此論文主要是探討關於台灣上市公司,發行美國存託憑證(ADR)與台股有無相關聯關係。研究對象是台灣上市公司中華電信,資料之來源為台灣經濟新報資料庫(TEJ)及Investing.com獲得,樣本區間自 2017年1月3日至2021年4月23日,共計1012筆。 此次研究使用 Granger因果關係檢定、定態單根檢定、共整合關係檢定,分析美國存託憑證與台股相互影響關係。以及幣別美元與台幣間之匯率轉換對於股價也有相當關聯性。研究實證結果顯示,美國存託憑證(美元)與中華電信股價間,不存在共整合之關係。在1%顯著水準下:美國存託憑證(美元)報酬領先中華電信股價報酬;而中華電信股價報酬對美國存託憑證(美元)報酬不具有領先指標,顯示兩者間僅有單向因果關係。 美國存託憑證(台幣)與中華電信股價間,存在共整合關係。在1%的顯著水準下,美國存託憑證(台幣)領先中華電信股價,反之,中華電信股價沒有領先國存託憑證(台幣),結果顯示僅有單向因果關係。
Abstract This paper mainly discusses whether the issuance of American Depositary Receipts (ADR) by Taiwan listed companies is related to Taiwan stocks. The research object is Chunghwa Telecom, 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 23, 2021, with a total of 1021 records. This study uses Granger causality test, stationary single-root test, and co-integration relationship test to analyze the interaction between American Depositary Receipts and Taiwan stocks. And the exchange rate conversion between the U.S. dollar and the Taiwan dollar is also quite relevant to the stock price. The empirical results of the research show that there is no co-integration relationship between American Depository Receipts (USD) and Chunghwa Telecom's share price. In addition, the research evidence shows that there is a co-integration relationship between American Depositary Receipts (Taiwan Dollar) and TSMC’s stock price Key words: American Depositary Receipt, self-regression model, causality test, single root test