美國存託憑證市場效率性檢定及訊息傳遞效果之探討－以亞洲地區在美國發行存託憑證為例

An Empirical Test of the ADR Market Efficiency and International Transmissions－The Case of Asian ADR in the U.S. Market.

蕭淑芳(Shu-Fang Hsiao)

指導教授 ： 陳若暉 ； 秦宗春

中原大學/商學院/國際貿易研究所/碩士(2001年)

https://doi.org/10.6840/cycu200100007

摘要

中文摘要

近年來許多企業正朝向國際化趨勢發展，並且採用發行存託憑證的方式進行海外集資，這種彈性化的籌資管道，不僅能提升國內企業在海外之知名度，也可以降低各種不確定因素對資金成本的影響。而投資人也可以藉由購買存託憑證的方式，來克服投資障礙，同時也可以規避外匯管制，因此海外存託憑證近年來大受投資人和發行公司之喜愛。
本研究主要針對亞洲地區發行公司於美國所發行的美國存託憑證，以ADF 單根檢定方法測試其市場是否為弱式效率市場，並以共整合檢定方法測試其市場是否為半強式效率市場，另外採用誤差修正模型來探討同一家樣本公司之本國普通股價格、美國存託憑證價格以及德國市場之股票價格間的訊息傳遞效果。結果發現：亞洲地區的發行公司，在美國所發行的美國存託憑證，其市場符合弱式效率市場假說，投資人無法根據過去的歷史價格來預測當期或未來之價格走勢，所以採用技術分析也所獲得的超額報酬有限。同時採用Johansen （1990）共整合檢定，結果發現亞洲地區多數之發行公司所發行的美國存託憑證與公開訊息之間不存在共整合關係，其市場符合半強式效率市場假說。
另外採用誤差修正模型測試之結果發現，大多數亞洲地區發行美國存託憑證的公司，其國內普通股價格、美國存託憑證價格和德國市場之股票價格間，至少存在一種單向因果關係，而部分樣本公司在國內普通股價格、美國存託憑證價格和德國市場之股票價格間，互為雙向因果關係，可明顯觀察到三個國際市場間有高度的整合性存在，顯著存在訊息傳遞效果，因此加入ADR之國際投資組合風險分散的效果有限，ADR的投資者可以藉由觀察本國普通股價格與德國股價的變化作為投資決策之判斷。

關鍵字

美國存託憑證 ； 弱式效率市場 ； 單根檢定 ； 半強式效率市場 ； 共整合檢定 ； 誤差修正模型

並列摘要

Abstract
With increasing global competition, many companies raise capital in the United States by issuing American Depositary Receipts（ADR）to diversify capital market risk, to reduce the cost of capital, and to promote firm’s reputation in the global market. At the same time, investors can indirectly invest foreign securities by buying ADR to overcome foreign exchange barriers and regulations on investment. Therefore, ADR becomes one of most the popular financial instruments recognized by foreign investors and issuing companies.
The purpose of this study is to analyze weak form market efficiency by applying Dickey Fuller unit-root test for ADR market. The research also evaluates the semi-strong form market efficiency by co integration test and examine the transmission effect for different markets（such as New York and Frankfurt）by applying Error Correction model. The results show that the ADF unit-root test is consistent with weak form efficiency. Another finding is the ADR market is consistent with semi-strong form efficiency by Johansen co integration test. As result, the ADR investors cannot benefit from technological and fundamental analyses in terms of obtaining abnormal returns.
The research discovers that the prices of different markets are related. For most Asian companies, they exist at least a single causality among the prices of common stock in the domestic stock market, ADR market in the U.S, and Frankfurt stock market. But the prices of other stocks have a two-way causality among different markets. Generally, this research illustrates that the firm’s stock price would be affected by international transmission of the other market price. Therefore, the results are supported by the weak segmentation of McDonald（1973）. The portfolio of international diversification could not benefit as excepted due to the causality of different markets.

並列關鍵字

ADR ； weak form market efficiency ； Dickey Fuller unit-root test ； semi-strong form market efficiency ； co integration test ； Error Correction model

參考文獻

Cooper, R.V.L.（1974）, “Efficient Capital Markets and The Quantity Theory of Money,” Journal of Finance, 19, 887-908.

Dickey, David and Wayne A., Fuller（1979）, “Distribution of the Estimates for Autoregressive Time Series with a Unit Root,” Journal of the American Statistical Association, 74, 427-431.

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Engle, Robert E. and Clive W. J., Granger（1987）, “Cointegration and Error-Correction: Representation, Estimation, andTesting,” Econometrica, 55,251-276.