台灣存託憑證與其所表彰之普通股間關聯性之研究

Study on the Correlation between Taiwan Depository Receipts and Their Underlying Securities

蔡怡君(Yi-Chun Tsai)

指導教授 ： 吳博欽

中原大學/商學院/國際貿易研究所/碩士(2011年)

https://doi.org/10.6840/CYCU.2011.00049

摘要

台灣存託憑證從1998年開始上市，礙於政府之法規如香港未納入核准的交易所、募集資金且不得匯出台灣或匯至大陸、陸資企業不得來台上市等限制，並未受到企業與投資者的矚目。隨著2009年政策的開放，來台第二上市企業與日俱增，TDR之相關議題也受到台灣投資者的關心。國內外已發展許多探討存託憑證的相關文獻，但大部分都是以美國存託憑證或是全球存託憑證為主題，對台灣存託憑證的相關研究卻是少之又少。本研究主要針對台灣市場有何特性來吸引外資來台上市，同時探討台灣存託憑證與其所表彰之普通股間關係傳遞效果。樣本時間從2010年3月到2010年10月，以原股市場為在香港的台灣存託憑證為研究對象，結果發現
1. 由向量自我迴歸模型可得知台灣存託憑證與其所表彰之普通股彼此之影響分為單向影響及雙向影響。
2. 單向影響之落後期數較短，雙向影響之落後期數較長。
3. 對於普通股影響TDR之單向影響在溢價率上並不顯著；但對TDR影響普通股之單向影響在溢價率上卻明顯的顯著。
4. TDR價格及其普通股雖均代表相同之資產，為係各在兩個地理環境等實質區隔的市場，而兩者單一價格原則並非經常維持，是TDR提供投資者多樣化的獲利機會。
5. 由於各TDR及普通股彼此之間影響強度有所不同，因此本文進一步建議利用差異斜率及Wald test將個體資料加以分析，以澄清個體間對母體影響的強弱度

關鍵字

台灣存託憑證 ； 溢價率 ； 向量自我迴歸模型 ； 追蹤資料模型

並列摘要

TDR has entered to market since 1998; however, it didn’t attracted by enterprises and investor due to government regulations such as Hong Kong is excluded in the approved exchange, plus not to export the proceed remitted to Taiwan or mainland China, and limited the mainland-funded enterprises can’t into Taiwan. With the opening up policy in 2009 to listed companies in Taiwan have growing, TDR has also been the issues related to Taiwan investors concern. The whole world has developed a number of papers on Depositary Receipts, but most of them are American Depositary Receipts or Global Depositary Receipts, however, the theme of the research on the TDR is rare. This study emphasizes on what characteristics of the Taiwan market where can attract foreign capital to enter to market in Taiwan and also discussed the TDR and their underlying securities in recognition of the relationship between their transfer effects. Sample time is from March 2010 to October 2010, and the sample is TDR which its original stock market is in Hong Kong, the result can find,
1. By the VAR model can be learned that the effect between TDR and their underlying securities is unidirectional and bi-directional.
2. One-way effect shows short lag periods, two-way effect shows the longer lag periods.
3. it’s not significant for the common stock of TDR which is impacted on the premium rate; but it’s obviously notable by that TDR affected on common stock.
4. Although the price of TDR and its common stock which are represented as the same assets, and also for the Department of the geographical environment in both the substantive segment of the market, which is both of the principle of one price is not always maintained, is to provide investors with diversified earnings TDR opportunities.
5. As the result of different intensity between TDR and their underlying securities, this study further suggested that to use Panel Data and Wald test to analyze the individual data to clarify the strength between individual and Maternal.

並列關鍵字

TDR ； Premium Rates ； VAR ； Panel data

參考文獻

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