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題名：臺灣母公司股票報酬與其ADR報酬間資訊傳遞之研究
書刊名：東吳經濟商學學報
作者：黃營杉／李銘章
作者(外文)：Hwan, Ing-san／Lee, Ming-chang
出版日期：2005
卷期：48
頁次：頁1-32
主題關鍵詞：美國存託憑證；共整合；雙元-EGARCH；跨市場波動效果；不對稱效果；ADR；Cointegration；Bi-EGARCH；Cross-market volatility spillover；Asymmetric effect
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(7) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:7
  • 共同引用共同引用:62
  • 點閱點閱:87
台灣股價指數一個有趣的現象是常受美國道瓊及NASDAQ指數漲跌影響，但是聯電、日月光、矽品、台積電及旺宏ADR的母公司都在台灣，在不同市場區隔下，母公司股票或者是該公司發行的ADR，何者具有價格發現或者資訊揭露的效果？本研究之目的是要分析兩市場間報酬率與波動性的互動關係。分析所使用工具是雙元EGARCH模型，利用標準化殘差作為條件平均數及條件變異數的解釋變數進行分析；本研究驗證了兩市場間資訊傳遞的實証資料，兩市場報酬率的條件平均數長期而言都會趨於穩定，市場間的資訊是透過變異數及共變數加以傳遞。研究發現只有台積電及旺宏兩家公司股票具有價格領先的效果。在不對稱效果方面，ADR 對台灣母公司股票報酬率的影響以上漲趨勢比下跌趨勢影響大，台灣母公司股票對ADR 報酬率的影響以下跌趨勢比上漲趨勢影響大，而波動的持續性大約是三天左右。兩市場間短期存有波動外溢效果，但長期卻有穩定的關係。
There is an interesting phenomenon that Taiwan's stock index is influenced by DJIA and NASDAQ Index, but some ADRs' home-county stock, such as UMC, ASX, SPIL, TSM and MXICY are listed in Taiwan's stock market. In difference market segments, which one has the effects of price discovery and risk disclosure? To analysis the returns and volatility relationships between Taiwan's home-country equities and their ADRs are the purposes of this research. A bi-variate Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model is developed that includes a standardized residual as an explanatory variable for both the conditional mean and the conditional variance. This article provides evidence of returns and volatility dynamics linkages between Taiwan's home-county stocks and their American Depositary Receipts. The conditional mean returns from both markets are influenced by the long-run equilibrium relationship, and these markets are informational linked through the variance and covariance. This study finds that TSM and MXICY established the price-leading role of the cross-market. In asymmetric behavior, market advance has more impact than market retreat from ADR to Taiwan's home-country stock, but market retreat has more impact than market advance from Taiwan's home-country stock to ADR. The volatility shock persisted for about three days in the ADR market and Taiwan home-country stock market, respectively. There is a spillover effect between these two markets in the short run, but they jointly maintain a stable relationship in the long run.
期刊論文
1.Foerster, Stephen R.、Karolyi, George Andrew(1999)。The Effects of Market Segmentation and Investor Recognition on Asset Prices: Evidence from Foreign Stocks Listing in the United States。The Journal of Finance，54(3)，981-1013。  new window
2.Park, J.、Tavakkol, A.(1994)。Are ADRs a Dollar Translation of Their Underlying Securities? The Case of Japanese ADRs。Journal of International Financial Markets, Institutions, and Money，4，77-87。  new window
3.Karolyi, G. Andrew(1998)。Why Do Companies List Shares Abroad? A Survey of the Evidence and Its Managerial Implications。Financial Markets, Institutions, and Instruments，7(1)，1-60。  new window
4.Miller, D. P.(1999)。The Market Reaction to International Cross-Listings: Evidence from Depositary Receipts。Journal of Financial Economics，51(1)，103-123。  new window
5.Kato, K.、Linn, S.、Schallheim, J.(1991)。Are There Arbitrage Opportunities in the Markets for American Depositary Receipts?。Journal of International Financial Markets, Institutions and Money，1，73-89。  new window
6.古永嘉、孫瑞霙、張美玲(20030900)。臺灣股票報酬率與匯率變動波動外溢效果之再探討--雙變量EGARCH模型的應用。輔仁管理評論，10(3)，139-162。new window  延伸查詢new window
7.Bhar, R.(2001)。Return and Volatility Dynamics in the Spot and Futures Markets in Australia: An Intervention Analysis in a Bivariate EGARCH-X Framework。The Journal of Futures Markets，21(9)，833-850。  new window
8.Jarque, C. M.、Bera, A. K.(1987)。A Test for Normality of Observations and Regression Residuals。International Statistical Review，55(2)，163-172。  new window
9.Booth, G. G.、Martikainen, T.、Tse, Y.(1997)。Price and Volatility Spillovers in Scandinavian Stock Markets。Journal of Banking and Finance，21(6)，811-823。  new window
10.Iihara, Yoshio、Kato, Kiyoshi、Tokunaga, Toshifumi(1996)。Intraday Return Dynamics between the Cash and the Futures Markets in Japan。Journal of Futures Markets，16(2)，147-162。  new window
11.Chan, Kalok S.(1992)。A Further Analysis of the Lead-Lag Relationship Between the Cash Market and Stock Index Futures Market。Review of Financial Studies，5(1)，123-152。  new window
12.周雨田、李志宏、巫春洲(20020800)。臺灣期貨對現貨市場的資訊傳遞效果分析。財務金融學刊，10(2)，1-22。new window  延伸查詢new window
13.沈中華、邱志豪(19990800)。交易成本，GDR與股價的套利--門檻共整合應用。中國財務學刊，7(2)，89-112。new window  延伸查詢new window
14.謝文良(20021200)。價格發現、資訊傳遞、與市場整合--臺股期貨市場之研究。財務金融學刊，10(3)，1-31。new window  延伸查詢new window
15.沈中華(19980000)。海外存託憑證與普通股之間價格傳遞關係--臺灣之實驗研究。證券市場發展，10(2)=38，37-62。new window  延伸查詢new window
16.Fleming, J.、Kirby, C.、Ostdiek, B.(1998)。Information and Volatility Linkages in the Stock, Bond, and Money Markets。Journal of Financial Economics，49，111-137。  new window
17.Wahab, Mahmoud、Lashgari, Malek(1993)。Price Dynamics and Error Correction in Stock Index and Stock Index Futures Markets: A Cointegration Approach。Journal of Futures Markets，13(7)，711-742。  new window
18.Berndt, Ernst R.、Hall, Bronwyn H.、Hall, Robert E.、Hausman, Jerry A.(1974)。Estimation and Inference in Nonlinear Structural Models。Annals of Economic and Social Measurement，3(4)，653-665。  new window
19.Ljung, Greta M.、Box, George E. P.(1978)。On a Measure of Lack of Fit in Time Series Models。Biometrika，65(2)，297-303。  new window
20.Bollerslev, Tim、Chou, Ray Y.、Kroner, Kenneth F.(1992)。ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence。Journal of Econometrics，52(1/2)，5-59。  new window
21.Patro, Dilip Kumar(2000)。Return Behavior and Pricing of American Depositary Receipts。Journal of International Financial Markets, Institutions and Money，10(1)，43-67。  new window
22.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society，59(2)，347-370。  new window
學位論文
1.蔡璧徽(2003)。Differential Earnings Responses and Differential Prices between Depositary Receipts and Underlying Securities, and Earnings Management Incentive of Initial Depositary Receipt Offerings(博士論文)。國立臺灣大學。  new window
2.李雯華(2001)。美國存託憑證與相關變數之互動研究及其套利策略(碩士論文)。淡江大學。  延伸查詢new window
3.吳禮祥(2000)。美國存託憑證的套利與價差交易(碩士論文)。國立臺灣大學。  延伸查詢new window
其他
1.吳淵傑(2000)。台美股市交叉上市資訊傳遞之研究--以台積電、旺宏及福雷電存託憑證為例。  延伸查詢new window
2.莊忠柱(2000)。股價指數期貨與現貨的波動性外溢：台灣的實證。new window  延伸查詢new window
3.陳禕瑋(1999)。海外存託憑證與標的普通股之關聯性與套利之實證研究--以台灣上市公司為例。  延伸查詢new window
4.張宮熊及吳欽杉(1996)。台灣股票市場、貨幣市場與外匯市場資訊傳遞結構之研究。  延伸查詢new window
5.黃建勳(2001)。ADR及其價格因素間資訊傳遞效率性--台灣之實證研究。  延伸查詢new window
6.黃淑吟(1997)。台積電發行美國存託憑證之研究。  延伸查詢new window
7.蔡璧徽及黃志典(2003)。區隔市場下存託憑證與原股折溢價關係之研究--以台灣企業發行之海外存託憑證為例。  延伸查詢new window
8.Chan, K. C. and G. S. Seow(1996)。The Association between Stock Returns and Foreign GAAP Earnings versus Earnings Adjusted to U.S. GAAP。  new window
9.Ely, D. and M. Salehizadeh(2001)。American Depositary Receipts: An Analysis of International Stock Price Movements。  new window
10.Engle, R. F., T. Ito, and W. L. Lin(1990)。Meteor Showers or Heat Waves? Heteroskedastic Intradaily Volatility in the Foreign Exchange Market。  new window
11.Jian, C. X.(1998)。Diversification with American Depositary Receipts: The Dynamics and the Pricing Factors。  new window
12.Karolyi, G. A. and R. M. Stulz(1996)。Why do Markets Move together? An Investigation of US-Japan Stock Return Comovements。  new window
13.Krnoer, K. F. and V. K. Ng(1998)。Modeling Asymmetric Comovements of Asset Returns。  new window
14.Lee, T. H.(1994)。Spread and Volatility in Spot and Forward Exchange Rates。  new window
15.Lowengrub, P. and M. Melvin(2002)。Before and After International Cross-listing: An Intraday Examination of Volume and Volatility。  new window
16.Miller, D. P. and M. R. Morey(1996)。The Intraday Pricing Behavior of International Dually Listed Securities。  new window
17.Muscarella, C. J. and M. R. Vetsuypens(1996)。Stock Splits: Signaling or Liquidity? The Case of ADR ‘Solo-splits’。  new window
18.Officer, D. and R. Hoffmeister(1987)。ADRs: A Substitute for the Real Thing?。  new window
19.Rosenthal, L.(1983)。An Empirical Test of the Efficiency of the ADR Markets。  new window
20.Stephan, J. A. and R. E. Whaley(1990)。Intraday Price Changes and Trading Volume Relations in the Stock and Stock Option Markets。  new window
21.Wahab, M. and A. Khandwala(1993)。Why not Diversify Internationally with ADRs?。  new window
22.Webb, S. E., D. T. Officer, and B. E. Boyd(1995)。An Examination of International Equity Markets Using American Depositary Receipts (ADRs)。  new window
23.Werner, I. M. and A. W. Kleidon(1996)。U.K. and U.S. Trading of British Cross-listed Stocks: An Intra-day Analysis of Market Integration。  new window
 
 
 
 
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