美國存託憑證之外溢效果與動態反應分析 ---以總體經濟變數為實證

The Analysis of Spillover Effects and Dynamic Responses for ADR---An Empirical Study of Macroeconomic Factors

洪慶鴻(Ching-Hung Hung)

指導教授 ： 陳若暉

中原大學/商學院/企業管理研究所/碩士(2002年)

https://doi.org/10.6840/cycu200200125

摘要

本文利用時間序列模型，探討亞洲九國總體經濟變數與該國所發行的ADR價格之外溢效果及動態關聯。研究樣本採用1998年1月1日至2001年8月31日間之週資料進行實證分析。結果發現在總體經濟變數方面，大多數國家的股價指數變動會影響到該國的短期利率與匯率的變動，其中香港、韓國、馬來西亞、新加坡、台灣等五國的股價指數變動會同時對短期利率與匯率產生衝擊。在ADR價格與總體經濟變數方面，股價指數影響ADR價格最為顯著，其次是ADR價格影響匯率與股價指數，顯示ADR價格與股價指數存在相互影響關係。在外溢效果方面，ADR價格對亞洲九國股價指數的波動性外溢效果最為明顯，其次是ADR對股價指數的報酬率外溢效果，而外溢效果最低的則是股價指數對ADR價格的影響，表示亞洲九國的股市投資人買賣股票會受前一日在美國市場交易的ADR所影響。

關鍵字

美國存託憑證 ； 向量自我迴歸 ； 一般化自我迴歸條件異質變異數 ； 總體經濟變數 ； 外溢效果 ； 動態關聯

並列摘要

This paper demonstrated the spillover and dynamic effects to analyze the relationship between macroeconomic variables between American Depositary Receipt(ADR) listed by public companies for the nine Asia-Pacific countries. We use time series model, including ADF for unit root test, Granger causality test, Vector autoregression and GARCH(1,1)-MA(1). The period of this paper is a weekly data from 1998.01.01 to 2001.08.31. The result shows that stock index influenced interest rate and exchange rate in most countries, and the stock index of Hong Kong, Korea, Malaysia, Singapore and Taiwan impacted interest rate and exchange rate at the same time. With respects to ADR price and macroeconomic factors, the results included that stock index has significantly influenced ADR price, and the next is ADR price that impacted exchange rate and stock index. As the result, ADR price and stock index existed two-way causality. Finally, from the spillover effect perspective, it’s the most significant that ADR price existed volatility spillover effect with stock index of the nine Asia-Pacific countries, the secondary is ADR price existed the rate of return effect for stock index. However, the negligible spillover effect is the influenced of stock index with ADR price. This implied that the investment behavior of the investors of Asia-Pacific country impacted by ADR trading of the previous day.

並列關鍵字

GARCH ； VAR ； macroeconomic factors ； spillover effect ； ADR ； dynamic relationship

參考文獻

19. 蕭淑芳，（2001），「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」，私立中原大學國際貿易研究所未出版碩士論文。

34. Tsai, Wen-Shin（2001）, “The Price Divergence Between GDRs and It's Underlying Shares: The Case of Taiwan”, Unpublished thesis, Dep. of Finance, National Taiwan University.

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