- 學位論文
跨境上市股票的價格發現功能
The Price Discovery Function of Cross-listed Shares
摘要
過去幾年，多數學者在有關跨境上市股票的價格發現功能之研究，著重於單一檢驗價格發現效能在國外市場或國內市場其對個體或總體經濟變量之影響，回顧當前文獻極少同時檢驗兩國市場的價格發現效能並將兩地的外部因素納入考量。此外，有關流動性對價格發現的影響之論點並不一致。因此，本研究主要以中國的美國存託憑證(American Depositary Receipts, ADR)作為研究目標，樣本期間為2018年5月至2021年5月，使用的美國存託憑證個股每日報酬率是參考YAHOO FINANCE資料，中國股票每日報酬率則是參考台灣經濟新報資料庫，透過蒐集價格的日資料來間接計算求得月報酬率資料，進行單根檢定及向量自我迴歸模型估計，合計資料筆數為4388筆。 本研究結果發現ADR僅受本身國家的股票月報酬率落後期數影響。另外，在衝擊反應函數分析中，中國股票月報酬率比ADR月報酬率的修正反應還快。至於，標準普爾500指數月報酬率與上海證券交易所綜合股價指數月報酬率並未對ADR月報酬率產生影響，只對中國股票月報酬率產生影響，原因為ADR終究是存託憑證，其代表中國原公司的價值，實際上它應該受中國原公司的價值影響，但是否會受大盤因素影響，在向量自我迴歸模型估計結果中我們並未發現，有可能投資人結構裡中國本身的投資人投資ADR占多數的緣故。
並列摘要
In the past few years, most scholars have studied the price discovery function of cross-listed stocks, focusing on the impact of a single test of price discovery efficiency on individual or overall economic variables in foreign markets or domestic markets.Reviewing the current literature rarely examines the price discovery efficiency of the two markets at the same time and takes into account the external factors of the two places.In addition, the arguments regarding the impact of liquidity on price discovery are not consistent.Therefore, this study mainly takes China’s American Depositary Receipts (ADR) as the research objective.The sample period is from May 2018 to May 2021.The daily return rate of ADR stocks used is based on YAHOO FINANCE data, the daily return rate of Chinese stocks is based on the database of Taiwan Economic Journal.The monthly rate of return data was indirectly calculated by collecting daily data on prices, and the unit-root test and vector auto-regression model estimation were performed.The total number of data items was 4388. The results of this study found that ADR is only affected by the number of lagging periods in the monthly stock return of the country.In addition, in the impulse response function analysis, the monthly return rate of Chinese stocks is faster than the correction of the monthly return rate of ADR.As for the monthly return of the Standard & Poor’s 500 Index and the SSE Composite Index’s monthly return, it did not affect the monthly return of ADR, only the monthly return of Chinese stocks. The reason is that ADRs are depositary receipts after all.Representing the value of the original Chinese company.In fact, it should be affected by the value of the original Chinese company,but whether it will be affected by market factors, we did not find in the estimation results of the vector auto-regression model that it is possible that China’s own investors in the investor structure account for the majority of ADR investment.