臺灣博碩士論文加值系統

本論文涵蓋相關美國存託憑證的兩大研究主題。
第一篇研究主要是對中國公司在美國市場發行之美國存託憑證(海外股)、在中國市場發行之A股(原股)、在香港市場發行的H股(存託依據股)之間的價格discount進行討論，藉由隨時間變化的panel data模型觀察中國由計畫經濟逐步轉型為自由市場經濟對市場價格所造成的影響。經實證結果發現不同市場的價格隨經濟制度的轉變逐漸趨於一致。並發現在不同市場中的價格背離受長期規劃導引與金融政策影響甚深，而非像其他國家受流動性，股利稅..等因子影響。
第二篇研究橫跨各種不同國家建造的資料庫，透過大量的手動比對蒐集全球有發行ADR的公司前後五年間所有併購資料以及其對應公司資料。延伸過去研究，提出一個新的想法：公司發行ADR後，會因為發行ADR可以加強監理制度，降低併購中經理人自利動機，同時也可以降低市場區隔與資訊不對稱造成的成本，使併購活動的超額報酬會變高、併購活動亦同步增加。

This dissertation works on two issues related to American Depositary Receipts (ADRs): (1). Government policies or Investor sentiment? An reexamination of pricing dynamics of discounts between Chinese cross-listed stocks, and (2). American depositary receipts and merger activities.
The first issue mainly explores price discounts of Chinese public listed companies which have issued ADRs (overseas shares in the U.S. market), H-shares (shares traded in the Hong Kong market) and A-shares (shares traded in the China market). We use time-varied panel data models to investigate the effect of different market share prices are influenced by China's gradual economic transformation from a planned economy to a free market economy. We also conclude the price discounts dwindle due to the gradual transformation of the economic systems. Furthermore, the share price deviations in different markets should be deeply affected by the long-term centrally planned economy and financial policies of the Chinese government, and not like other countries, share prices are much influenced by share liquidity, investors sentiment and other factors.
On the second issue, we finds that after ADRs were issued, the companies average abnormal return increased significantly, and the average abnormal returns generated through cross-border merger activities increased from 2.3% to 2.9% compared to before the issuance of ADRs. This is because the issuance of ADRs not only strengthens the level of supervision, and reduces the directors’ motives for their own self-interest during merger activities; it also reduces the costs caused by market segmentation and information asymmetry. The increase of abnormal return during merger activities will increase in sync with merger activities.

Table of Contents
Essay Ⅰ. Government policies or Investor sentiment? An reexamination of pricing dynamics of discounts between Chinese cross-listed stocks.
1. Introduction 1
2. Data description 7
3. Definition and the cross-sectional panel data analysis of discounts 9
3.1. ADR-A, H-A, and ADR-H discounts 9
3.2. Empirical model: a cross-sectional panel model of discounts 12
4. The effects of non-pricing factors on discounts 18
4.1 Empirical evidences of government ownership, government policies and financial crises on discounts 18
4.2 Empirical evidences of China's Five-Year Plans on the discounts 22
4.3 Empirical evidences of investment restrictions relaxes and the exchange rate mechanism reforms on discounts 25
4.4 Further investigation by bivariate model 30
5.Conclusions 32

Essay Ⅱ. American depositary receipts and merger activities.
1.Introduction 34
2.The Impact of the issue of ADRs on Merger Activities 36
2.1 ADRs and Merger Activities 36
2.2 The Event Study Method and Abnormal Returns 37
2.3 Cross-sectional Data Analysis 38
2.4 Cross-border Merger 41
3.Bonding Theories and Market Integration 43
3.1 Bonding Theory and Merger Activities 43
3.1.1 Investor Protection Index 44
3.1.2 Mergers Conducted Using Stock Equity 45
3.2 Market Integration and Merger Activities 46
3.2.1 Segment Index 48
3.2.2 Equity Mergers and Market Segmentation 49
4.Corresponding Companies that Do Not Issue ADRs 51
5.Conclusion 53
References 54
?
Tables
Table 1.1 Companies selected in the sample 61
Table 1.2 Summary statistics 63
Table 1.3 Relationship between ADR discount and impact factors 64
Table 1.4 The list of the policies by the Chinese government 65
Table 1.5 Relationship between ADR discount and impact factors (with SOEs, China's government policies, and crises) 67
Table 1.6 Relationship between ADR discount and impact factors (Five-year program) 69
Table 1.7 Relationship between discount and impact factors before and after policies changes 71
Table 1.8 Relationship between return and impact factors 73
Table 2.1 number of mergers for companies five years before and five years after the issuance of ADRs 75
Table 2.2 The average CAR of mergers for companies before and after the issuance of ADRs 75
Table 2.3 Control Variables 76
Table 2.4 Cross-sectional regressions of all merger activities on CAR by ADR 77
Table 2.5 Number of cross-border mergers and average abnormal return for companies five years before and after the sssue of ADRs 78
Table 2.6 Cross-sectional regressions of cross-border merger activities on CAR by ADR 79
Table 2.7 Cross-sectional stepwise regressions on CAR by investors protection with ADR 80
Table 2.8 Cross-sectional stepwise regressions on CAR by investors protection with ADR (mergers by equity) 81
Table 2.9 Cross-sectional stepwise regressions on CAR by market segment with ADR 82
Table 2.10 Cross-sectional stepwise regressions on CAR by market segment with ADR (mergers by equity) 83
Table 2.11 The number and average CAR five years before and after companies issued ADR compare with companies did not issue ADR (all merger activities) 84
Table 2.13 Robustness of cross-sectional stepwise regressions of all merger activities on CAR by ADR 86
Table 2.14 Robustness of cross-sectional stepwise regressions on CAR by investors protection with ADR 87
Table 2.15 Robustness of cross-sectional stepwise regressions on CAR by investors protection with ADR (mergers by equity) 88
Table 2.16 Robustness of cross-sectional stepwise regressions on CAR by market segment with ADR 89
Table 2.17 Robustness of cross-sectional stepwise regressions on CAR by market segment with ADR(mergers by equity) 90

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