| Abstract: | 有關股票市場的研究，目前大部份的研究焦點皆放在IPO市場以及IPO後的上市櫃 市場，而關於IPO前交易的相關研究則相當稀少。在這個計畫中，我們利用台灣特有的 IPO前的股票交易市場-興櫃股票市場-來進行一系列有關未上市股票市場的研究。 第一年的研究，本計畫先進行興櫃股票市場的造市活動分析。主要探討推薦證券商 (造市者)在未上市櫃股票市場的造市行為、存貨風險、獲利狀況，以及推薦證券商在資 本利得與造市義務之間的取捨。第二年的研究，本計畫分析投資人的投資行為。本研究 將興櫃股票市場的投資人區分為外資、自營商、國內法人及自然人四大類進行分析。主 要了解各類投資人在興櫃股票市場的參與狀況、投資策略以及投資獲利狀況。第三年的 計畫主要探討未上市股票市場的經濟價值。本研究將台灣上市櫃公司分成上市櫃之前先 登錄興櫃股票市場交易，及上市櫃之前未於興櫃股票市場交易的兩組樣本，進而比較這 兩組樣本在上市櫃後的市場品質。有關市場品質，本計畫參考過去文獻中有關市場品質 的研究，分析這兩組樣本上市後的報酬波動性、訂價誤差及流動性是否有所差異。另外， 亦分析未上市櫃股票市場的造市品質對上市櫃後的市場品質之影響。 本研究補充了文獻上對未上市股票市場的有限認識，對未上市股票市場的參與者行 為進行分析，包括造市者以及投資人。並分別分析這些參與者的參與狀況、投資交易策 略及獲利狀況等。此外並由這些分析中解析此市場參與者的參與動機。最後並分析未上 市櫃股票市場的經濟價值，了解這樣的一個市場對上市櫃後的市場品質是否有所助益。
Most studies of stock markets have focused on the market and after-market of IPOs. There is little prior research on pre-IPO markets. In this research we exploit a unique pre-IPO market of the Taiwan equity market, namely the Emerging Stock Market to implement a series of related research on the unlisted stock market. In the first year, we plan to investigate market making activities of the emerging stock market. We explore the market making behavior, inventory risk, profits, and the trade-off between the capital gains and market making obligations of the recommending securities firms (market makers). In the second year, we turn to examine the investment behavior of investors. We divide investors into the foreign investors, dealers, domestic institutional investors and individual investors, and then analyze the participation condition, investment strategy and profits of these investors. And in the third year, we explore the economic value of the unlisted stock market. We compare the market quality in the IPO aftermarket of the emerging stock with non-emerging stock samples. The measurement of market quality includes return volatility, pricing error and liquidity. Besides, we also analyze the influence of market marking quality during the emerging stock market on the market quality of IPO aftermarket. This research extends the existing studies on the limited understanding of the unlisted stock market by analyzing the behavior of participants in this market, including market makers and investors. We analyze the participation condition, investment strategies and profits, etc. We also explore the motivation of participant in this market. Finally, we analyze the economic value of the unlisted stock market, exploring whether such a market benefits the quality of IPO aftermarket to some extent. |
