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研究生:石孟娟
研究生(外文):Meng-chuan Shih
論文名稱:考量結構性轉變下ADR與其原股間價格相關性研究
論文名稱(外文):Price Relationships between ADRs and Their Underlying Stocks with Structural Breaks
指導教授:李昭蓉李昭蓉引用關係
指導教授(外文):Jau-Rong Li
學位類別:碩士
校院名稱:義守大學
系所名稱:財務金融學系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2005
畢業學年度:93
語文別:中文
論文頁數:406
中文關鍵詞:美國存託憑證等價邊界模型誤差修正模型Granger因果關係ARDL模型
外文關鍵詞:Granger CausalityError Correction Model (ECM)Autoregressive distributed lag (ARDL) modelParity Bounds ModelAmerican Depositary Receipt (ADR)
相關次數:
  • 被引用被引用:4
  • 點閱點閱:1173
  • 評分評分:
  • 下載下載:112
  • 收藏至我的研究室書目清單書目收藏:3
本研究主要是針對7家發行美國存託憑證的台灣企業,探討由發行至今其原股價格報酬與ADR價格報酬間的關聯性。首先做ADF檢定,接下來運用Chow Test找出結構性轉變點,並依個別之結構性轉變點劃分為不同之資料結構時期。其次,使用不需序列齊次整合之ARDL自我迴歸落階模型來進行長期均衡共整合關係測試,實證後發現絕大多數樣本公司之各階段資料結構時期其原股與ADR價格間存在長期共整合關係。
有別於傳統文獻只針對原股與ADR收盤價格間之價格傳遞效果做探討,而實際上進行跨國套利時,會因交易時間之不同導致收、開盤價格間會交互影響,本文提出將開盤價格納入誤差修正模型中來進行更精確之因果關係檢定。實證結果發現:1、台灣資本市場相對於國外市場有單向因果關係存在。此結果支持Garbade and Silber(1979)-支配跟隨市場假說(dominant-satellite)。除中華電信外,其餘樣本公司之部分結構區間會存在雙向之回饋效果存在,且發現幾乎大多數樣本公司其原股價格對其ADR價格之影響會大於ADR價格對原股價格之影響。2、發行公司之原股價格會受到發行地之市場指數顯著之影響,
最後利用等價邊界模型,在考量結構性變化後,分析原股與ADR之間在估算交易成本後其套利機會存在之機率大小,實證結果如下:1、在考量結構性轉變後,可以提升存在套利機會之機率,並且減少無謂的套利行為,甚至減少損失發生之機率。2、台積電與聯電存在套利機會之機率高達99.8% ,而日月光大多期間也是存在套利機會之機率高達99.8%。
In this paper we examine the price relationships between ADRs and their underlying stocks with structural breaks. Before having further analysis, Chow test is used to identify if there exists any structural break during the research period. According to the results of Chow, we divide the time series data and then apply autoregressive distributed lag (ARDL) model to test cointegration relationship between ADRs and their underlying stocks. The results reveal that the prices of both markets make adjustment to establish a long run cointegrated equilibrium.
Except ARDL testing, we also take into account of some variables such as the opening and closing price of ADRs, the opening and closing price of their underlying stocks, and index of stock price of both markets to examine the price relationships between ADRs and their underlying stocks in Granger causality test with ECM. The results implies that unidirectional causality from Taiwan''s capital market to the foreign market. This asymmetry suggests the domestic market plays a dominant role in price transmission relative to the foreign market. The underlying stock price series are affected significantly by the changes of index of stock price of market of Taiwan.
Finally, by using Parity Bounds Model, we estimate the probabilities of arbitrage opportunity between ADRs and their underlying stocks markets with the consideration of structural breaks. The empirical results suggest that we could increase the probability of arbitrage opportunity with the consideration of structural breaks.
謝誌
摘要
Abstract
目錄
第一章 緒論1
第一節 研究背景與動機1
第二節 研究目的4
第三節 研究架構6
第四節 研究範圍及對象7
第二章 文獻回顧8
第一節 跨國上市股票間報酬與風險的傳遞效率8
第二節 影響ADR價格之相關因素10
第三節 其他ADR相關文獻15
第四節 研究方法17
第三章 研究方法21
第一節 單根檢定(Unit Root test)與結構性轉變檢定21
第二節 自我迴歸落階模型(Autoregressive Distributed Lag Model)25
第三節 誤差修正模型(Error Correction Model)28
第四節 Granger因果關係檢定(Granger causality test)29
第五節 等價邊界模型(Parity Bounds Model)37
第四章 實証結果43
第一節 樣本資料來源跟說明43
第二節 單根檢定與Chow Test 60
第三節 自我迴歸落階模型檢定77
第四節 因果關係檢定127
第五節 等價邊界模型268
第五章 結論與建議281
第一節 研究結論281
第二節 研究限制與建議289
參考文獻290
附錄一 ECM模型檢定表302
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