政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/30957
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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/30957


    Title: 強制集保結束期間之股價行為探討
    Authors: 許宗敬
    Contributors: 徐燕山
    許宗敬
    Keywords: 強制集保
    閉鎖期
    Date: 2002
    Issue Date: 2009-09-14
    Abstract: 摘 要

    台灣之集保法規分別在87年（針對上市公司）以及86年（針對上櫃公司）有一較重大的修訂，此修訂之後凡初次上市、櫃公司之內部人（指董監事及持股百分之十以上之大股東），扣除提出公開申購部分外之所有持股數都需集保。因此本研究之主要目的即在探討於此集保新規定之下，當集保期限結束時，內部人可領回原有集保的股票時，預期股票的供給增加，其對股價影響的效果為何？
    考量國內外於集保規定實務面上的差異，本研究將事件窗口分為二個觀察期，一為集保結束前、後各一天；另一為集保期限結束後七天至後九天。

    本研究實證結果如下：

    1. 事件窗口一之實證結果在異常報酬方面，上市樣本三天之累積異常報酬為0.78﹪；上櫃樣本三天之累積異常報酬為-0.49﹪，但上市與上櫃樣本之每日異常報酬均不顯著。而在交易量方面，上市樣本三天平均異常交易量增加42%，且在集保結束日及其後一日有顯著異常交易量；上櫃樣本三天平均異常交易量則增加12.3%，但每日異常交易量均不顯著。由於每日之異常報酬均不顯著，且上市與上櫃之實證結果並不一致，因此並無法判斷集保期限對於投資者而言是否具有資訊內涵。
    2. 事件窗口二之實證結果在異常報酬方面，上市樣本在第七天有顯著負異常報酬，且三天之累積異常報酬達-0.88﹪；上櫃樣本在第九天有顯著負異常報酬，三天之累積異常報酬為-0.67﹪。在交易量方面，上市樣本三天平均異常交易量增加82﹪，上櫃樣本則增加36.3﹪，且上市與上櫃每日均有顯著之異常交易量。此結果說明台灣市場在集保期限結束時期之股價行為也有類似美國的閉鎖效果，且由交易量顯著增加可發現在集保期間結束時，內部人的確會出售手中持股。
    3. 影響集保期限結束時負異常報酬的大小之實證結果裡發現，在上市部分，交易量以及內部人持股比例與累積異常報酬間有顯著的負向關係；而在上櫃部分，公司IPO後之股價表現、交易量以及內部人持股比例這三個變數則顯著為負；至於創投及競價拍賣兩變數則在上市與上櫃的實證結果裡皆不顯著。
    Reference: 參考文獻
    一、中文參考文獻：
    沈中華、李建然 2000，「事件研究法」，台北：華泰文化事業公司。
    二、英文參考文獻：
    Aggarwal, Rajesh K., Laurie Krigman and Kent L. Womack, 2002, “Strategic IPO Underpricing, Information Momentum, and Lockup Expiration Selling,” Unpublished Manuscript, Tuck School of Business, Dartmouth College.
    Bradley, Daniel J., Bradford D. Jordan, and Ha-Chin Yi 2001, “Venture Capital and IPO Lockup Expiration: An Empirical Analysis,” The Journal of Financial Research, 24, 465-492.
    Brau, James C., Val E. Lambson and Grant McQueen 2001, “Why Lockups?” Unpublished Manuscript, Brigham Young University.
    Brav, Alon and Paul A. Gompers, 2000, “Insider Trading Subsequent to Initial Public Offerings: Evidence from Expirations of Lock-Up Provisions,” Unpublished Manuscript, Duke University & Harvard University.
    Fama, E. F. 1970, “Efficient Capital Markets: A Review of Theory and Empirical Work,” Journal of Finance, 25, 383-417.
    Field, Laura Casares and Gordon Hanka 2001, “The Expiration of IPO Share Lockups,” Journal of Finance, 56, 471-499.
    Holthausen, R., R. Leftwich and D. Mayers, 1990, “Large-Block Transactions: The Speed of Response, and Temporary and Permanent Stock-Price Effects,” Journal of Finance, 26, 71-95.
    Keasler, Terry R. 2000, “Underwriter Lock-up Duration and the Effect on Shareholder Value,” The Mid-Atlantic Journal of Business, 36, 133-143.
    Keim, D. and A. Madhavan, 1996, “The Upstairs Market for Large Block Transcations: Analysis and Measurement of Price Effects,” Review of Financial Studies, 9, 1-36.
    Lease, R., R. Masulis and J. Page, 1991, “An Investigation of Market Microstructure Impacts on Event Study Returns,” Journal of Finance, 46, 1523-1536.
    Leland, H. and D. Pyle, 1977, “Information Asymmetries, Financial Structure, and Financial Intermediation,” Journal of Finance, 32, 371-387.
    Mikkelson, W. and M. Partch, 1985, “Stock Price Effects and Costs of Secondary Distributions,” Journal of Financial Economics, 14, 165-194.
    Mohan, Nancy J. and Carl R. Chen 2001, “Information Content of Lock-Up Provisions in Initial Public Offerings,” International Review of Economics and Finance, 10, 41-59.
    Ofek, Eli and Matthew Richardson 2000, “The IPO Lock-Up Period:Implications for Market Efficiency And Downward Sloping Demand Curves,” Unpublished Manuscript, Stern School of Business, New York University.
    Scholes, Myron S. 1972, “The Market for Securities: Substitution versus Price Pressure and the Effects of Information on Share Prices,” Journal of Business, 45, 179-211.
    Shleifer, Andrei, 1986, “Do Demand Curves for Stock Slope Down?” Journal of Finance, 41, 579-590.
    Welch, I., 1989, “Seasoned Offerings, Imitation Costs, and the Underpricing of Initial Public Offerings,” Journal of Finance, 44, 421-450.
    Description: 碩士
    國立政治大學
    財務管理研究所
    89357009
    91
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0089357009
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

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