跨國上市個股之日內報酬率和波動性與買賣單不對稱關係

Cross Return, Volatility and Order Imbalance in International Cross-Listings

陳佩忻(PEI-SHIN CHEN)

指導教授 ： 蘇永成

國立臺灣大學/管理學院/財務金融學研究所/碩士(2008年)

https://doi.org/10.6342/NTU.2008.10659

摘要

在全球各地金融市場國際化之下，越來越多非美國的公司傾向到美國掛牌上市Eun and Sabherwal (2003)的研究中指出透過雙邊掛牌，國內與國外的交易所對價格發現有顯著的效果。我們利用多元線性迴歸來檢視於交易所產生的日內買賣單不對稱，對於國外交易所中掛牌的股票是否有顯著的影響。我們的實証研究結果發現於紐約交易所產生的日內買賣單，對於多倫多交易所掛牌上市的股票有顯著的影響。由於美國的交易所位於全球金融中心的領導地位，因此資訊傳遞的方向反而是由美國向加拿大擴散。
此外，我們同時利用GARCH(1, 1)模型去觀察跨國掛牌的資訊傳遞效果。我
們發現日內買賣單不對稱對於國外交易所中掛牌的股票報酬率的波動性有顯著影響，反而對股票報酬率的影響力微乎其微。我們的實証結果明顯指出在法規限制下，使得美國與加拿大的資金流動受到影響而造成市場區隔。

關鍵字

掛牌上市 ； 買賣單不對稱 ； 波動性

並列摘要

The globalization of financial markets motivates plenty of non-U.S. companies listing their shares on the U.S. stock exchanges. Eun and Sabherwal(2003) mentioned that there is a significant effect of price discovery on both domestic and foreign stock exchanges through cross-listing. We run multi-linear regressions to examine if there is a significant effect on the relationship between the current cross-board stock return and order imbalances. In our practical study, we discovered that current imbalance in home/foreign exchanges has a significant influence on the current stock return in foreign/home. Because American stock exchange plays a leading role in the global financial market, the direction of information delivery is from America to Canada.
In addition, we applied GARCH (1, 1) model to test our cross-border samples on both the TSX and NYSE. We found that there is a significant influence of the
contemporaneous order imbalance in domestic/foreign markets on the volatility of the stock return in foreign/domestic markets. The contemporaneous order imbalance in home/alien markets does not have a significant impact on the stock returns in alien/home markets. The insignificance for effect of order imbalance to the cross-board return represents limited capital flow between America and Canada.

並列關鍵字

cross-listing ； order imbalance ； volatility

參考文獻

17. JOHN S. HOWE, JEFF MADURA, and ALAN L. TUCKER, 1993.

1. Alexander, G. J., Eun, C. S., and Janakiramanan, S., 1987. Asset Pricing and Dual Listing on Foreign Capital Markets: A Note, Journal of Finance 42, 151–158

2. Alexander, G. J., Eun, C. S., and Janakiramanan, S., 1988. International Listings and Stock Returns: Some Empirical Evidence, Journal of Financial and Quantitative Analysis 23, 135–151.

3. Campbell, J. Y., S. J. Grossman, and J. Wang, 1993. Trading Volume and Serial Correlation in Stock Returns, Quarterly Journal of Economics, 108, 905-939.

4. Cheol S. Eun and Sanjiv Sabherwal, 2003. Cross-Border Listings and Price Discovery：Evidence from U.S.- Listed Canadian Stocks, Journal of Finance, 2, 549-575.