The Study on Domestic Unlisted Securities—the Factors Affect Uncertified Brokers Market

• Main Authors: Hsiu-Yu Hu, 胡秀玉
• Other Authors: 何志欽
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/5c5zne

碩士 === 國立臺灣大學 === 經濟學研究所 === 94 === 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.