臺灣博碩士論文加值系統

1997年亞洲金融風暴過後，在募集海外資金方面，美國成為一個相對較具吸引力的資本市場，由於美國位居全球經濟及科技的領導地位，一旦美國股市變動，便可能影響全球股市的波動，而美國存託憑證因其具有外國證券之替代性，可提供美國投資人直接投資外國證券以達投資多元化，此種跨國上市股票正好提供一個良好的管道以研究國際資本市場間之資訊傳遞。因此，本文的研究目的為探討美國存託憑證與標的股間報酬及波動性之資訊傳遞，以台灣、日本股票以及其美國存託憑證作為研究對象。本文的實證結果指出，在台灣及日本的資訊傳遞效果方面，皆發現標的股與其美國存託憑證間具有雙向顯著的價格資訊傳遞效果，在波動外溢部份，台灣與其美國存託憑證及日本與其美國存託憑證間皆有明顯的波動外溢效果。此外，更進一步探討出，台灣與其美國存託憑證較支持國際金融中心假說，而日本與其美國存託憑證則較支持本國傾向假說。

After the 1997 Asian financial crisis, American capital market became an attractive market for raising overseas capital. For recent years, US has successively achieved a leading position in worldwide economy and technology. The variations in American stock market prices would lead to variations in global stock markets. ADRs are attractive instruments for American investors to invest overseas directly and have the potential benefit of international diversification. The stocks cross-listed in foreign exchanges represent the underlying securities in their domestic markets. The cross-listing provides a better channel for firms to search for price efficiency in international capital markets. Therefore, the objective of this thesis is to examine the information transmission of returns and volatilities between ADRs and their underlying securities. Taiwanese and Japanese ADRs and their underlying securities were examined in this study. The empirical results of this study indicate that the transmission of pricing information between ADRs and their underlying securities is bi-directional for Taiwanese and Japanese securities. The empirical results also show that the volatility spillover effect between ADRs and their underlying securities is significant and bi-directional for both Taiwanese and Japanese securities. Furthermore, the empirical results support the international financial center hypothesis for Taiwanese ADRs and their underlying securities, but the results support the home-bias hypothesis for Japanese ADRs and their underlying securities.

1. Introduction 1
2. Literature Review 3
2.1 International transmission of information 4
2.2 The mean and volatility spillover effects 4
2.3 The determinants of ADRs 7
2.4 The impact of international listings 8
2.5 The relationships between ADRs and their underlying stocks 9
3. Research Design 10
3.1 Data Description 10
3.2 Data Processing 10
3.3 Methodology 13
3.4 Empirical Model Specifications 14
4. Empirical Results 18
4.1 Econometric Method 18
4.2 GJR-GARCH Model 20
5. Conclusion 25
References 27

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