美國存託憑證與台股連動性之研究-以台積電為例

本文研究是探討台灣上市公司發行美國存託憑證(ADR)與台股間股價互動之關係。研究對象為台灣上市公司台灣積體電路製造股份有限公司(TSMC)，資料來源經由台灣經濟新報資料庫(TEJ)及Investing.com取得，研究樣本區間從 2017年1月3日至2021年4月23日，總計1015筆。本文使用向量自我迴歸模型(Vector Auto Regression)、Granger因果關係檢定、Johansen共整合關係檢定等研究方法，來分析美國存託憑證與台股間相互影響關係。同時，美國存託憑證以美元計價，美元與台幣間之匯率轉換也與股價有相當關聯性。實證研究結果顯示，台積電美國存託憑證(美元)與台股間存在單向因果關係，即台積電美國存託憑證(美元)股價報酬對台積電股價報酬存在顯著影響；而台積電美國存託憑證(台幣)股價報酬與台積電股價報酬間存在相互影響，亦即去除匯率因素，台積電美國存託憑證(台幣)股價報酬與台積電股價報酬間有雙向因果關係。

關鍵字

美國存託憑證；台積電

並列摘要

The research in this thesis is to explore the interactive relationship between the issuance of American Depositary Receipts (ADR) by Taiwan listed companies and Taiwan stocks. The research object is Taiwan Semiconductor Manufacturing Co., Ltd. (TSMC), a listed company in Taiwan. The data sources are obtained from the Taiwan Economic News Database (TEJ) and Investing.com. The sample period is from January 3, 2017 to April 2021. On the 23rd, a total of 1015 transactions were made. This article uses vector auto regression model (Vector Auto Regression), Granger causality test, Johansen co-integration relationship test and other research methods to analyze the relationship between American depositary receipts and Taiwan stocks. At the same time, American depositary receipts are denominated in U.S. dollars, and the exchange rate conversion between U.S. dollars and Taiwan dollars is also quite related to stock prices. Empirical research results show that there is a one-way causal relationship between TSMC American Depositary Receipts (USD) and Taiwan Stocks, that is, TSMC American Depositary Receipts (USD) stock price compensation has a significant impact on TSMC's stock price compensation; and TSMC American Depositary Receipts (Taiwan dollar) There is a mutual influence between stock price compensation and TSMC stock price compensation, that is, removing exchange rate factors, there is a two-way causal relationship between TSMC's American Depository Receipt (Taiwan dollar) stock price compensation and TSMC stock price compensation.