英國發行美國存託憑証報酬行為之探討

The Return Behavior of ADR with Business Location in UK

張雅雯(Ya-Wen Chang)

指導教授 ： 辛敬文

元智大學/管理學院/財務金融學系/碩士(2008年)

摘要

本研究調查英國公司跨國在美國股票交易所發行美國存託憑証後，其報酬的共移現象是否因為在美國市場交易頻繁的情況而有所遞增。本研究調查包含了在1970年至2006年間由英國公司所發行的美國存託憑証在其母國市場(即英國)及跨國發行至少有一年的公司為主。實証結果顯示，對這些美國存託憑証股票報酬而言，用美國市場來解釋報酬能力全都大於母國市場。但是，相對於母國市場，不管是使用絕對解釋基礎或是相對解釋基礎，實証結果並不支持本研究所提出在美國跨國上市後，其美國存託憑証報酬的共移情況有遞增現象的假設。

關鍵字

報酬行為 ； 共移

並列摘要

This study investigates the changes of return comovement of ADRs with the U.S. market after their cross-listings on the U.S. stock exchanges, possibly due to the increasing impact from the U.S. investor sentiments. The research sample includes those ADRs with the U.K. as their home market and being cross-listed at least one year between 1970 and 2006. The empirical evidence shows that the explanatory power of the U.S. market return is overall stronger than that of the home market for those ADRs. However, the results fail to support the hypothesis that the comovement of those ADRs becomes increasingly stronger with the U.S. market after their cross-listings, either on the absolute basis or on the relative basis with respect to the home market.

並列關鍵字

Return behavior ； Comovement

參考文獻

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