臺灣存託憑證報酬率的實證研究

An Empirical Study of Returns of Taiwan Depositary Receipts

馬野 泰治郎(Taijiro Umano)

指導教授 ： 胡星陽

國立臺灣大學/管理學院/企業管理碩士專班/碩士(2013年)

https://doi.org/10.6342/NTU.2013.02445

摘要

無資料

關鍵字

臺灣存託憑證

並列摘要

The paper examines the impact of the information asymmetry affecting to the return of Taiwan Depositary Receipts (TDRs) by considering four variables for TDRs: underlying stock price, price index on the original market (Hong Kong or Singapore), Taiwan Stock Exchange price index, and exchange rate to Taiwan New Dollar. Using correlation analysis and regression analysis, we examine the strength of correlation of those four variables to the price of TDRs. Granger causality test, on the other hand, analyzes any sign of causal relationship those four variables have towards the price of TDRs. Meanwhile, impulse response analysis examines the impact of the price of TDRs to a unit shock in each variable in a short period of time. The result shows that only underlying stock price shows both signs of correlation and causal relationship to the price of TDRs. Impulse response analysis also proves that the price of TDRs responses very quickly and significantly to a unit shock in underlying stock price in a short period of time. Thus, the result proves the timing of providing information that affects underlying stock price is significant to TDR investors and delayed information caused by information asymmetry does have negative affect to those investors.

並列關鍵字

Taiwan Depositary Receipts ； TDR

參考文獻

Ameeta Jaiswal-Dale, Thadavillil Jithendranathan, 2001. Fluctuating Returns of Dual Listings: Domestic and ADR Markets, Working paper

Minho Kim, Andrew C. Szakmary, Ike Mathur, 2000. Price transmission dynamics between ADRs and their underlying foreign securities, Journal of Banking & Finance 24 (2000) 1359-1382

Yueh-Er Ji, Ming-Chang Cheng, Chien-Chi Lee, Po-Hsun Huang, 2012. An Empirical Study of Return and Causal Relationships of Taiwan Depositary Receipts– Hong Kong-listed Companies, Journal of Accounting, Finance and Economics Vol.2 No.1 July 2012. Pp. 1-17

Shen-Yuan Chen, Li-Chuan Chou, Chau-Chen Yang, 2002. Price Transmission Effect between GDRs and Their Underlying Stocks—Evidence from Taiwan, Review of Quantitative Finance and Accounting, 19: 181-214, 2002