上市公司發行海外存託憑證對股票報酬率及股價波動性之影響

The Impact of Global Depositary Receipts on the Rate of Return and the Volatility of Stock Price –A Perspective of Taiwan Stock Marke

蕭守成(Shou-Cheng Hsiao)

指導教授 ： 胡為善

中原大學/商學院/企業管理研究所/碩士(2006年)

https://doi.org/10.6840/cycu200600065

摘要

本研究主要是探討15家在美國或歐洲發行海外存託憑證的台灣企業，其普通股價格報酬與海外存託憑證價格報酬間的關聯性，以及報酬率與波動性之外溢效果，藉以了解不同國際資本市場間之互動情形。
本研究發現海外存託憑證價格與普通股、股價指數與匯率之間存有因果關係，但利率的變動對海外存託憑證之價格與普通股價格影響卻不高。本研究亦發現大多數樣本公司之海外存託憑證價格、普通股價格、股價指數、匯率及利率長期具有共整合關係，而且海外存託憑證價格的變動大部分會受到本身價格與普通股價格之落後期數影響。但普通股價格的變動，卻不受海外存託憑證價格變動的影響。
在海外存託憑證的報酬率與波動性之外溢效果方面，本研究發現大多數樣本公司之報酬率在條件變異數式中呈現顯著影響，顯示前期之非預期波動與前期條件變異數對於當期的條件變異數產生顯著影響，而在報酬率外溢效果方面，海外存託憑證的報酬率與普通股價格的報酬率間存有外溢效果，表示兩者報酬率的變動會互相影響，但在波動性的外溢效果方面，雖然大多數樣本公司之GDR/ADR的波動率對普通股的波動率具外溢效果，但普通股的波動率對GDR/ADR波動率之外溢效果卻並不顯著。本研究且發現海外存託憑證的市場結構未趨健全，資訊揭露的時效性、透明度與管道暢通性也嫌不足。此外，海外存託憑證之流動性不足，也可能會限制國外市場資訊的傳遞。

關鍵字

存託憑證 ； GARCH效果檢定 ； Granger因果關係。 ； 共整合檢定

並列摘要

This study examines the relationship between common stock and GDR or ADR, and also explores the spillover effect for fifteen Taiwanese companies who issued GDR in international markets in order to investigate the interaction effect among global capital markets.
Analysis results indicate that there are significant causality effects among the price of GDR, price of common stock, stock index and foreign exchange. However, the change in interest rate doesn’t have a significant impact on the prices of GDR and common stocks. The empirical results further demonstrate that there is a co-integration effect among the price of common stock, GDR, foreign exchange and interest rate for most companies during a long-term period. The findings show that the change in the price of GDR will be affected by those of GDR and common stocks in the previous period. However, the change in the price of common stocks was not affected by that of GDR.
Regarding the spillover effect of the rate of return and the volatility of GDR, the result indicates that the rates of return on GDR for most companies are significant in the conditional variance equations, which suggests that the unexpected volatility and conditional variance of a precedent period have a significant impact on current conditional variance. It is also found that the spillover effect of the rate of return exists between the price of GDR and that of common stocks, which demonstrates that the change in the rate of return on GDR and that on common stock would affect each other. Concerning the spillover effect of volatility, the findings show that most company’s volatility of GDRs have the spillover effects on those of common stocks. However, the spillover impact of the volatility of common stock on the volatility of GDR is insignificant. Moreover, this investigation also finds that the structure of the GDR market is not well-developed, the information is not fully disclosed and is not completely transferred to the investors. Additionally, the illiquidity of GDR limits the information transmitting function among international markets.

並列關鍵字

Cointegration test ； GARCH Test ； Granger Causality. ； GDR

參考文獻

王玉婷(2002)，「中國大陸普通股與美國存託憑證間之報酬波動性與外溢效果研究」中原大學企業管理研究所，未出版碩士學位論文。

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