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研究生:吳怡貞
研究生(外文):Yi-Chen Wu
論文名稱:美國存託憑證是否具有價格發現的功能?以台灣及日本市場為例
論文名稱(外文):Does Price Discovery Occur in American Depository Receipts?- Evidence from Taiwan and Japan’s Market.
指導教授:王銘杰王銘杰引用關係
指導教授(外文):Ming-Chieh Wang
學位類別:碩士
校院名稱:國立暨南國際大學
系所名稱:國際企業學系
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2007
畢業學年度:95
語文別:英文
論文頁數:57
中文關鍵詞:美國存託憑證價格發現價格傳導流動性交易
外文關鍵詞:ADRprice discoveryprice transmissionliquidity trade
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本文試圖找出對於標的市場及美國證卷交易市場中,同時在本國和在美國兩地上市的台灣及日本公司,其存託憑證(ADR)對台灣及日本公司標的股價的影響為何?並採用自2004年開始到2006年期間,股價、市場股價指數及匯率的日資料做為研究樣本資料。
由文中結果指出:只有日本的ADR具有價格發現效果,台灣則無此現象。表示日本投資者可藉由觀察ADR的價格變化,來預測日本其標的股價的走勢。而台灣ADR的變化則是伴隨國內市場股價變化而改變,台灣的ADR並無價格傳導的功能,因而投資者無法藉由美國存託憑證價格的變化來對國內標的股價格做預測。是故,本文指出日本ADR市場具有價格發現的功能,台灣ADR市場則僅是以流動性交易為主的市場。
In this research, we focus on the companies which dually listed in the home market and the U.S. market to see the effect of ADR on the underlying stock. Therefore, our focus is on the price effect of three markets, Taiwan, Japan, and the United States. We used the daily data of stock prices, market indexes, and exchange rates during the sample period from 2004 to 2006.
The results of our findings are as following: Only Japan’s ADR market had a price discovery effect. On the other hand, we cannot forecast Taiwan’s underlying stock price changes by their ADR prices. Because the ADR prices might follow in the footsteps of Taiwan’s underlying stock prices; in other words, discovery phenomenon does not exist in Taiwan’s ADR market.
Contents

Chapter 1. Introduction
1.1 Research Background........................................ p. 2
1.1.1 Introduction of ADRs........................................ p. 2
1.1.2 Types of ADRs.................................................. p. 3
1.1.3 Benefits of Investing ADRs............................ p. 4
1.2 Research Motives............................................... p. 5
1.3 Research Purpose.............................................. p. 6

Chapter 2. Background of Cross-Listing
2.1 The Importance of the Four Stock Exchanges............. p. 7
2.2 Market Trading Data................................................... p.11
2.3 Non-Overlapping Trading Hours................................ p.12

Chapter 3. Literature Review
3.1 Reasons for Companies to Cross-List in Foreign Markets............. p.14
3.2 The Determinants of the deviation on the return of ADRs and its underlying shares.. p.15
3.2.1 Market Price behavior of the ADRs.............................. p.16
3.2.2 Liquidity....................................................................................... p.20

Chapter 4. Methodology
4.1 DATA................................................................... p.21
4.2 WPC- Day trading price vs. overnight price....................... p.22
4.2.1 Taiwan market and the United States market.................. p.23
4.2.2 Japan market and the United States market...................... p.25
4.3 Regression Model- Factors to affect the returns.................... p.25

Chapter 5. Empirical Results
5.1 Result of WPC- Day trading price vs. overnight price....... p.28
5.2 Regression Results for the Price Returns of the Underlying Stocks in Taiwan and the ADRs in the United States.. p.31
5.2.1 The effect of exercising NYSE or NASDAQ................. p.31
5.2.2 The effect of exercising SOX.................................... p.34
5.2.3 The effect of exercising NASDAQ as the U.S. market index.p.37
5.2.4 Conclusion of the results that affect price returns...... p.40
5.3 Regression Results for the Price Returns of the Japan’s Underlying Stocks and the ADRs in the United States.. p.41

Chapter 6. Conclusions
Research Conclusions....................................................................... p.42

References..................................................................................... p.44
Appendix....................................................................................... p.48

List of Tables
Table 1. Trading Activities of the Four Stock Exchanges............p. 7
Table 2. Ten Largest Domestic Equity Market Capitalizations.....p. 8
Table 3. Top Ten Exchanges by Total Value of Share Trading in 2006 and 2005..p. 8
Table 4. Data for Taiwan and Japan cross-listed in NYSE Exchange.p.12
Table 5. WPC Variables Definition............................................................p.24
Table 6. WPC Calculation...............................................................p.24
Table 7. Regression Variables Definition..........................p.27
Table 8. Taiwan [U.S.] overnight return vs. U.S. [Taiwan] trading return..p.29
Table 9. Japan [U.S.] overnight return vs. U.S. [Japan] trading return..p.30
Table 10. Regression results of equation (1)-NYSE/NASDAQ...........p.32
Table 11. Regression results of equation (2)-NYSE/NASDAQ...........p.33
Table 12. Regression results of equation (1)-SOX...................p.35
Table 13. Regression results of equation (2)-SOX...................p.36
Table 14. Regression results of equation (1)-NASDAQ................p.38
Table 15. Regression results of equation (2)-NASDAQ................p.39

List of Figures
Figure 1. Chart of ADRs’ Relationship...............................................p. 5
Figure 2. 2006 Gains in Domestic Market Capitalization.......p. 9
Figure 3. 2006 Gains in Value of Share Trading................... p.10
Figure 4. Trading Hours of Three Stock Markets....................p.13

Table of Appendix
Appendix I. List of Taiwan’s Issuing ADRs companies.................p.48
Appendix II. List of Japan’s Issuing ADRs companies.................p.49
Appendix III. List of Japan’s Issuing ADRs companies(Cont.)...p.50
Appendix IV. List of Japan’s Issuing ADRs companies(Cont.)...p.51
Appendix V. Correlations - regression (1) (2) variables...............p.52
Appendix VI. Correlations - regression (3) (4) variables...............p.53
Appendix VII. Regression results of equation (3).........................p.54
Appendix VIII. Regression results of equation (4).........................p.56
References

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