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研究生:吳致輝
研究生(外文):Chih Hui Wu
論文名稱:美國存託憑證之跨國動態價量關係
論文名稱(外文):Cross-Country Evidence on the Dynamic Price-Volume Relationship between ADRs and Their Underlying Stocks
指導教授:張倉耀張倉耀引用關係林霖林霖引用關係
指導教授(外文):Tsangyao ChangLin lin
學位類別:碩士
校院名稱:國立暨南國際大學
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:2007
畢業學年度:95
語文別:中文
論文頁數:40
中文關鍵詞:價量關係跨市場研究VAR-GJR-GARCH
外文關鍵詞:price-volume relationshipcross-marketVAR-GJR-GARCH
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本文主要研究美國存託憑證(ADR)與標的股票間的跨市場價量關係。過去大量文獻專注於研究ADR與標的股票價格間的動態影響,卻鮮少有人去注意到同一個市場機制下所產生的交易量可能帶來的資訊,因此本文搜羅亞洲與拉丁美洲五個新興市場及日本、英國、德國、法國四個已開發市場,利用VAR-GJR-GARCH來檢測美國存託憑證(ADR)與標的股票跨市場的價量動態影響並觀察波動性外溢狀況。本文發現交易量變數同樣具備某種程度的領先地位,特別是美國交易量,其中標的股票交易量資訊多反映在美國存託憑證市場的開盤價中,而美國存託憑證交易量資訊則對標的市場日夜間報酬具有領先地位。日間報酬與夜間報酬在多數市場中均具備引領跨市場交易量的地位,說明不論美國存託憑證市場(ADR)或是標的股市場,跨市場的報酬表現會引領另一個市場的交易熱絡情況。
There is a large number of studies on the dynamic interaction between the prices of American depository receipts(ADR) and their underlying stocks, but only few focus on the implication of the information of their trading volume. This paper extends the prior researches to examine the dynamic price-volume relationship of, and spillover effect on, ADR and underlying stocks in five emerging countries and four developed countries. Evidence shows that trading volume possesses leading position of a certain degree, especially ADR trading volume. The arrival of information of trading volume takes place during the overnight in ADR market, which is the overnight and daytime in underlying market. Return of daytime and overnight possess leading position of trading volume of cross market.
目錄

第一章 緒論.........................................................1
第二章 文獻回顧.....................................................2
第一節 ADR與UND間跨市場的價格關聯性................................2
第二節 價量關係理論與實證.........................................4
第三節 跨市場研究................................................8
第三章 資料來源與整理..................................................9
第四章 研究方法......................................................12
第一節 單根檢定(Unit root test)................................12
第二節 診斷性檢定(Diagnostic checking)........................14
第三節 GJR-GARCH..............................................15
第四節 VAR-GJR-GARCH..........................................15
第五節 因果關係檢定.............................................18
第五章 實證結果與分析.................................................19
第一節 敘述統計..............................................19
第二節 VAR的診斷性檢定........................................23
第三節 Granger因果關係整理....................................27
第四節 變異方程與不對稱波動....................................29
第六章 結論..........................................................33
建議與未來研究.......................................................33
附錄一..............................................................34
附錄二..............................................................36
參考文獻............................................................37

表次

[表一] 歐洲 報酬敘述統計..............................................19
[表二] 亞洲 報酬敘述統計..............................................20
[表三] 拉丁美洲 報酬敘述統計..........................................20
[表四] 歐洲 交易量敘述統計............................................21
[表五] 亞洲 交易量敘述統計............................................22
[表六] 拉丁美洲 交易量敘述統計.........................................22
[表七] KSS非線性單根檢定..............................................23
[表八] 歐洲 VAR診斷性檢定.............................................24
[表九] 亞洲 VAR診斷性檢定.............................................25
[表十] 拉丁美洲 VAR診斷性檢定.........................................26
[表十一] 價量因果關係整理.............................................27
[表十二] 歐洲變異方程係數.............................................29
[表十三] 亞洲變異方程係數.............................................30
[表十四] 拉丁美洲變異方程係數..........................................31

圖次

[圖一] 市場交易時間圖.................................................11
[圖二] 價量群組圖....................................................17
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