中國大陸普通股與美國存託憑證間之報酬波動性與外溢效果研究

The Study of the Spillover Effects of Returns and Volatility Between Stock Market in Mainland China and ADR Market.

王玉婷(Yu-Ting Wang)

指導教授 ： 陳若暉

中原大學/商學院/企業管理研究所/碩士(2002年)

https://doi.org/10.6840/cycu200200246

摘要

本研究主要是針對15家發行海外存託憑證的中國大陸企業，探討其普通股價格報酬與海外存託憑證價格報酬間的關聯性，以及報酬率與波動性之外溢效果，藉以了解中國大陸資本市場與國際資本市場間互動情形。分別考慮價格與報酬率，分析普通股、海外存託憑證、股價指數、利率及匯率間之ADF單根檢定，Granger因果關係檢定，Johansen共整合程度，ECM誤差修正模型檢定，以及GARCH（1,1）-MA（1）模型之報酬率、波動性、與報酬波動性的外溢效果檢定。

經由Granger因果關係檢定結果發現，海外存託憑證價格與普通股、股價指數、匯率間存有因果關係，而利率的變動對海外存託憑證價格與普通股價格影響不高。在Johansen共整合檢定中，絕大多數樣本公司之海外存託憑證價格、普通股價格及股價指數、匯率、及利率間至少存有一個共整合向量，顯示長期間具有共整合關係。誤差修正模型檢定結果顯示，長期而言，海外存託憑證價格是趨向均衡，而且海外存託憑證價格的變動大都會受到本身價格與普通股價格之落後期數影響。而普通股價格變動，大部份較不受海外存託憑證價格變動影響。在GARCH(1,1) -MA(1)報酬與波動性之外溢效果方面，香港上市的普通股與海外存託憑證股價報酬間，具有顯著的雙向或單向影響；而在上海股市或深圳股市上市的普通股，其價格報酬的變動較不受到海外存託憑證價格報酬變動影響。

關鍵字

存託憑證 ； GARCH效果 ； Johansen共整合 ； Granger因果關係 ； ECM誤差修正項 ； 大陸股市 ； 外溢效果

並列摘要

The purpose of this paper is to analyze the influences of the spillover effects for returns and the volatility between ADR and common stock of 15 firms in Mainland China that issued ADR, so as to know the interaction between Chinese capital market and international capital market. We consider the variables such as price, return, stock index, interest rate, and exchange rate to examine the interactions of these spillover effects by using ADF unit-root test, Granger Causality test, Johansen Cointegration test, Error Correct Model test, and GARCH（1,1）-MA（1）。

By using Granger Causality test, we discover that causality relations of ADR price, common stock price, stock index, and exchange rate do exist. Interest rate has no significant causality relations with respect to common stock price and ADR price. By using Johansen cointegration test, most of companies exist at least one cointegration vector of ADR price, common stock price, stock index, interest rate, and exchange rate. It is mean that these variables have a long-term cointegration relation. As result by using ECM test, ADR price moves to long-term equilibrium, and would be impacted by lagged price of ADR and common stock over a long period of time. Inversely, the common stock price is not affected significantly by the change of ADR price. Regarding the spillover effects of returns and the volatility, the results of GARCH（1,1）-MA（1）, show that Hong Kong’s stocks, have significant two-way or one-way influences in spillover effects of returns and volatility with ADR. However, for the stocks issuing in Shanghai and Shenzhen, their returns would not be affected by the ADR return.

並列關鍵字

Johansen cointegraion ； ECM ； China stock market ； spillover effect. ； ADR ； Granger Causality ； GARCH

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