The Relationship Between Pre-IPO Market and The Price Volatility of New IPO Stocks

臺灣股票市場自2011年至2015年共計304間上市（櫃）企業中，有77間外國企業，其中，49間外國企業未在上市（櫃）前經興櫃市場交易，即直接完成上市（櫃）程序。由於股價波動率係反應一檔股票在市場的價格變動風險，因此本研究旨在分析潛在風險較高的外國企業，在未興櫃的情形下，其上市（櫃）後股價波動情形與有興櫃企業，是否有顯著性差異，所得論點如下： 1.上市（櫃）有在興櫃市場交易對股價波動性有負向影響： 以股價波動性為應變數，「上市（櫃）前有在興櫃市場交易」變數的係數在不同情境下，分別為-0.865~-1.214，顯見，上市（櫃）前有在興櫃市場交易對股價波動性有負向影響，即有興櫃可以降低股價波動性。 2.有興櫃的外國企業，其上市（櫃）後之股價波動性較未興櫃的外國企業低。 依據迴歸分析，「上市（櫃）前有在興櫃市場交易」變數在外國企業股價波動性中，有顯著負向影響，敘述統計亦顯示有興櫃的外國企業，其股價波動性顯著較低。 3.除上市（櫃）前是否在興櫃市場交易會影響股價波動性外，股票周轉率、平均在外流通股數、中籤率、產業別（電子業或生技業），均對股價波動性有顯著性影響。然而，上市（櫃）前有在興櫃市場交易對股價波動性的影響相對較上述分析因子大，顯見若主管機關欲以穩定上市（櫃）後股價、降低投資人風險為目標，要求企業進行興櫃是最具可行性的方式。During the period of 2011~2015, there are 304 new IPO companies listing in Taiwan securities market, including 77 foreign companies. Among the 77 foreign companies, there are 49 companies completing the entire IPO procedure without trading in the “Pre-IPO market” (or Emerging Stock Market). The study adoptes “price volatility “as a dependent variable since it could reflect the market price risk, and aims to analyze whether the differences between non-pre-IPO-traded-foreign companies with inherited higher risk, and new IPO companies with trading history in the pre-IPO market, are significant. The findings are stated below, 1.There is a negative relationship between “price volatility” and “trading in the pre-IPO market” When we use price volatility as the dependent variable, the independent variable—“traded in the pre-IPO market” has coefficient from -0.865~-1.214. We could conclude from the aforementioned analysis that the relationship between “price volatility” and “trading in the pre-IPO market” is negative. In other words, new IPO companies traded in pre-IPO market could have lower price volatility. 2.As of the foreign company, the first 30 days’ price volatility after IPO could be lower for those who traded in the pre-IPO market. As of the foreign companies, “trade in the pre-IPO market” variables have negative impacts on the price volatility, according to regression analysis. On the other hand, the descriptive statistics also present the similar result—the price volatility would be lower for those foreign company traded in the pre-IPO market. 3.In addition to “trade in the pre-IPO market”, there are several influential independent variables for the price volatility, including the “stock turnovers”, average outstanding shares, “lottery winning rate”, and “industry—electronic or biotechnology sectors”. However, “traded in the pre-IPO market” has the most significant and prominent impact on the price volatility among all independent variables. It could be concluded that the competent authorities should enforce the IPO applicants to trade in the pre-IPO market, if the competent authorities aim to find a feasible and efficient method to stabilize IPO price and reduce the risk of investors