近年來台灣存託憑證(Taiwan depositary receipt,TDR)成為投資人新的投資焦點,但自從掛牌上市以來,經過短暫的蜜月行情後,股價便一路探底,本文探討為何政府及劵商大力推動的台灣存託憑證,卻無法讓投資者獲得報酬,甚至還讓投資者慘賠收場。當一般投資大眾進行投資時,可能採用各種投資分析的方法,以期獲得報酬。但TDR的現況卻發現其股價是捉摸不定,難道TDR的股價是無法預測?因此,本文針對2009年1月1日至2011年11月30日間外國企業於台灣所發行的台灣存託憑証作為研究樣本,探討外國企業來台發行存託憑證股價是否可預測,我們透過效率市場假說加以檢定,以供投資者在進行台灣存託憑證投資分析時多一種參考因素做為分析判斷。 在本研究中,採用PP檢定方法,檢測市場是否符合弱式效率市場假說。實證結果顯示,未進行差分的原始數列絕大部分皆符合弱式效率市場假說,也就是說,大部分TDR若使用歷史訊息來進行投資參考,則無法獲得報酬。
Taiwan Depository Receipts (Taiwan depositary receipt, TDR) in recent years to become the new focus of investment for investors, but since listed, after a brief honeymoon market, the share prices will be all the way to the bottom, this paper investigates why the Government and the Securities and vigorously promoteTaiwan depositary receipts, but not allow investors to get compensation, and even let investors lose miserable end. May be used when the general investing public to invest in a variety of investment analysis methods, in order to obtain compensation. TDR''s current situation but found that the stock is uncertain, should the share price of the TDR can not be predicted? Therefore, this article for the January 1, 2009 to November 2011 the 30-day foreign enterprises in Taiwan issued Taiwan depositary receipts, as the study sample to explore the foreign enterprises to issue depositary shares predictable, through the efficient market The hypothesis to test, for investors during the Taiwan Depositary Receipts investment analysis more a reference factors as the analysis and judgment. In the present study, using the PP test method, testing whether the market in line with the weak form efficient market hypothesis. The empirical results show that the differential original series the vast majority are in compliance with the weak form efficient market hypothesis, that is, most of TDR use historical information to investment reference, you can not get the excess return.