本研究所選取的研究樣本是以在香港第一上市為標的之TDR,以共整合檢定、誤差修正模型、及Granger因果關係等方法,進行探討TDR與原股兩兩之間的關聯性。其研究期間為2009年5月14日~2010年12月31日。研究結果顯示,從共整合檢定得知,所有TDR與原股之間皆存在著一組共整合向量,即彼此間皆存在著長期均衡關係。觀察誤差修正係數得知,在長期關係而言,所有電子類股之TDR,皆是原股較具有主導地位。而在非電子類股,則是反應兩極。綜合Granger因果關係檢定結果可知,因原股市場先天具有無漲跌幅限制、無放空限制、及具備高槓桿效果等較TDR市場佳的價格發現因素,讓市場機制自行決定股市漲跌,使資訊交易者(Informed traders)傾向選擇原股市場反應資訊,故原股市場會領先於TDR市場,則原股市場較具有價格發現的主導地位。本文再區分可融資券前與可融資券後等兩大期間,去探討融資券效果是否會對TDR與原股之間關係造成影響,從誤差修正係數與因果關係結果亦顯示融資券效果確實是會對兩者間價格互動的關係造成影響。
In this study, we examine the price transmission effect between TDRs and their respective underlying stocks listed on Hong Kong market from May 2009 to December 2010. The methodologies include the cointegration test, error correction model and Granger causality. We find that TDRs and their underlying Hong Kong stocks exist the long-term cointegration relationship. Besides, the Hong Kong market plays a dominant role in price transmission relative to the Taiwan market. The rationale behind this is that Hong Kong market has no price limits and short sale restrictions. The informed traders tend to reflect their private information in Hong Kong market. We further analysis the short sale restriction effect. The evidence shows that removing short sale restriction will strengthen the TDRs’ price transmission abilities.