相同金融資產在不同交易市場間考慮跳躍風險下之連動關係-以中國公司在美國發行之存託憑證為例

The Dynamic Relation within Abnormal Jumping Risk of the Same Financial Assets in Different Stock Market--- The ADRs Issued by China Public

楊啟宏(CHI-HUNG YANG)

指導教授 ： 邱建良 ； 陳玉瓏

淡江大學/商學院/財務金融學系碩士在職專班/碩士(2007年)

https://doi.org/10.6846/TKU.2007.00393

摘要

本研究以ARJI模型探討中國公司在美國發行之存託憑證ADR之報酬率，是否受到該ADR與現貨標的股票間之報酬率影響，該模型同時將資產報酬率中所發生的市場間斷性不連續跳躍行為納入考慮，以作為反映資產價格行為的真實狀況，整個實證結果整理如下：
1. 關於模型配置部分，經實證結果後應可認為，以考慮市場上間斷性不連續之跳躍行為所配置之ARJI模型進行研究，應有其必要性。
2. 經本研究實證後所估計之主要參數B1與B2，顯示大多數之估計參數具有顯著水準，亦即認為ADR之報酬率確實與美國股市大盤報酬率，及前一日之ADR與現貨間之報酬率差有連動關係。
3. 如當期現貨之報酬率高於前一期ADR之報酬率時，當期之ADR應有正向之報酬關係，故結論建議投資人應可適時加以投資，以期獲致最大報酬。

關鍵字

ARJI模型 ； 存託憑證

並列摘要

This thesis demonstrated the effects of compensation between American Depositary Receipt (ADR) and common stock by Mainland China issued ADRs. In order to reflect the true price of assets, the model also take the market discontinuously jumping behavior occurred from asset returns into account, and the empirical results are stated as following:
1. The research finding of model choice indicate that further research on ARJI model of consider market discontinuously jumping behavior is essential.
2. The major variables B1 and B2 used for estimate are adequate and further indicates that there is certain correlation among the return of ADRs, the return on US stock market and the difference between the previous price of ADRs and local stocks price.
3. If the return of local stock price is higher than previous price of ADRs, there shall be a position correlation to present price of ADRs; therefore it is recommended that investors can use arbitrage to profit from the gap to maximize their returns.

並列關鍵字

ARJI model ； ADRs

參考文獻

洪慶鴻（2001），「美國存託憑證之外溢效果與動態反應分析---以總體經濟變數為實證」，中原大學企業管理研究所碩士。

Tsai, Wen-Shin（2001）, “The Price Divergence Between GDRs and It's Underlying Shares: The Case of Taiwan”, Unpublished thesis, Dep. of Finance, National Taiwan University.

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