| Summary: | 碩士 === 國立中央大學 === 財務金融學系碩士在職專班 === 99 === This thesis compares the change of price of initial public offerings (IPOs) stock by 5 event days. The 5 event days include: (1) the apply day to TSEC or OTC, (2) the day the application approved by Examination Committee of TSEC or OTC, (3) Taiwan Stock Exchange or OTC board of directors meeting day for listing approval, (4) the contract execution day of Securities and Futures Bureau listing approval, and (5) the listed day in TSEC or OTC.
In this research, we found the result that, except the event day (3) Taiwan Stock Exchange or OTC board of directors meeting day for listing approval, there is significant excess return on all of 4 other event days. On the event day (5) the listed day in TSEC or OTC, the excess return is significant negative, and on the other 3 event days the excess return is significant positive.
Moreover, we examine the excess returns of buy-and-hold strategy in 7 following periods: (1) from the tenth day before the apply day to the day before the apply day, (2) from the day after the apply day to the day before the application approved, (3) from the day after the application approved to the day before Taiwan Stock Exchange or OTC board of directors meeting day for listing approval, (4) from the day after Taiwan Stock Exchange or OTC board of directors meeting day for listing approval to the day before the contract execution day of Securities and Futures Bureau listing approval, (5) from the day after the contract execution day of Securities and Futures Bureau listing approval to the day before the listed day in TSEC or OTC, (6) from the listed day to the fifth day after the listed day, and (7) from the contract execution day of Securities and Futures Bureau listing approval to the fifth day after the listed day. We also examine the excess return for the period from the tenth day before the apply day to the tenth day after the listed day in TSEC or OTC.
The result indicates that there is higher excess returns in period (3) and (5) than in the other periods and the price of IPOs stock trend up from the apply day to the listed day.
Finally, we conclude that there is no honeymoon effect of IPOs stock within 10 days after the listed day. Our reasoning is as follows: (1) the closing price on Emerging Stock Market is probably distorted; (2) new investors buy IPOs stock on underwriting stage, therefore the highest price of IPOs stock is found on Emerging Stock Market.
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