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研究生:楊淑玲
研究生(外文):Shu-ling Yang
論文名稱:跨國上市的訊息傳遞與市場整合效果
論文名稱(外文):The Effect of Cross-listing on Information Transmission and Market Integration
指導教授:薛立言薛立言引用關係劉亞秋劉亞秋引用關係
學位類別:博士
校院名稱:國立中正大學
系所名稱:財務金融所
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:94
語文別:中文
論文頁數:50
中文關鍵詞:市場整合訊息傳遞跨國上市
外文關鍵詞:Cross-listingInformation transmissionMarket
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本文主要是透過檢測個別標的股票之日內波動性與交易量U-shape型態的變化,來探討台灣企業至美國進行初次跨國上市,是否有助於提升兩市場間訊息傳遞的效率性與市場整合程度?研究結果顯示,國際間存在的直接投資障礙與投資人母國偏誤的心理因素,乃是造成台灣與美國市場訊息傳遞效率性與市場整合程度「與時改變」的重要因素。另外,本研究也發現,企業在初次跨國上市後,其國內標的股票開、收盤時段之日內波動性與交易量交易型態,確實受到不對稱的影響;此項結果支持訊息基礎假說的論點。
This study investigates the effect of international cross-listing on intraday return volatility and volume for individual firms. A flattened U-shape pattern due to cross-listing is considered as evidence of more efficient information transmission and better market integration. Our empirical findings indicate that cross-listing has indeed resulted in a flattened U-shape pattern of return volatility and volume, yet such flattening exhibits a time-varying trend. Furthermore, we document that the time-varying feature of information flow and market integration can be explained by the gradual lifting of both the investment barriers and home bias of investors. Finally, this study finds an asymmetric impact of cross-listing on intraday volatility and volume U-shape patterns, which is consistent with the information-base hypothesis.
目 錄
第一章 緒 論…………………………………………………………1
第二章 相關理論與文獻回顧…………………………………………4
第一節 波動性與交易量日內交易型態…………………………4
第二節 市場不完全整合的成因…………………………………7
第三章 實證樣本與研究設計………………………………..………10
第一節 ADR的簡介……………………………………………10
第二節 樣本的描述本的描述…………………………………..11
第三節 交易時間與符號說明…………………………………..13
第四節 研究設計………………………………………………..15
一、橫斷面日內交易型態……………………………………15
二、縱斷面日內交易型態……………………………………17
三、市場不完全整合之成因…………………………………21
第四章 實證結果與分析……………………………………………..27
第一節 全體樣本U-shape 日內交易型態的初步分析………...27
第二節 橫斷面日內交易型態分析……………………………...28
第三節 縱斷面日內交易型態分析……………………………...31
一、條件下日內波動性交易型態分析………………………33
二、條件下日內交易量交易型態分析………………………36
第四節 市場不完全整合成因分析……………………………...38
第五章 結論與政策含意……………………………………………..42
附錄……………………………………………………………………..44
參考文獻………………………………………………………………..46


表 目 錄

表1 美國存託憑證的類型……………………………………………11
表2 台灣企業初次發行ADR 類型與年度之分配…………………12
表3 全體研究樣本U-shape 日內交易型態分析……………………28
表4 全體研究樣本與控制樣本日內波動性與交易量分析…………29
表5 橫斷面日內波動性/交易量交易型態…………………………..30
表6 縱斷面日內波動性/交易量交易型態…………………………..32
表7 條件下日內波動性交易型態分析………………………………35
表8 條件下日內交易量交易型態分析………………………………37
表9 母國偏誤投資行為之分析………………………………………40











圖 目 錄

圖1 美國與台灣股票市場交易時間與符號說明……………………13
圖2 跨國上市對日內交易型態可能之影響…………………………14
圖3 美國與台灣市場的交易時段與隔夜期間………………………23
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