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| Title: | TDRs折溢價情形於2020金融危機爆發後之探討
The Evolution of TDRs Premium over the 2020 Financial Crisis |
| Authors: | 蔡宇宸
Tsai, Yu-Chen |
| Contributors: | 鍾令德
Douglas Chung
蔡宇宸
Tsai, Yu-Chen |
| Keywords: | 台灣存託憑證
折溢價
Taiwan Depository Receipts
Premium |
| Date: | 2021 |
| Issue Date: | 2021-08-04 14:26:33 (UTC+8) |
| Abstract: | 台灣存託憑證(TDRs)於市場交易的時間已逾三十年，但近十年時間中因為市場的萎縮，導致相關學者投入之研究甚少，隨著2020年台股市場由新冠疫情帶來的金融恐慌中強勁復甦，TDRs市場再一次出現於台灣投資人的眼中。本文以2020年仍在台灣股市交易之13檔TDRs為研究對象，探討2020年TDRs與原股之間的折溢價演變。研究分為兩階段進行:第一階段，透過ADF單根檢定、VAR模型、檢驗共整合現象和Granger因果關係等實證分析方式，進行兩地股價於2011年至2019年之長期關係探討。第二階段，先以鄒檢定檢視TDRs與原股間之股價關係是否於2020年有顯著的結構性改變，如有，則進一步探討對兩者之間折溢價有顯著影響的參數。實證結果發現:13檔TDRs與原股間皆具有長期的穩定關係，在Granger因果關係檢定中，有6檔具有回饋因果之關係、另外6檔TDR股價則具有顯著的領先效果。隨後，透過鄒檢定之結果發現13檔TDRs與原股間之股價關係於2020年存在顯著的結構性改變，因此進一步以多元迴歸模型探討影響兩者之間折溢價的因子，最後得到TDR每日報酬率、原股每日報酬率、周轉率、一般投資戶當天成交比重、融資使用率、融券使用率以及PTT討論版上有關TDR文章的推文數共計7項參數對於TDR與原股間之折溢價變化具有顯著的解釋力。其中，近年來一般的投資戶透過社群網路之串聯，對於股市投資之影響也越來越重要，本文亦由相關參數對於TDR之折溢價具有較大的影響得到相關實證結果。
Taiwan Depository Receipts (TDRs) have over 30 years of history in the financial market. However, there has been little research interest in this area due to the shrinking TDR market over the last decade. As the Taiwan stock market strongly rebounded from the 2020 financial crisis, the TDRs market once again catches investors’ eyes. In this paper, we study the premium dynamics of 13 TDRs which are still trading in the Taiwan stock market in 2020. First, we use the ADF test and VAR models to explore cointegration relationship and Granger causality between the TDRs and their underlying assets from 2011 to 2019. Then, we use the Chow test to test whether these cointergration relationships experience structural breaks in 2020. Finally, we explore the parameters that have significant impacts on the TDRs’ premium.
Our empirical results reveal that: All TDRs in the testing sample are cointergrated with their underlying securities before 2020. In the Granger causality test, 6 TDRs have causal relationships while the other 6 TDRs have significant lead-lag effects. Subsequently, using the Chow test, we find significant structural breaks between the TDR prices and their underlying securities among 13 TDRs in 2020. Lastly, our regression analysis reveals that the TDR daily return, the underlying stock daily return, retail trading, margin trading, short selling, and the article count on the PTT forum are significant in explaining the TDRs’ premium. Overall, we find support for the view that retail investors exert growing influences on the stock market through their connections through social networks. |
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| Description: | 碩士
國立政治大學
國際經營與貿易學系
108351022 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0108351022 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202100812 |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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