美國存託憑證價差現象與市場交易活動

ADR Spreads and Market Trading Activity

林怡君(Yi-Chun Lin)

指導教授 ： 李家豪

國立臺中科技大學/商學院/財務金融系碩士班/碩士(2014年)

https://doi.org/10.6826/NUTC.2014.00025

摘要

近年來研究發現市場效率性的差異造成存託憑證( Depositary Receipt )與其標的股之間存在價差 ( price spread ) ，而市場效率性差異可能因市場結構差異所造成，例如交易市場的交易活動與流動性等。然而，存託憑證與標的股因兩方市場交易活動不一致，造成市場流動性差異而導致價差存在，因此本研究深入瞭解市場交易活動對於標的股與存託憑證間價差的影響。樣本對象為亞太地區之公司，包括澳洲、中國、香港、印度、印尼、韓國、日本、菲律賓、台灣等，共計9個國家57家公司為樣本，樣本期間為2006年至2013年。實證結果發現亞太地區公司存託憑證與標的股受到市場交易活動的影響，如股票交易量、股票價格波動以及匯率波動皆有顯著相關，造成兩地股票的價格間存在差異。

關鍵字

ADR價差；交易量；匯率；證券法規健全程度

並列摘要

Recent studies have found that the market efficiency affected by the market structure. American depositary receipts (ADRs) and their underlying stocks are trading in different markets, and then the difference of market structure between ADRs and their underlying stocks may induce their price spread. The purpose of this study is to investigate the effects of market trading activity in ADRs and underlying stocks on the price spread between ADRs and underlying stocks, and to explore the effect of difference in market structure. This study employs 53 ADRs and their underlying stocks from Asia-pacific countries and sample periods covered from 2006 to 2013. The empirical results show that the price spread between ADRs and underlying stocks affected by their trading activities. Moreover, the volatility of ADRs and underlying stocks and exchange rates fluctuations also significant affect the price spread. The results of this study support that the difference in market structures can induce the inconsistent asset price.

並列關鍵字

ADR spread；trading volume；exchange rates；securities regulation

參考文獻

林秀月 (2009)，「美國存託憑證與標的股之間價格傳遞關係之研究」，國立暨南國際大學財務金融研究所碩士論文。

楊淑玲、薛立言、劉亞秋 (2011)，「跨國上市的訊息傳遞與市場整合效果」，證券市場發展季刊，第89期，1-41。

Alberton, A., N. Costa, R. Marcon and R. Mello , 2002, “Market segmentation and stock return behavior in domestic and ADR markets: Evidence from some emerging countries”, Working paper, Universidade do Vale do Itajaí.

Bekaert, G., and C. Harvey , 1995, “Time-varying world market integration”, Journal of Finance, 50, 403-445.

Chan, J., D. Hong and M.G. subranhmanyam , 2008, “A tale of two prices :Liquidity and asset prices in multiple markets”, Journal of Banking and Finance, 32(6), 947-960.