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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/54183
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/54183


    Title: TDRs與原上市地股票價格關係之探討
    Price transmission dynamics between TDRs and the underlying foreign securities
    Authors: 張韡華
    Contributors: 朱浩民
    張韡華
    Keywords: 單根檢定
    共整合
    時間序列分析
    TDR
    台灣存託憑證
    Date: 2011
    Issue Date: 2012-10-30 10:14:56 (UTC+8)
    Abstract: 台灣存託憑證(TDRs)從2009年起在台盛行,至今有三十五檔TDRs在台灣證劵交易所掛牌,各檔TDRs交易期間至今約半年至三年不等,目前TDRs檔數和交易時間已足以做比較和計量檢定,因此本文以在台灣證劵交易所掛牌之TDRs為對象,選取13檔TDRs做實證研究,資料期間為各檔TDRs上市日至2012年2月17日的日資料。研究內容包含兩部分:1.透過單根檢定、共整合檢定、VAR模型、Granger關係檢定和誤差修正模型等實證分析,觀察兩地股價是否具有長期的穩定關係和價格發現功能,以及股價波動是否具有因果關係;2.近年來台灣的相關法規是否對TDRs交易機制有正向幫助。實證結果主要如下:1.大部分TDRs結果顯示股價、匯率和大盤指數間具有長期的穩定關係,即是有共整合現象;誤差修正模型(VECM)中各變數的係數大多不顯著,也就是說各變數在短期並無法透過此模型來預測股價;2.在因果檢定方面,樣本中有5檔TDRs的原股股價對TDRs股價有領先效果,另外8檔TDRs的原股股價和TDRs股價間並沒有顯著的領先或落後效果;3.台灣近年陸續發布的相關法規確實改善市場的供需問題
    和價格偏離現象,對投資人有正面幫助。
    Reference: 國內文獻
    1. 吳禮祥(2000),「美國存託憑證的套利與價差交易」,國立台灣大學財務金融研究所碩士論文。
    2. 沈中華、邱志豪(1999),「交易成本,GDR與股價的套利:門檻共整合應用」,中國財務學刊,第7卷第2期,89-112。
    3. 周冠男、徐之強、吳昭勳(2004),「美國存託憑證報酬與風險傳遞之研究」,中山管理評論,第十二卷,37-62。
    4. 邱建良、劉聰衡、紀家政(2000),「台灣股市與國際股市共移性之研究」,商管科技季刊,第一卷,第三期,263-285。
    5. 張世潔(2000),「美股-臺股股價報酬之共移性及海外存託憑證與臺灣原股之報酬波動外移溢效果」,國立台灣大學國際企業學研究所碩士論文。
    6. 黃營杉、李銘章(2004),「台灣母公司股票報酬與其ADR報酬間資訊傳遞之研究」,東吳經濟商學學報,第四十八期,1-32。
    7. 楊聲勇、董澍琦、王澤世及張德立(2005),「美國存託憑證與其標的股之報酬與波動性的日內動態傳遞研究-以亞洲四小龍為例」,經濟與管理論叢,第一期,119-141。
    8. 蘇欣玫、徐銥琦、鄭婉秀(2008),「美國存託憑證與其標的股之價量資訊動態傳遞研究」,管理研究學報,第八期,55-79。






    國外文獻
    1. Bryan Alex (2007), “Do ADRs Violate the Law of One Price? Deviations from Price Parity in the Absence of Fundamental Risk,” working Paper, undated.
    2. Chung Huimin (2006),“Investor Protection and the Liquidity of Cross-listed Securities: Evidence from the ADR Market,” Journal of Banking & Finance, Vol.30, Issue 5, pp1485-1505.
    3. Gagnon, L. and G. A. Karolyi(2004), “Multi-Market Trading and Arbitrage,” Journal of Financial Economics, Vol.97, No.1, pp.53-88.
    4. Halling, M., M. Pagano, O. Randl and J. Zechner (2008),“Where is the Market? Evidence from Cross-Listings in the U.S,” Review of Financial Studies, Vol. 21, Issue 2, pp.725-761
    5. Hansda, S., K. and P. Ray(2003), “Stock Market Integration and Dually Listed Stocks: Indian ADR and Domestic Stock Prices,” Institute for Financial Management and Research, Vol.38, Issue 8, pp.22-28.
    6. Jong, D., A., L. Rosenthal and M. A. Van Dijk.(2008), “The Risk and Return of Arbitrage in Dual-Listed Companies,” Review of Finance, Vol. 13, 495-520, 2009
    7. Kim, M., A. C. Szakmary and I. Mathur (2000) , “Price Transmission Dynamics between ADRs and their Underlying Foreign Securities,” Journal of Banking & Finance, Vol.24, pp.1359-1382
    8. Kryzanowski, L. and S. Lazrak(2008), “Liquidity Minimization and Cross-listing Choice: Evidence based on Canadian Shares Cross-listed on U.S. Venues,” Journal of International Financial Markets, Institutions & Money, Vol.500, pp.360-375.
    9. Kutan, A. M. and H. Zhou(2006), “Determinants of Returns and Volatility of Chinese ADRs at NYSE,” Journal of Multinational Financial Management, Vol.16, pp.1-15.
    10. Rabinovitch, R., A. C. Silva and R. Susmel(2003), “Returns on ADRs and Arbitrage in Emerging Markets,” Emerging Markets Review, Vol.4, issue 3, pp225-247.
    11. Robert, F., E. and C. W. J. Granger(1987), “Co-integration and Error Correction: Representation, Estimation, and Testing,” Econometrica, Vol.55, No.2, pp. 251-276.
    12. Roosenboom, P. and M. A. Van Dijk(2009), “The Market Reaction to Cross-listings: Does the Destination Market Matter?” Journal of Banking & Finance, Vol. 33, pp.1898–1908
    13. Sarkissian, S. and M. J. Schill(2006), “Are There Permanent Valuation Gains to Overseas Listing?” Review of Financial Studies, Vol.22, Issue 1, pp.371-412.
    Description: 碩士
    國立政治大學
    金融研究所
    99352008
    100
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0099352008
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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