本研究主要探討臺灣地區上櫃轉上市公司於上市掛牌日開紅盤的可能因素，本文認為公司有動機於上市當天開紅盤以慶祝公司上市，即為慶祝行情效果。將可能的原因排除後，本文證實公司上市開紅盤來自慶祝行情。本研究期間為2001年至2017年，此期間共有223間上櫃公司成功於台灣證券交易所掛牌上市。由公司歷年的上市日開盤報酬發現，平均而言，上櫃公司轉上市會有開紅盤的現象，並在控制市場因素後，證實公司上市當天有正的開盤報酬。根據過去文獻指出，公司由店頭市場轉至交易所上市會帶來流動性改善及投資人認知程度提升，進而使公司股價上漲，本研究以Amihud (2002)與Florackis et al. (2011)的非流動性指標(Illiquidity Ratio)檢定流動性假說、以Merton (1987)提出的影子成本(Shadow Cost)檢定投資人認知假說，實證結果排除流動性提升及投資人認知增加的因素，證實股價上漲不是來自流動性改善及投資人認知程度增加，而是因為公司慶祝行情。

This paper focuses on the reasons why the company's stock price rose on the day of the move from Taipei Exchange to Taiwan Stock Exchange. We believe that the company has the incentive to raise stock price on the day of listing to celebrate IPO. After excluding the possible reasons, our study proved that the company’s positive opening returns on the day of listing came from celebrating the market effect. The study period was from 2001 to 2017, and a total of 223 OTC companies were successfully listed on the Taiwan Stock Exchange during the sample period. According to the performance of the company's listed opening returns in the past years, on average, there will be a rise in stocks on the day of the listing. After controlling the market factors, we confirmed that the company had a positive opening returns on the day of listing. The literature shows that the company's transfer from Taipei Exchange to Taiwan Stock Exchange will bring about liquidity improvement and investor awareness, which will increase the company's stock price. We use the illiquidity ratios of Amihud (2002) and Florackis et al. (2011) to test the liquidity hypothesis, and examine the investor recognition hypothesis by the shadow cost proposed by Merton (1987). The empirical results exclude the factors of increased liquidity and increased investor cognition, confirming that the rise in stock prices is not driven by improved liquidity and increased investor awareness. It is the company that celebrates IPO.

國外文獻
1. Amihud, Y., Mendelson, H., 1986. Asset pricing and the bid ask spread. Journal of Financial Economics, 17, 223-249.
2. Amihud, Y., Mendelson H., 1988. Liquidity and asset prices: financial management implications. Financial Management, 17, 5-15.
3. Amihud, Y. and H. Mendelson, l989. The effects of beta, bid-ask spread. residual risk, and size on stock returns, Journal of Finance, 44, 479-486
4. Amihud, Y. 2002, Illiquidity and stock returns: cross-section and time-series effects, Journal of Financial Markets, 5, 31-56.
5. Baker, H. K., Powell, G. E., and Weaver, D. G., 1999. Does NYSE Listing Affect Firm Visibility? Financial Management, 28, 46-54.
6. Baker, H. K., Nofsinger, J. R., and Weaver, D. G., 2002. International Cross- listing and Visibility, Journal of Financial and Quantitative Analysis, 37, 495-521.
7. Bryant, H. L., and M. S. Haigh., 2004. Bid-Ask Spreads in Commodity Futures Markets. Applied Financial Economics, 14, 923-936.
8. Cooper, S. K., J. C. Groth and W.E. Avera, 1985. Liquidity, exchange listing, and common stock performance, Journal of Economics and Business, 17, 19-33.
9. Christie, P., and R. Huang, 1994. Market structures and liquidity: A transaction data study of exchange listing, Journal of Financial Intermediation, 3, 300-326.
10. Chen, Honghui, Gregory Noronha, and Vijay Singhal, 2004, The price response to S&P 500 index additions and deletions: Evidence of asymmetry and a new explanation, Journal of Finance, 59, 1901–1929.
11. Demsetz, H., 1968. The cost of transacting, Quarterly Journal of Economics, 82, 33-53.
12. Datar, V., N. Naik, and R. Radcliffe, 1998. Liquidity and stock return: An alternative test, Journal of Financial Markets, 1, 203-219.
13. Eleswarapu, V., 1997, Cost of transacting and expected returns in the Nasdaq market, Journal of Finance, 52, 2113-27
14. Foerster, S. R., and G. A. Karolyi, 1999, The effects of market segmentation and investor recognition on asset prices: Evidence from foreign stocks listing in the United States, Journal of Finance, 54, 981-1013.
15. Florackis, C., Gregoriou, A., and Kostakis, A., 2011. Trading Frequency and Asset Pricing on the London Stock Exchange: Evidence from a New Price Impact Ratio, Journal of Banking and Finance, 35, 3335-3350.
16. Grossman, Sanford J., 1978. Further results of the informational efficiency of competitive stock markets. Journal of Economic Theory ,18, 81-101
17. Kyle, A. S., 1985. Continuous auctions and insider trading, Econometrica, 53,1315-1335
18. Kadlec, Gregory and John McConnell, 1994, The effect of market segmentation and illiquidity on asset prices: Evidence from exchange listings, Journal of Finance, 49, 611-636.
19. Lesmond, D., Ogden, J., and Trzcinka, C., 1999. A new estimate of transaction costs, Review of Financial Studies, 12, 1113-1141
20. Lehavy, R. and Sloan, R. G., 2008. Investor Recognition and Stock Returns, Review of Accounting Studies, 13, 327-361.
21. Merton, Robert, 1987, Presidential address: A simple model of capital market equilibrium with incomplete information, Journal of Finance, 42, 483-510.
22. O'Hara, M., 1995. Market microstructure theory. Cambridge: Blackwell Publisher Inc.
23. Sanger, G. and J. J. McConnell, 1986. Stock exchange listings, firm value, and security market efficiency: The impact of NASDAQ, Journal of Financial and Quantitative Analysis, 21, 1-25.
24. Tse, Y. and Devos, E., 2004. Trading Costs, Investor Recognition and Market Response: An Analysis of Firms that Move from the Amex (Nasdaq) to Nasdaq (Amex), Journal of Banking and Finance, 28, 63-83.

國內文獻
1. 黃媛君，民89，「台灣上櫃公司轉上市的動機與股價行為的研究」，國立臺灣大學財務金融學研究所未出版碩士論文。
2. 李安祺，民90，「我國股票上櫃轉上市前後之價格行為比較」，私立中國文化大學會計研究所未出版碩士論文。
3. 陳易成，民91，「台灣地區上櫃轉上市公司異常報酬與穩定性之研究」，國立中山大學財務管理學系碩士論文。
4. 吳世爵，民92，「台灣上櫃轉上市股票長期投資績效探討」，私立淡江大學財務金融學系碩士在職專班論文。
5. 李田光，民93，「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」，國立交通大學經營管理研究所碩士論文。