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研究生:林秀慧
研究生(外文):Hsiu-Huei Lin
論文名稱:交易訊息與新上櫃公司期初累積報酬之關聯性---台灣之實證研究
論文名稱(外文):The Trade Information Relate with the Returns of Initial Public Offerings ---An Empirical Study in the Taiwan OTC Market
指導教授:陳禮潭陳禮潭引用關係陳忠榮陳忠榮引用關係
指導教授(外文):Lii-Tarn ChenJong-Rong Chen
學位類別:碩士
校院名稱:國立中央大學
系所名稱:產業經濟研究所
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2004
畢業學年度:92
語文別:中文
論文頁數:73
中文關鍵詞:資訊不對稱IPOs期初報酬私有資訊交易非涵蓋模型
外文關鍵詞:Non-nested modelinformed tradeAsymmetric Informationthe initial return of IPOs
相關次數:
  • 被引用被引用:1
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本文主要探討新上櫃股票(IPOs)期初累積報酬中所隱含私有資訊交易。我們以台灣新上櫃股票市場為研究對象,利用私有資訊交易模型來估測IPOs上櫃後所含的資訊訊息,取代一般文獻中以間接的代理變數來衡量IPOs期初報酬中資訊不對稱的狀況。同時並以非涵蓋模型(Non-nested model)檢測,私有資訊因子的單一廻歸模型與代理變數的複廻歸對IPOs期初報酬的解釋程度,何者為優勢模型?實證結果發現台灣新上櫃股票市場確實存在期初報酬,在IPOs期初報酬的廻歸分析模型中,私有資訊交易模型中所求出代表資訊不對稱的因子,與新上櫃股票期初報酬的模型解釋力達顯著水準;而一般間接代理變數中以中籤率和上櫃前股東人數之解釋能力為顯著。此外,我們將以一般代理解釋變數的廻歸模型,與私有資訊因子的廻歸模型作非涵蓋模型的檢定,比較何為優勢模型?證據顯示T統計量顯著拒絕代理變數模型為優勢模型之虛無假說;反之我們再進行相對應的檢定,發現T統計量並不拒絕資訊交易模型為優勢模型之虛無假說。因此,我們推論本研究所推導之私有資訊因子的模型確實優於傳統的代理變數複廻歸模型。
In this thesis, I use a new empirical model, Informed Regression Model (IRM) to estimate the probability of trades generated by privately informed traders in the IPO market of Taiwan OTC. Meanwhile, I also follow the literatures on the IPO subjects, using Explicit-Variable Regression Model (EVRM), to find out the factors affecting the initial returns of the IPO securities. Appling the Non-nested Model testing method, I compare the IRM with the EVRM and find several empirical results as follows: (1) Evidence shows that the IPO market of Taiwan OTC existing initial returns. (2) The factors affecting the initial returns of the IPO securities are the drawing percentage and the number of shareholders before IPO. (3) The empirical results show that the factor of the informed traders has a significantly negative impact on the initial return of IPOs. (4) The result of the Non-nested model testing shows that the IRM is superior to EVRM.
第一章 緒論...........................................................................01
第一節 研究動機...........................................................................01
第二節 研究目的...........................................................................03
第三節 研究架構與內容………………………………………………04
第二章 參考文獻...........................................................................06
第一節 IPOs期初報酬之相關文獻...........................................................06
第二節 私有資訊交易模型之相關文獻………………………………….15
第三章 研究方法.........................................................................19
第一節 新上櫃股票期初報酬與代理變數之迴歸模型...........................19
第二節 私有資訊交易模型之推導...........................................................22
第三節 新上櫃股票的期初報酬與私有資訊交易模型之關聯性...........28
第四節 非涵蓋模型...................................................................................30
第四章 資料樣本.........................................................................35
第一節 樣本市場環境概述.......................................................................35
第二節 研究樣本.......................................................................................38
第三節 新上櫃股票之代理變數探討.......................................................40
第五章 實證結果分析..................................................................44
第一節 新上櫃股票期初報酬與代理變數分析.......................................44
第二節 新上櫃股票期初報酬與私有資訊交易模型分析.......................53
第三節 非涵蓋模型檢定………………………………….......................55
第六章 結論與建議......................................................................57
第一節 研究結論.......................................................................................57
第二節 後續研究建議...............................................................................60
參考文獻....................................................................................62
附錄..........................................................................................67
馬可夫轉換模型.................................................................................................67
一、英文部分
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5.Brockaman, Paul and Y. Chung, Dennis. “Informed and Uninformed Trading in and Electronic, Order-Driven Environment”, The Financial Review, Vol. 35, No.2, pg. 125-146, 2000.
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9.Chiang, R., and P. C. Venkatesh,”Insider Holding and Perceptions of Information Asymmetry: A Note,” Journal of Finance, September, pg.1041-48, 1998.
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19.Hamilton, J. D., “Time Series Analysis”, Princeton University Press, 1994.
20.Handa, Puneet, Robert Schwartz and Ashish Tiwari, “Determinants of the Bid-Ask Spread in an Order Driven Market”, Working Paper, Sept 1997.
21.Heidle, Hans G. and D. Huang Roger, “Information-Based Trading in Dealer and Auction Markets: An Analysis of Exchange Listings”, Working Paper, 1999.
22.Huang, Y. S.” The price behavior of initial public offerings on the Taiwan Stock Exchange,” Applied Financial Economics, Vol.9, pg. 201-208. 1999.
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27.Judge, G., W. E. Griffiths, R. C. Hill, H. Lütkepohl, and T.-C. Lee, The Theory and Practice of Econometrics, 2nd edition, John Wiley and Sons Inc. , 1997
28.Ken Nyholm,” Inferring the private information content of trades: a regime-switching approach” Journal of Applied Econometrics, vol. 18, issue 4, pg. 457-470, 2003.
29.Krigman, L., Shaw, W.H., Womack, K.L., “The Persistence of IPO Mispricing and the Predictive Power of Flipping”, Journal of Finance, Vol. 54, No. 3, pg. 1015-1044, 1999.
30.Kyle, A. S., “Continuous Auctions and Insider Trading,” Econometrica, Vol. 53, No. 6, pg. 1315-1335, 1985.
31.Leland, H.E. and D.H. Pyle,” Information Asymmetries, Financial Structure and Financial Intermediation,” Journal of Finance, 32, pp371-387, 1977.
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34.Ma, Tai, M. H. Hsieh and J. H. Chen, “The Probability of Informed Trading and the Performance of Stock in an Order-Driven Market”, The Paper of 9th Conference on the Theories and Practices of Securities and Financial Markets, 2000.
35.Maddala, G. S., Introduction to Econometrics, 3rd edition, pg.502-506, 2001.
36.Mauer, D. C. and L. W. Senbet, "The Effect of the Secondary Market on the Pricing of Individual Public Offerings: Theory and Evidence," Journal of Financial and Quantitative Analysis, Vol. 27, pg. 55-80, 1992.
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38.Muscarella, C.J. and M.R. Vetsuypens, “A Simple Test of Baron’s Model of IPO Underpricing,” Journal of Financial Economics Vol. 24, pg. 125-135, 1989a.
39.Tinc, S., “Anatomy of initial public offerings of common stock.” Journal of Finance Vol. 43, pg. 789-882, 1988.
40.Titman, S. and B.Trueman,” Information Quality and the Offerings Common Stock,” Journal of Accounting and Economics, Vol.8, pg.159-172, 1986.
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44.Ritter, J. and I. Welch, “A Review of IPO Activity, Pricing, and Allocations.” Journal of Finance, Vol. 57, No. 4, pg. 1795-1828, 2002.
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48.Welch, I.,” Seasoned Offerings, Imitation Costs and the Underpricing of Initial Public Offering,” Journal of Finance, Vol. 44, pg. 421-449, 1989.
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二、中文部分
1. 楊清芬,「資訊交易機率測度及其決定因素之探討」,國立中山大學財務管理所,2001。
2. 朱立倫,「臺灣股市新上市股票蜜月現象之研究」,證券市場發展,民國86年,第9卷第1期,頁1-29。
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