台灣存託憑證發行事件對發行公司原市場股價影響探討

Abstract

最近幾年來，境外公司來台或回台發行台灣存託憑證(TDR)蔚為風潮，而市場上時見傳言，在TDR上市前存在著原上市地公司股價被炒作的現象。本文即探討發行的事件對於該公司在第一上市市場的股價的影響。本文蒐集至二零一一年三月十一日為止的上市資料，並進行事件研究法發現，藉由無母數方法，統計上的確可能支持TDR的發行前對原股股價的正面影響的現象。股價的正面影響可能是在台灣市場上市具備了先前ADR的研究發現的一些優點，抑或是市場的投機行為；然而由於在上市之後的TDR股價有傾向下跌的現象，因此發行之前的股價上漲可能部分源自於市場短期的投機炒作行為。

More and more non-Taiwan registered firms has cross-listed their shares as TDR (Taiwan Depository Receipt) in recent years, especially after 2009. This paper discusses the cross-listing effects of TDR on their home stock price as a basis of further research on motivations of their listing. It’s been widely discussed that the stock price of some TDR-listing firms increased dramatically due to speculation by insiders. Our event study , with available data as for Mar 11, 2011, shows statistical evidence with sign test of nonparametric method, and therefore provides possible support to the corporate benefits of cross-listing in Taiwan as that of ADR cross-listing, or insider speculation. The weak performance of share price of TDR-listing firms after listing event make us tend to believe the price increase before listing is possibly the result of market speculation.