Weekend Effect、Monthly Effect and Financial Tsunami Effect of IPO in Taiwan

• Main Authors: LIN, YU-YEN, 林玉嬿
• Other Authors: HORNG, YUH-SHENG
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/7pnwr5

碩士 === 靜宜大學 === 財務金融學系 === 104 === From the past until now, many scholars have been studied about performance of IPO, but few scholars put date of IPO into discussion. There are 191 IPO firms in our sample from March 2005 to December 2014 excluding TDR, F-Stock and financial industry. The main of our study discusses whether the date of IPO will influence the long term or short term return, take Weekend Effect, Monthly Effect and Financial Tsunami Effect to research, it’s different from the previous research of Weekend Effect and Monthly Effect, scholars only make research on stock for one day. Take Taiwan for example, since 2005 IPOs stock has not been limited up and down for the fifth day and three months as short term return and after six months and year IPOs become long term. According to the result, IPOs of Taiwan exist Weekend Effect. The IPO on Thursday of return is higher on that date. However, the IPO on Thursday of cumulative abnormal return is lower. That indicate the IPO on Thursday of return is Overly optimistic. The return of IPO on February, March, and April is higher than other months, but the return of IPO on November and December is lower than other months. With regard to Financial Tsunami result, the return of IPO before financial tsunami is lower than the IPO after Financial Tsunami of return, and the long term return of IPO after Financial Tsunami is higher than other period. It can be seen that the date of IPO has a notable influence on stock return indeed.