查詢結果分析
來源資料
相關文獻
- 臺灣母公司股票報酬與其ADR報酬間資訊傳遞之研究
- Long-Run Equilibrium, Volatility Spillovers and International Asset Pricing: Empirical Analysis through ADRs
- The Price Relationships Among the Hong Kong, Taiwan and China Stock Markets: An Application of Cointegration Approach
- 臺北、東京及倫敦境外金融市場整合性與互動關係研究
- 美國高科技店頭市場指數--那斯達克綜合指數(Nasdaq Composite Index)與臺股電子股指數漲跌連動性之分析
- 匯率風險對臺灣實質出口之影響--共整合及誤差修正模型之應用
- 臺灣地區股票市場與外匯市場間報酬與波動性外溢效果之研究
- 預售屋與成屋價格之相互關係--共整合模式之應用
- 美、日、香港與臺灣四地股價指數連動關係之探討
- 臺灣貨幣需求函數之探討
頁籤選單縮合
題 名 | 臺灣母公司股票報酬與其ADR報酬間資訊傳遞之研究=The Study on Returns and Volatility Dynamics between Taiwan's Home-country Stocks and Their American Depositary Receipts |
---|---|
作 者 | 黃營杉; 李銘章; | 書刊名 | 東吳經濟商學學報 |
卷 期 | 48 2005.03[民94.03] |
頁 次 | 頁1-32 |
分類號 | 563.53 |
關鍵詞 | 美國存託憑證; 共整合; 雙元-EGARCH; 跨市場波動效果; 不對稱效果; ADR; Cointegration; Bi-EGARCH; Cross-market volatility spillover; Asymmetric effect; |
語 文 | 中文(Chinese) |
中文摘要 | 台灣股價指數一個有趣的現象是常受美國道瓊及NASDAQ指數漲跌影響,但是聯電、日月光、矽品、台積電及旺宏ADR的母公司都在台灣,在不同市場區隔下,母公司股票或者是該公司發行的ADR,何者具有價格發現或者資訊揭露的效果?本研究之目的是要分析兩市場間報酬率與波動性的互動關係。分析所使用工具是雙元EGARCH模型,利用標準化殘差作為條件平均數及條件變異數的解釋變數進行分析;本研究驗證了兩市場間資訊傳遞的實証資料,兩市場報酬率的條件平均數長期而言都會趨於穩定,市場間的資訊是透過變異數及共變數加以傳遞。研究發現只有台積電及旺宏兩家公司股票具有價格領先的效果。在不對稱效果方面,ADR 對台灣母公司股票報酬率的影響以上漲趨勢比下跌趨勢影響大,台灣母公司股票對ADR 報酬率的影響以下跌趨勢比上漲趨勢影響大,而波動的持續性大約是三天左右。兩市場間短期存有波動外溢效果,但長期卻有穩定的關係。 |
英文摘要 | There is an interesting phenomenon that Taiwan's stock index is influenced by DJIA and NASDAQ Index, but some ADRs' home-county stock, such as UMC, ASX, SPIL, TSM and MXICY are listed in Taiwan's stock market. In difference market segments, which one has the effects of price discovery and risk disclosure? To analysis the returns and volatility relationships between Taiwan's home-country equities and their ADRs are the purposes of this research. A bi-variate Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model is developed that includes a standardized residual as an explanatory variable for both the conditional mean and the conditional variance. This article provides evidence of returns and volatility dynamics linkages between Taiwan's home-county stocks and their American Depositary Receipts. The conditional mean returns from both markets are influenced by the long-run equilibrium relationship, and these markets are informational linked through the variance and covariance. This study finds that TSM and MXICY established the price-leading role of the cross-market. In asymmetric behavior, market advance has more impact than market retreat from ADR to Taiwan's home-country stock, but market retreat has more impact than market advance from Taiwan's home-country stock to ADR. The volatility shock persisted for about three days in the ADR market and Taiwan home-country stock market, respectively. There is a spillover effect between these two markets in the short run, but they jointly maintain a stable relationship in the long run. |
本系統中英文摘要資訊取自各篇刊載內容。