閉鎖期是規定公司在IPO時內部人所持有股票必須強制送往證券集中保管事業， 與美國的閉鎖期採協議制不同。金融產業因性質特殊常被排除於研究樣本之外， 故本研究特以金融產業為研究標的，企圖探討閉鎖期對金融產業的影響。實證結 果發現：整體而言，台灣金融市場在閉鎖期結束時，的確會出現股價下跌及正的 異常交易量情形；若拆成六個閉鎖期滿領回日，亦有顯著為負的股價反應(除事 件日一、六)，及正的異常交易量(除事件日二)，且顯示金融業對於閉鎖期在交 易量方面十分敏感。內部人領回受限制股票前後的交易行為方面，發現內部人在 領回受限制的股票後並不會大量釋出持股，且在所有閉鎖期結束前，內部人的交 易行為不會隨著時間有一定的走勢可循。最後實證顯示前期股價表現與閉鎖期滿 日累積異常報酬存有顯著關聯性；拆成五個領回日時，各變數在各事件日中的顯 著情況則不一致。 Lock-up is a rule about how the insiders have obligation to give their holding stocks to the central depository company after IPO. It is quite different in U.S where it is based on agreements. Most studies cast financial company samples aside due to their unique nature. Thus, we focus on financial companies, attempting to explore the effect of Lock-up on financial market. As the whole, the evidence shows that stock price does fall around lock-up expiration in Taiwan financial market, concurrent with positive abnormal trading volume. Divided into six lock-up expiration dates, the results imply a negative respond of stock price (except event 1 and 6) and a positive abnormal trading volume (except event 2). Moreover, they indicate that financial companies are extremely sensitive to Lock-up in trading volume. In regard to insider trading behavior before and after receiving their restricted stocks, we find insiders do not release large number of stocks after receiving. In addition, over the lock-up period there is no stable pattern concerning insider trading behavior. Finally, our evidence implies that the prior return is significantly associated with the cumulative abnormal returns around lock-up expiration. Divided into five expiration dates, the results of the variables lack of consistency among five events.
2004財經學術研討會論文集(上)=Proceedings of 2004 Conference on Economics and Business，頁A1-43-76