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研究生:張祐誥
研究生(外文):Yu-Kao Chang
論文名稱:香港與美國交叉上市之賭場博弈股套利研究
論文名稱(外文):The Investigation of Arbitrage in Casino Gaming Stocks Cross-Listed between the Hong Kong and US Markets
指導教授:鄭瑞昌鄭瑞昌引用關係張千雲張千雲引用關係
學位類別:碩士
校院名稱:國立臺中科技大學
系所名稱:財務金融研究所碩士班
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:2016
畢業學年度:104
語文別:英文
論文頁數:38
中文關鍵詞:交叉上市賭場博弈股VAR模型套利機會
外文關鍵詞:Cross-listedCasino Gaming StocksVAR modelArbitrage
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在大部分觀光餐飲的股票報酬率之相關研究,很少是針對賭場博弈公司股票報酬率進行探討。Cheung與Lam(2015)比較香港與美國交叉上市的賭場博弈股,發現在香港上市的博弈股相較於美國上市的博弈股有較高的異常報酬率。本研究希望藉由VAR模型的應用,來探討交叉上市之賭場博弈股之間的關係,藉此尋找有無套利機會,本研究樣本有四家博弈公司在美國與香港交易所交叉上市,樣本期間為2011年12月7日至2015年4月24日,共844天的股價報酬率,並總結兩個重要發現:
(1)本研究利用VAR模型估計在香港與美國交易所上市的賭場博弈股,並檢驗其Granger Causality。研究結果發現美國上市的博弈股能夠影響香港上市的博弈股,兩者間具有因果關係。
(2)本研究進行樣本外預測(out-of-sample),利用滾動視窗(rolling window)來估計參數,比較實際股價報酬與估計股價報酬兩者之間的趨勢。結果顯示我們的估計股價報酬與實際股價報酬有50%以上的相同趨勢,投資人能藉由此研究找尋套利機會。


While a number of hospitality researchers have investigated hospitality stock returns, few examine the stock returns of casino gaming companies. Casino gaming stocks listed in Hong Kong exchange have a significantly higher abnormal return than their cross-listed counterparts in the US (Cheung and Lam, 2015). In this study, there are four pairs of casino gaming stocks currently cross-listed in both exchanges, the cross-listing sample consists of 844 day observations from December 7 2011 to April 24 2015.

This study has two pivotal contributions are made: First, this paper utilizes VAR model to perform the Granger causality test of the stock return of cross-listed casino gaming stocks in Hong Kong and US stock exchange. The results show that the returns of casino gaming stocks in US stock exchanges can affect the returns of casino gaming stocks in HK stock exchange. Second, this paper compares the actual stock return in Hong Kong and the estimated stock return in Hong Kong, the outcome shows there is over 50% hit ratio between the actual stock return and estimated return.


摘要.................................................................................................................................I
Abstract..........................................................................................................................II
謝誌..........................................................................................................................III
Contents........................................................................................................................IV
List of Table..................................................................................................................V
List of Figure..................................................................................................................VI
I. Introduction.................................................................................................................1
1.1. Research Background.........................................................................................3
1.2. Research Motivation and Objectives..................................................................6
1.3. Procedure of the Research ..................................................................................6
II. Literature Review
2.1. Sin Industry………………………………………...…………………………..8
2.2. Cross-Listed……………...……………………………………………...……..9
III. Methodology
3.1. Vector Auto Regression (VAR)…………………………….............................11
3.2. Data...................................................................................................................13
IV. Empirical Results
4.1. VAR model and Granger Causality of Casino Gaming Stocks Return…….......16
4.2. Performance in Out-of-Sample Test..................................................................26
V. Conclusions...……………………………………………………………………...34
5.1. Conclusions……………………………………………………………….......34
5.2. Opportunities of Future Research......................................................................35
References……………………………………………………………………………36


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