國內未上巿(櫃)股票－盤商巿場影響因素之研究

Abstract

國內盤商從事仲介未上巿(櫃)股票業務已存在多年，惟主管機關一直未將該巿場係納入管理，在欠缺有關該巿場交易狀況的資料下，國內研究盤商市場之專論與實證文獻十分有限。為瞭解國內盤商市場影響因素，藉由財政部公布的證券交易稅資料，嘗試推估出該巿場成交值，利用多元迴歸分析方式，就總體經濟變數及巿場內部變數等對盤商巿場成交值的影響進行實證分析，驗證影響國內盤商市場交易的重要因素。綜合本文實證結果所獲結論如下： (1)相關總體經濟因素，在5%顯著水準，僅機電類成交值對盤商巿場成交值有顯著影響且為正向相關，應與國內近年來大多為高科技資訊廠商申請上市或上櫃有關。其餘經濟變數，如M1B貨幣供給、進出口貿易總額、臺灣股巿循環、工業生產總指數、臺灣加權股價指數及Nasdaq股價指數等變數對盤商巿場成交值則無顯著影響。巿場投資人應是基於內部訊息投資該巿場，與經濟變數無關。 (2)在5%顯著水準下，落後5期之初次上巿公司家數對盤商巿場有顯著影響且為正向關係，應與新上市題材的湧現有關，且盤商巿場當期成交值尚受到前期成交值的影響，故巿場訊息所發揮的影響效果呈現逐漸擴散的型態。 (3)興櫃股票巿場成立前，在5%顯著水準下，落後5期之初次上巿公司家數對盤商巿場有顯著影響且為正向關係，故未上市(櫃)股票交易的活絡程度與新上市題材有關；但在興櫃股票巿場成立後，落後5期之初次上巿公司家數對盤商巿場則變得無影響，反而興櫃巿場成交值對盤商巿場有顯著影響且為正向相關。 (4)全球統一集團假股票吸金案、亞洲金融風暴及俄羅斯、香港金融風暴等事件，在5%顯著水準下，對盤商巿場成交值有顯著影響。

It has been a long time that domestic uncertified securities brokers serve as agents for unlisted securities market (except for emerging stocks). However, financial regulators never put unlisted market under regulations. Owing to lack of information and transaction records for the market, literatures and empirical studies on unlisted securities market are very limited. To understand what factors may affect the unlisted market, this study will try to estimate the total traded volume by using securities transaction tax data from Ministry of Finance. Furthermore, this study will run multiple regressions to analyze the important factors that will affect unlisted securities transactions by using macroeconomic variables and market endogenous variables on the effect of market traded volume. The results are as the followings: (1) Macroeconomic variables: at 5% significant level, only those transactions on electronic securities have significant and positive effects on unlisted market. This should be attributed to the fact that most domestic hi-tech companies apply for listing or over-the-counter in recent years. Other economic variables, such as M1B, export and import volumes, Taiwan stock market cycles, industrial output index, Taiwan securities weighted index, and NASDAQ index have no significant effects on the market. Investments in the market are based on market information and are irrelevant to economic variables. (2) At 5% significant level, the 5-period-lagged number of newly listed companies has significant and positive effect on the unlisted market. This is because the market is affected by newly emerging market subjects but the effect is expanded gradually. (3) Before the setup of the emerging stock market, at 5% of significant level, the 5-period-lagged number of newly listed companies has significant and positive effect on the unlisted market. Therefore, the degree of activities of unlisted market is related to newly emerging market subjects. However, after the establishment of the emerging stock market, the 5-period-lagged number of newly listed companies is irrelevant to the unlisted market. On the other hand, the transaction volume of the emerging stock market has positive and significant effect on the market. The case of illegal investment by Global President Group and financial crisis in Asia, Russia, and Hong Kong both have significant effects on the traded volume of the market at 5% significant level.