隨著金融市場日益全球化，導致越來越多企業選擇在其國內市場以外的交易所交叉上市，然而中國上市公司為了募集資金以及獲取額外報酬，選擇赴不同資本市場掛牌。中國上市公司在不同資本市場進行掛牌是否存在顯著之異常報酬率與其影響之因子為本文研究目的。
本研究以1997至2019年間在港股、美股掛牌以及同時於港股和美股掛牌之中國上市公司為樣本，運用事件研究法來探討中國上市公司在不同資本市場掛牌長期與短期之異常報酬，並進一步使用橫斷面複迴歸以及分量迴歸分析，探討影響累積異常報酬之因子。結果發現，公司於港股掛牌時，短期異常報酬為正負向交叉顯著，長期則為正向顯著，於美股掛牌時，短期呈現正向顯著，長期則為負向顯著，然而，公司規模、總負債、淨利潤、金融業、製造業以及深圳交易所上市之變數，皆為累積異常報酬之顯著影響因子，因此本文提供中國上市公司欲赴港股、美股掛牌之經營者做為參考。
With the increasing globalization of the financial market, more and more companies choose to cross-list on exchanges outside their domestic market. However, Chinese listed companies choose to list on different capital markets in order to raise funds and obtain additional return. Whether there is significant abnormal return and its influencing factors when Chinese companies are listed in different capital markets is the purpose of the study.
This study uses the Chinese listed companies listed on Hong Kong stocks and U.S. stocks as well as both Hong Kong and U.S. stocks as samples from 2005 to 2019, and uses event study to explore the long-term and short-term abnormal returns of Chinese listed companies listed on different capital markets. And further use cross-sectional multiple regression to explore the factors affecting cumulative abnormal returns. The results of this study found When the company is listed on the Hong Kong stock market, the short-term abnormal return is significant in the positive and negative directions, and the long-term is positive and significant. When the company is listed on the US stocks market, the short-term is positive and significant in the long-term. However, the variables of the firm size, total debt, net income, financial, manufacturing industry, and the Shenzhen Stock Exchange are the significant effects of the cumulative abnormal returns. Therefore, this study provides the operators of Chinese listed companies wishing to go to Hong Kong stocks market and US stocks market as a reference.
