發行海外存託憑證之股價反應：上市地點、產業別與是否發行新股之探討

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研究生：	翁暐婷 Wei-ting Weng
論文名稱：	發行海外存託憑證之股價反應：上市地點、產業別與是否發行新股之探討 Market Reaction of GDR Listing：The Effect of Listing Locations, Industries and New Stock Issuing
指導教授：	何中達 Chung-ta Ho
口試委員:
學位類別：	碩士 Master
系所名稱：	管理學院 - 財務金融學系 Department of Finance
論文出版年：	2014
畢業學年度：	102
語文別：	中文
論文頁數：	49
中文關鍵詞：	海外上市、海外存託憑證、事件研究法、價格效果
外文關鍵詞：	Cross-listing, Global Depositary Receipts, Event study, Price Effec
相關次數：	點閱：11 下載：0
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查詢本校圖書館目錄查詢臺灣博碩士論文知識加值系統勘誤回報

隨著全球化的趨勢，愈來愈多臺灣企業選擇至國際資本市場海外上市，本文旨在
探討臺灣企業首次至國外發行海外存託憑證對發行公司帶來的效益為何，利
用事件研究法分別探討宣告日及上市日前後的股價反應，並依據上市地點、產業
別及是否參與現金增資來區分樣本，檢視其價格效果的差異，最後利用多元迴歸
模型探討各虛擬變數對於累計異常報酬的解釋能力。結果顯示，整體樣本在宣告
前市場有明顯正向反應，上市後則有明顯股價下跌現象。至盧森堡上市的公司相
對其宣告效果小於至倫敦美國上市的公司且時間點較早，電子業其宣告效果較非
電子業來的好，而包含以新股發行海外存託憑證的其宣告效果較純粹以現股發行
的公司來的好。

With the trend of globalization, more and more companies in Taiwan choose to cross-list on international capital markets. This paper mainly examines how the Taiwan market react to the first issue of Global Depositary Receipts. This paper uses event study to examine the stock price effect of both announcement day and listing day. This paper also examine the differences of price effect according to listing
location, industries and whether issuing new stocks. Finally, this paper uses the multiple regression to test the explanation of dummy variables to the cumulative abnormal returns. Empirical results shows that the overall sample has significantly positive cumulative abnormal returns before the announcement day and the stock prices obviously go down after the listing day. The announcement effect of companies
cross-listing to Luxembourg is much earlier and smaller than companies to London or U.S., the electronics companies have strong effect than non-electronics companies, and the companies issuing new stocks have much higher abnormal returns than the companies using only original stocks.

一、緒論 ....................................................................................................................... 1
1-1 研究背景與動機 ............................................................................................. 1
1-2 研究問題 ......................................................................................................... 3
1-3 研究架構 ......................................................................................................... 3
二、文獻回顧 ............................................................................................................... 4
2-1 海外上市探討議題 ......................................................................................... 4
2-1-1 流動性 .................................................................................................. 4
2-1-2 風險和資金成本 .................................................................................. 5
2-1-3 公司治理、代理衝突及法規約束 ..................................................... 5
2-1-4 跨國上市其資訊環境的改變 .............................................................. 6
2-1-5 其他相關議題 ...................................................................................... 6
2-2 價格效果文獻探討 ......................................................................................... 7
2-2-1 市場為正向反應 .................................................................................. 7
2-2-2 市場反應微小或負向反應 .................................................................. 9
2-3 海外上市相關國內文獻 ............................................................................... 10
三、研究方法 ............................................................................................................. 12
3-1 研究方法 ....................................................................................................... 12
3-1-1 事件研究法 ........................................................................................ 12
3-1-2 多元迴歸模型 .................................................................................... 15
3-2 研究對象與資料來源 ................................................................................... 16
3-2-1 研究期間與樣本 ................................................................................ 16
3-2-2 資料來源 ............................................................................................ 16
四、實證結果與分析 ................................................................................................. 17
4-1 研究樣本敘述說明 ....................................................................................... 17
4-2 股價效果之檢定結果 ................................................................................... 23
4-3 多元迴歸分析 ............................................................................................... 31
五、結論 ..................................................................................................................... 34
5-1 結論 ............................................................................................................... 34
5-2 後續發展與建議 ........................................................................................... 35
參考文獻.............................................................................................................. 36
表目錄
表1-1 各證券市場上市公司家數和市值統計 ............................................................ 2
表4-1 樣本資料 .......................................................................................................... 17
表4-2 上市年度與地點分布 ...................................................................................... 20
表4-3 上市年度與產業分布 ...................................................................................... 21
表4-4 上市地點與產業分布 ...................................................................................... 22
表4-5 新股或現股發行與產業、上市地點分布 ...................................................... 22
表4-6 股價效果_總樣本 ............................................................................................ 23
表4-7 股價效果_金融海嘯前發行 ............................................................................ 24
表4-8 股價效果_盧森堡上市 .................................................................................... 25
表4-9 股價效果_倫敦美國上市 ................................................................................ 26
表4-10 股價效果_倫敦上市 ...................................................................................... 27
表4-11 股價效果_美國上市 ...................................................................................... 27
表4-12 股價效果_電子業 .......................................................................................... 28
表4-13 股價效果_非電子業 ...................................................................................... 29
表4-14 股價效果_新股發行 ...................................................................................... 30
表4-15 股價效果_現股發行 ...................................................................................... 30
表4-16 股價效果_新股與現股發行 .......................................................................... 31
表4-17 多元迴歸分析_宣告日前後一天累計異常報酬(1992~2007 年) ................ 32
表4-18 多元迴歸分析_宣告日當天異常報酬(1992~2007 年) ................................ 32
                                

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國內文獻
1. 劉仲宙，臺灣地區發行海外存託憑證對標的股票價格變動之研究，政治大學
企業管理研究所，1995 年。
2. 林孟勳，海外上市的資訊內涵與產業內資訊移轉效果之實證研究－以台灣企
業首次發行海外存託憑證為例，2007 年。
3. 洪裕弘，台灣企業在海外上市對原公司股票之影響，成功大學國際企業研究
所，2007 年。
4. 黃騰緯，台灣存託憑證發行事件對發行公司原市場股價影響探討，臺灣大學
財務金融研究所，2011 年。

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