- 學位論文
美國存託憑證與台股連動性之研究-以鴻海為例
A Study on the Relationships of American Depositary Receipt and Taiwan Stock --Evidence from Hon Hai.
摘要
本文為探討台灣上市公司所發行之美國存託憑證(ADR)和台股之股價有無互動關係。研討對象為台灣上市公司鴻海科技集團(Hon Hai Technology Group)，資料源於台灣經濟新報資料庫(TEJ)和Investing.com獲得，研究樣本區間自2018年1月3日至2021年12月30日，共計895筆日資料。 本文使用了定態和單根檢定、最適落後期數、Granger因果關係檢、共整合檢定與向量誤差修正模型及向量自我回歸模型定分析出美國存託憑證和鴻海股價各項數值間之成交量和成交值是否有相互影響關係。實證結果顯示，鴻海美國存託憑證(美元)和鴻海股價存在雙向因果關係，故鴻海美國存託憑證(美元)股價報酬率對鴻海股價報酬率有顯著影響；鴻海美國存託憑證(台幣)和鴻海股價存在存在雙向因果關係，故鴻海美國存託憑證(台幣)股價報酬率對鴻海股價報酬率有顯著影響。
並列摘要
This article explores whether there is an interaction between the American Depositary Receipts (ADR) issued by Taiwan listed companies and the stock price of Taiwan stocks. The subject of the study is Hon Hai Technology Group, a Taiwan-listed company. The data are originate from Taiwan Economic News Database (TEJ) and Investing.com. The research sample range is from January 3, 2018 to December 30, 2021 , a total of 895 daily data. This paper uses steady state and unit root test, optimal lag period, Granger causality test, co-integration test, vector error correction model and vector autoregression model to analyze the relationships between ADR and Hon Hai stock price. The empirical results show that there is a two-way causal relationship between Hon Hai American Depositary Receipts (USD) and Taiwan stocks, so the stock price return of Hon Hai American Depositary Receipts (USD) has a significant impact on the stock price return of Hon Hai; There is a two-way causal relationship between the rate of return of the stock price of Hon Hai's American Depositary Receipts (TWD) and the rate of return of Hon Hai's stock price.