The Difference of the Speed of Stock Price Adjustment between Public Subscription and Partial Auction: An Empirical Study on IPOs in Taiwan

• Main Authors: Guo-Ruei Chen, 陳國瑞
• Other Authors: Gili Yen
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/91677001533056629970

碩士 === 朝陽科技大學 === 財務金融系碩士班 === 98 === Yen, Yen & Chen (1995) find that the post-offering price adjustment process is completed approximately on the 14th transaction day for the case of “public subscription”. The study just mentioned adopts graphic analysis as a measure of days-needed-for-reaching-equilibrium. Since it use the visual method, it is less objective. Therefore, this thesis attempts to apply the econometric model to explore the difference of the speed of stock price adjustment between “public subscription” and “partial auction”. In order to explore the difference of the speed of stock price adjustment between “public subscription” and “partial auction”. This thesis modifies the model of Lin & Rozeff (1995) to conduct our empirical analysis. Our sample is composed of the newly listed corporations on the Taiwan Stock Exchange (TAIEX) arising from the IPOs over the period from January 1 1996 to December 31 2004. The empirical results show that newly issues underwritten under partial auction have indeed registered a quick pace of price adjustment when compared with their counterparts underwritten under public subscription, although the difference in the stock price adjustment has not reached the statistical significance.