract

近年來，初次上市公司家數迭創新低，顯示我國證券市場吸引企業上市籌資功能萎縮，原因包括兩岸政治氛圍、經濟環境消長及法規限制等影響，而上市櫃證券的股價表現，也是企業大股東選擇掛牌市場的決定因素之一，本研究針對2005年開放新股首五日無漲跌幅限制後，對股價短期報酬現象進行探討，以瞭解開放首五日無漲跌幅限制是否能達到讓股價快速合理反映股票價值，達成資本市場的效率化及承銷制度與國際接軌的目的。本研究以2004至2006年間，初次在臺灣證券交易所及證券櫃檯買賣中心新上市櫃公司為研究對象（但不包括已上櫃轉上市公司及增資證券），與當時期承銷制度相比較，以探討承銷制度變革的績效，同時為更了解新上市櫃公司股價短期報酬績效表現原因，本研究也分別針對發行市場、上市櫃年度及產業類別等因素來探討。 本研究結果發現，承銷制度變革中開放新股首五日無漲跌幅限制後，已能達到讓股價快速合理反映股票價值，達成資本市場的效率化及承銷制度與國際接軌的主要目標，而實證分析初次上市櫃公司股價的平均短期績效報酬，也有較舊制明顯的正報酬現象，顯示承銷制度變革對新上市櫃公司股價短期報酬績效表現的影響並不明顯。

The number of the first listings in TSEC declines rapidly recent years. It reveals that our stock market has no appeals for the enterprises. The reasons are: the political atmosphere across the strait, the economical environment and regulations…etc. Of course, the price of the listed is also the concerns for the enterprise to choose which market to list. This thesis will base on the research of “no price fluctuation limit imposed on the first five trading days beginning from the listing date” system to see if it can reflect the” return on earnings” in a short period of time reasonably in order to see the efficiency of the capital market and if the reform of the underwriting system meets the criteria of worldwide. This thesis is targeted on the enterprises that new listing in TSEC and OTC (other than those converted from OTC stocks to listed stocks) from 2004 to 2006, compared with the old underwriting system in order to explore the benefits of the new system. The research concludes that the new underwriting system (no price fluctuation limit imposed on the first five trading days) can reflect the listed price efficiently and reasonably in the capital market and as well is a good underwriting system to connect with the world market.