本文探討2009年5月14日~2011年08月31日4家香港上市在台發行TDR的公司的融資劵效果對TDR與原股市場的價格傳遞影響,利用因果檢定、ARCH檢定與貝氏估計分析等。由Bayesian之均數方程式估計結果看出,台灣TDR股價均受香港前一期報酬統計顯著效果。台灣TDR股票市場未來的波動會受到前期未預期變動(新訊息)與前期報酬波動(舊訊息)的影響且變異數是非固定的是隨時間而改變。在融資券前後股票購回、發放新股、現金股利發放、財務報表公布、營收變動及取得或併購其他公司等消息,都會讓台灣TDR股票報酬與香港原股報酬間的關係產生結構性變動。
This paper examines the margin trading effect to the relationship between 4 Hong Kong TDRs and underlyings during May 14, 2009 - August 31, 2011. We apply the threshold autoregressive model with the Bayesian analysis to catch the structure changes between 4 Hong Kong TDRs and their underlyings. We find that the returns of 4 Hong Kong TDRs are affected by their underlyings significantly. Besides, the stock repurchase, issuance of new shares, the cash dividend, the financial statements announcement, unexpected changes in revenues and the acquisition will break the relationship between 4 Hong Kong TDRs and underlyings