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題 名 | 區隔市場下存託憑證與原股折溢價關係之研究--以臺灣企業發行之海外存託憑證為例=Price Relationships between Depositary Receipts and Their Underlying Securities in Segmented Markets: Evidence from Depositary Receipts Issued by Taiwanese Firms |
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作 者 | 蔡璧徽; 黃志典; | 書刊名 | 管理與系統 |
卷 期 | 10:3 2003.07[民92.07] |
頁 次 | 頁263-283 |
分類號 | 563.538 |
關鍵詞 | 存託憑證; 套利; 單一價格法則; 共整合; 投資人心理; Depositary receipt; Arbitrage; The law of one price; Cointegration; Investor sentiment; |
語 文 | 中文(Chinese) |
中文摘要 | 本研究探討兩個問題:(1)存有投資障礙的臺灣市場,原股與相對應的海外存託憑證價格之間的關係。(2)外資持股比率與公司規模是否能解釋存託憑證與原股價格之間的差異。海外存託憑證係表彰原股的有價證券,在無投資障礙的情況下,投資人可以進行套利活動,存託憑證與原股的價格會趨於一致。但是臺灣現行「華僑及外國人投資證券管理辦法」和「發行人募集與發行海外有價證券處理準則」的規定,使套利機能難以充分發揮。在這種管制制度下,若原股價格高於存託憑證價格,存託憑證能兌回轉換成原股,套利活動仍可進行,但若存託憑證價格高於原股價格,投資人無法及時將原股轉換成存託憑證,因此,存託憑證的溢價難以縮小。本文發現:(1)臺灣企業所發行的存託憑證有不穩定的溢價存在。(2)規模愈大與外資持股比率愈高的臺灣企業,其發行的存託憑證溢價幅度愈大。 |
英文摘要 | In this paper, we examine two issues: (1) the price relationships between depositary receipts and their underlying securities for Taiwanese firms, (2) the determinants of the price differences between depositary receipts and their underlying securities. Cross-border arbitrage, when at work, should align the prices of depositary receipts and underlying securities within the stationary bounds. However, Taiwan’s “Regulations Governing Securities Investment by Overseas Chinese and Foreign Investors” and “Criteria Governing the Offering and Issuance of Overseas Securities by Issuers” might hinder the cross-border arbitrage. Under Taiwan’s regulation framework, if the prices of depositary receipts are lower than the prices of their underlying securities, depositary receipts can be converted into the underlying securities. This will decrease the price differences. Nevertheless, f the prices of depositary receipts are higher than the prices of their underlying securities, the underlying securities cannot be converted into depositary receipts in a timely manner. Thus, premiums might persist for depositary receipts issued by Taiwanese firms. In this paper, we find that there are non-stationary price differences between depositary receipts and their underlying securities for the Taiwanese firms. We also find that price differences between depositary receipts and their underlying securities for Taiwanese firms are positively related to the firm size and the foreign ownership ratio. |
本系統中英文摘要資訊取自各篇刊載內容。