融資券效果對TDR與原股市場的不對稱效果-Threshold-GARCH模型之應用

The Asymmetric Effect of Margin Trading to the Underlying TDR and Primary Listings- Application of Threshold-GARCH.

陳俊宏(Chuin-Hong Chen)

指導教授 ： 楊永列 ； 賴藝文

嶺東科技大學/財經學院/財務金融研究所/碩士(2011年)

摘要

本文所選取的研究樣本是以在香港第一上市為標的之台灣存託憑證(TDR)，樣本期間自2009年5月14日到2010年12月31日止。本文應用Threshold-GARCH模型，將樣本區分可融資券前與可融資券後等兩大期間，用以討論融資券效果是否會對TDR與原股兩個資本市場之間報酬傳遞是否具存在不對稱關係，藉以探討TDR與現貨之間是否存在報酬與波動性外溢效果及壞消息對下期波動之影響較好消息大，支持槓桿效果存在。根據本文的實證結果得知 Threshold –GARCH是設定適當模型。融資融券後，前一日TDR之影響力明顯上升。融資融券後，壞消息之非預期的因素對波動性的影響程度增加有新焦點等7股TDR；好消息之非預期的因素的影響程度增加有新焦點等5股TDR。最後是在融資融券後，壞消息之前一期報酬風險波動明顯增加有越南控等5股TDR；好消息之前一期報酬風險波動明顯增加有新焦點等7股TDR。

關鍵字

台灣存託憑證 ； 股票報酬 ； Threshold-GARCH模型

並列摘要

This study targeted the Taiwan depositary receipts (TDR) and primary listing in HK. The sample period was from May 14, 2009 to December 31, 2010. We applied the Threshold-GARCH model and identified the periods of pre-margin trading and post-margin trading. We would like to evaluate whether the margin trading affects asymmetric relationship to the TDR underlying stocks and primary listing in HK, the two capital markets in terms of return pass effect application, volatility spillovers, bad news vs. good news, and leverage effect. Based on the findings, the chosen Threshold-GARCH model is supported. After margin trading, the effect of pre-TDR significantly increased as well as the unexpected factor of bad news affected the volatility for seven TDRs. There are five TDRs for good news effect increases. Finally, there are five TDRs increases for post margin trading and prior bad news period and seven TDRs increases for prior good news period volatility.

並列關鍵字

Taiwan Depositary Receipt ； stock return ； Threshold-GARCH model

參考文獻

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