本研究針對金融自由化前後台灣存託憑證市場（TDR）之尾部風險進行探討。結果發現金融自由化後TDR市場的下尾風險增加；不論是在金融自由化前後，整體TDR市場受到中國大陸的影響都勝過於美國的影響；此外在金融自由化後期，整體TDR市場與中國大陸市場間上下尾相依程度高於4成以上；根據國家別TDR資料分析，上漲時大部分TDR受掛牌國系統風險的影響大於母國系統風險，除了南非TDR；下跌時新加坡與泰國TDR受母國系統性風險影響較大，南非TDR則受掛牌國系統風險的影響大，香港TDR則不受母國與掛牌國系統風險的影響；最後，電子TDR下尾相依受到台灣市場指數影響較大，與非電子TDR下尾相依受原股影響較大不同；在上尾相依部分電子與非電子TDR主要受掛牌國系統性風險影響較大。

This study investigates dependence among Taiwan Depositary Receipts (TDRs) during the periods of financial crisis and liberalization. We find evidence of changing dependence after the financial liberalization. The stock returns of TDRs are more influenced by China than by US. Meanwhile, the extreme down-tail dependence between the TDRs and China market is above 40%. Except for the TDRs from South Africa, the TDRs from all the other countries are more affected by Taiwan than by their home country in the up market. In the down market the results are mixed: the TDRs from Singapore and Thailand are more affected by home country; the TDRs from South Africa are interacted mainly by Taiwan, while the TDRs from Hong Kong are influenced by neither market. Finally, the down-tail dependences for electronic TDRs are affected by Taiwan, which are different from non-electronic TDRs that are affected by home country.