美國存託憑證與標的股票價格及交易量傳導關係之研究-以台灣、中國、日本與韓國的公司為例

The Study of Relationships Concentrate on the Price and Volume ADR and Underlying Stocks – The Perspective of Taiwan, China, Japan and Korea

洪敏凌(Doris Hung)

指導教授 ： 胡為善

中原大學/商學院/企業管理學系/碩士(2008年)

https://doi.org/10.6840/cycu200900454

摘要

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關鍵字

共整合 ； ADR ； VECH-GARCH ； VAR-GARCH

並列摘要

Previous relevant literatures focused on the price transmission between American Depositary Receipt (ADR) and underlying stock market and found that there was a significant causality between ADR and underlying domestic stocks in individual countries. Their findings also indicate that the stock markets in the United States are the leading indicators of market information. This study attempts to examine whether the leading indicator of information would affect not only the price behavior but also the trading volume. Meanwhile, this study takes the heteroskedasticity into account by utilizing the VAR-GARCH and VECH-GARCH methods to investigate the transmission of prices and trading volumes between two markets, and finds that the VAR-GARCH and VECM-GARCH methods have the ability of eliminating the heteroskedasticity of the raw data. Empirical results also show that there is a long-term significant causality in both prices and trading volume between ADR and underlying stocks in four countries, confirming that the stock markets in the United States serve as the leading indicators of market information. This study also finds that the ADR prices of Taiwan, China and Korea have mutual “feedback” causality between ADR prices and domestic stock prices. However, Japan only has an one-way effect from ADR prices to stock prices. Regarding the trading volumes between ADR and domestic stock markets, this work finds that the trading volumes of ADR and domestic stocks in Taiwan, China and Japan have a mutual “feedback” relationship. However, the trading volumes of ADR in Korea only has an one-way effect on that of domestic stocks during long-term period.

並列關鍵字

American Depository Receipt (ADR) ； Co-integration ； VAR-GARCH ； VECM-GARCH.

參考文獻

黃敏華(2006)，股市與原油現貨及期貨價格關聯性分析，中原大學國際貿易研究所碩士論文。

繆燕鴦(2002)，亞太地區貨幣政策與股市報酬之關聯性分析─以向量自我迴歸與共整合模型為例，中原大學企業管理研究所碩士論文。

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