美國存託憑證套利策略分析：來自中國市場證據

本文旨在探討ADR(美國存託憑證)之套利策略，在動能影響下是否產生不同的結果。與其他文獻最大的差異在於，在眾多關於動能效應投資組合策略的文章中，幾乎沒有文章探討ADR作為標得。1927年以來，ADR從最初摩根銀行發行的第一檔到今日市場上有超過2000檔供消費者選擇。ADR的高成長性及諸如匯率規避、節省交易成本等優勢也引起本文強大興趣。為了探討ADR的套利策略可能性，本文選擇同樣具備高度成長性的中國雙邊上市公司作為比較標的，檢視ADR市場與中國市場不同投資組合下是否會帶來超額報酬。 2016年中國曾發生短時間內連續熔斷四次的黑天鵝事件，本文以此事件為切入點，首先藉由DID模型(Difference in difference model)以檢視投資環境的變化是否會影響投資人的投資組合及報酬。資料期間從2013至2020為止，包含所有雙邊上市公司的開收盤價、最高最低價及量的日資料，並以買入並持有(Buy-and-Hold)策略作為最主要之投資策略檢視。策略分為投資組合A的買入ADR並賣出中國股票及投資組合B的買入中國股票並賣出ADR的兩種投資組合，同時比較投資標普500及上證指數的大盤指數報酬以檢視投資組合之成效，觀察是否產生異常報酬及對比大盤而言投資組合是否有更高的穩定度及報酬上限，此外也觀察在黑天鵝事件前後，金融環境及政策的改變是否影響投資人對於投資組合建構的方式有所影響，並且觀察事件前後的報酬差異。研究結果顯示，黑天鵝事件確實影響市場投資傾向，事件前為投資組合A報酬率勝出而事件後則為投資組合B較優秀。然而無論事件前後，建構投資組合勝率及報酬穩定度皆勝過投資大盤指數。亦可證明ADR市場的動能投資策略確實可行。

關鍵字

ADR ；動能；投資組合；黑天鵝事件； DID模型；買入並持有

並列摘要

The purpose of this paper is to examine whether the arbitrage strategy of ADRs (American Depositary Receipts) may perform differently with momentum. Unlike other papers on dynamic portfolio strategies, ADRs have been the subject of few articles, and since 1927, there have been more than 2,000 ADRs available in the market, from the first issued by J.P. Morgan Bank to today's ADRs, whose high growth and advantages, such as exchange rate hedging and transaction cost savings, also feature in this paper. To explore the arbitrage potential of ADRs, this paper selects bilaterally listed Chinese companies with the same high growth potential as the benchmark for comparison and examines whether the ADR market and the Chinese market can generate excess returns under different investment portfolios. This paper uses the DID model to examine whether changes in the investment environment affects investors' investment portfolios and returns. The data period from 2013 to 2020 includes daily opening and closing prices, high and low prices, and the volume of all bilateral listed companies. The Buy-and-Hold strategy is used as the main investment strategy. Buying ADRs and selling China stocks, and buying China stocks and selling ADRs, are divided into two portfolios; the returns of investing in the S&P 500 and SSE index are compared to examine the efficacy of the portfolios. The results of the study show that the Black Swan event affected the investment tendency of the market. It also demonstrates that, regardless, the winning rate and return stability of the portfolio construction is better than investing in the broad market index. It also proves that the dynamic investment strategy in the ADR market is indeed feasible.

並列關鍵字

ADR ； momentum ； portfolio ； Black Swan event ； DID model ； buy-and-hold

參考文獻

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美國存託憑證套利策略分析：來自中國市場證據

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