跨國上市與匯率轉嫁效應檢驗市場效率性：實證研究A股與H股

Exchange Rate Pass-Through Phenomenon of Stock Price for Cross-Border Listed Companies:An Empirical Research between A Stock and H Stock

陳晏禎(Yen-Chen Chen)

指導教授 ： 曾翊恆

元智大學/管理學院/經營管理碩士班(國際企業學程)/碩士(2011年)

https://doi.org/10.6838/YZU.2011.00193

摘要

本論文使用之樣本為中國公司股票掛牌地選擇深滬和香港的股票，共計63家公司為研究對象。本研究目的是探討金融商品(如:股票)之「匯率轉嫁效果」是否具有不對稱性。轉嫁效果是否有依產業別股票而異？有助於瞭解匯率變動對各別股票微幅調價的程度為何，以及檢驗市場的效率性。匯率變動後匯率轉嫁的程度也可用來推論上市公司於當地市場控制力。若股價承受比較高比率的匯率波動，表示該公司在當地市場的控制力低。研究方法使用ADF單根檢定、Johansen共整合檢定、普通最小平方法、Ljung-Box Q test。樣本採用直接報價(direct quotation)，若本國幣升值代表匯率下跌，則股價下跌，則本研究定義為匯率與股價為正相關。研究結果發現當期匯率和股價呈現負相關，而且股價之「匯率轉嫁效果」具有不對稱性，且匯率多數呈現不完全轉嫁。當期匯率顯著存在「匯率轉嫁效果」在航空業、銀行業、鋼鐵業、煤業、交通建設產業的股價上，且匯率轉嫁效果沒有依產業別股票而異。

關鍵字

跨國上市 ； 效率市場 ； 匯率轉嫁

並列摘要

The stock of China companies listed in Shenzhen or Shanghai, and also listed in Hong Kong, 63 companies selected for the research. This research aims to examine whether "exchange rate pass-through effect" of financial products (such as stocks) has asymmetry or not. Whether each stock has different "exchange rate pass-through effect" depending on the different industry? Purpose of this research helps to understand what degree of individual stock slightly adjusts level when the current exchange rate changes, and test whether stock market which has efficiency or not. After the current exchange rate changes, degree of “exchange rate pass-through” also be used to infer control of listed company in the local market. Stock price bear relatively high rates of exchange rate fluctuation, which means the control of the company in the local market is low.
Research methods used ADF unit root test, Johansen cointegration test, ordinary least squares, and Ljung-Box Q test. Samples used direct quotation, exchange rates and stock prices are charged by RMB. Domestic currency appreciation is on behalf of exchange rate depreciation, and then stock price will fall; this situation is defined as exchange rate is positively correlated with the stock price. The research found current exchange rate and stock price is negatively correlated, and the results which has showed that "Exchange rate pass-through effect” exists asymmetric on stocks, and most was made by the research showed incomplete "Exchange rate pass-through effect”. Current exchange rate significant presence "Exchange rate pass-through" to stock price in the airline industry, banking industry, steel industry, coal industry, transportation construction industries, and the effect of exchange rate pass does not have specific difference by different industry.

並列關鍵字

Cross-Border Listed Companies ； Efficient Market ； Exchange Rate Pass-Through

參考文獻

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Chinese References