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研究生:黃柏勛
研究生(外文):Huang, Po Hsun
論文名稱(外文):An Empirical Study Of Return And Causal Relationships Of Taiwan Depositary Receipts - Hong Kong Listed Companies
指導教授:鎮明常鎮明常引用關係
口試委員:黃瓊慧沈仰斌張紹基李佩璇鎮明常
口試日期:2011-07-23
學位類別:碩士
校院名稱:國立中正大學
系所名稱:企業管理研究所
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:2011
畢業學年度:99
語文別:英文
論文頁數:34
中文關鍵詞:台灣存託憑證
外文關鍵詞:TDRVARCausal Relationship
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This paper study the determinants for the effect of the price of underlying stock, currency exchange rate and Taiwan Stock Index on the price and return of Taiwan Depositary Receipts (TDR) which is issued by Hong Kong listed companies and it also determines the return and volatility transmission dynamic with Impulse Response Model of Vector Autoregressive (VAR) and causality relations of Granger Causality Test. The result is that the return of TDR would be affected by the underlying stock, Currency rate, and Taiwan Stock Index. There is a two-way relationship between the return of TDR and the return of underlying stock. And there is a two-way relationship between the return of TDR and Taiwan Weighted Stock Index, too.
1. Introduction.............................................................................1

2. Literature Review
2.1 Review of the literature on the relationship between the price of DR and the
price of underlying stocks...........................................................5
2.2 Review of the literature on the variables that affect the price of DR................6

2.3 Hypothesis of this study................................................................10

3. Research Methodology.....................................................................11

4. Empirical Analysis
4.1. Result of Unit Root Test and Cointegration Test....................................15
4.2 Result of VAR Model.................................................................17
4.3 Result of Granger Causality Analysis................................................21
4.4 Results of Empirical Study..........................................................24

5. Research Conclusion......................................................................29

6. Research Contribution and Suggestion.....................................................30

References..................................................................................33

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Chang, S.H (2000),” U.S.-Taiwan Stock Return Co-movements and Spillover Effects between Taiwanese Common Stocks and Corresponding GDRs”, Publication Situation, Department of International Business Administration, National Taiwan University, Taiwan

Ely, D. and M. Salehizadeh (2001), “American Depositary Receipt: An Analysis of International Stock Price Movement”, International Review of Financial Analysis, vol. 10,pp.343-363

Huang, C.H (2001), “The price informational transmission between ADRs and pricing variables”, Publication Situation, Department of Business Administration, National Taipei University, Taiwan

Jiang, C.X (1998), “Diversification with American Depositary Receipt: the Dynamics and the Pricing Variables”, Journal of Business Financing and Accounting, vol. 25, pp683-699

Jaiswal-Dale, A. and Jithendranathan, T. (2001),”Fluctuating Returns of Dual
Listings : Domestic and ADR Markets”, Working paper

Karolyi, G. A., and Stulz, R. M., (1996), “Why do Markets Move Together ? An
Investigation of US-Japan Stock Return Comovements”, Journal of Finance,
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Kim, M., Szakmary, A. C. and Mathur, I. (2000), “Price Transmission Dynamics between ADRs and their Underlying Foreign Securities”, Journal of Banking &Finance, Vol.24, PP. 1359-1382

Li, Z,Y (1996),” The Transmission Between GDRs and Its Underlying Stock : The Case of Taiwan”, Publication Situation, Department of Finance, National ChengChi University, Taiwan


Yen, C.M (2000),” The Information transmission of GDRs and Underlying stocks”, Publication Situation, Department of Finance, National ChengChi University, Taiwan

Park, J. (1990), The impact of Information on ADR Returns and Variances :Some Implications (International Information Transmission), Unpublished PHD Thesis, The University of Lowa, 243-252

Park, J., (1995),“Variance of ADR Returns : Information Effect and Influence of
Trading in the U.S. Market”, International Review of Economics and Finance,
Vol. 4,PP. 105-114

Patro, D. K., (2000), “Returns Behavior and Pricing of American Depositary
Receipts”, International Financial Markets, Institutions & Money, Vol. 9, PP.
43-67

Shen, Z.H (1998),” The Price Transmission between GDRs and Its Underlying Stock: The Case of Taiwan”, Review of Securities and Futures Markets, Vo10.2.pp.37-62

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