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研究生:馬野 泰治郎
研究生(外文):Taijiro Umano
論文名稱:臺灣存託憑證報酬率的實證研究
論文名稱(外文):An Empirical Study of Returns of Taiwan Depositary Receipts
指導教授:胡星陽胡星陽引用關係
指導教授(外文):Shing-Yang Hu
口試委員:何耕宇莊文議
口試委員(外文):Keng-Yu HoWen-I Chuang
口試日期:2013-07-02
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:企業管理碩士專班
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:2013
畢業學年度:101
語文別:英文
論文頁數:51
中文關鍵詞:臺灣存託憑證
外文關鍵詞:Taiwan Depositary ReceiptsTDR
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The paper examines the impact of the information asymmetry affecting to the return of Taiwan Depositary Receipts (TDRs) by considering four variables for TDRs: underlying stock price, price index on the original market (Hong Kong or Singapore), Taiwan Stock Exchange price index, and exchange rate to Taiwan New Dollar. Using correlation analysis and regression analysis, we examine the strength of correlation of those four variables to the price of TDRs. Granger causality test, on the other hand, analyzes any sign of causal relationship those four variables have towards the price of TDRs. Meanwhile, impulse response analysis examines the impact of the price of TDRs to a unit shock in each variable in a short period of time. The result shows that only underlying stock price shows both signs of correlation and causal relationship to the price of TDRs. Impulse response analysis also proves that the price of TDRs responses very quickly and significantly to a unit shock in underlying stock price in a short period of time. Thus, the result proves the timing of providing information that affects underlying stock price is significant to TDR investors and delayed information caused by information asymmetry does have negative affect to those investors.

1 INTRODUCTION AND RESEARCH PURPOSE 1
1.1 Research Purpose and Hypotheses 1
1.2 Literature Review 2
2 BACKGROUND OF DEPOSITARY RECEIPTS 4
2.1 What are Depositary Receipts 4
2.2 Benefits of Issuing Depositary Receipts 6
2.3 American Depositary Receipts 8
2.3.1 Description of ADRs, market size and position 8
2.3.2 Program types 11
2.4 Global Depositary Receipts 13
3 MARKET ANALYSIS OF TAIWAN DEPOSITARY RECEIPTS 15
3.1 Market Situations surrounding TDR 15
3.2 Fact Sheet of TDR 20
4 RESEARCH DIRECTION AND METHODOLOGY 23
4.1 Research Direction 23
4.2 Research Methodology 26
4.2.1 Data Source 26
4.2.2 Research Tool/Method 27
5 EMPIRICAL ANALYSIS 29
5.1 Result of Unit Root Test 29
5.2 Result of Correlation Analysis 32
5.3 Result of Regression Analysis 34
5.4 Result of Granger Causality Analysis 37
5.5 Result of Impulse Response Analysis 44
6 SUMMARY AND CONCLUSION 48
7 REFERENCES 51


Ameeta Jaiswal-Dale, Thadavillil Jithendranathan, 2001. Fluctuating Returns of Dual Listings: Domestic and ADR Markets, Working paper
Minho Kim, Andrew C. Szakmary, Ike Mathur, 2000. Price transmission dynamics between ADRs and their underlying foreign securities, Journal of Banking & Finance 24 (2000) 1359-1382
Shen-Yuan Chen, Li-Chuan Chou, Chau-Chen Yang, 2002. Price Transmission Effect between GDRs and Their Underlying Stocks—Evidence from Taiwan, Review of Quantitative Finance and Accounting, 19: 181-214, 2002
Yueh-Er Ji, Ming-Chang Cheng, Chien-Chi Lee, Po-Hsun Huang, 2012. An Empirical Study of Return and Causal Relationships of Taiwan Depositary Receipts– Hong Kong-listed Companies, Journal of Accounting, Finance and Economics Vol.2 No.1 July 2012. Pp. 1-17


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