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題名 | 美國存託憑證與標的股票交易量對報酬波動的影響--以臺灣企業發行之ADR為例=The Impact of Trading Volume of ADR's and Underlying Securieies on Return Volatiling--Evidence from Taiwan Companies |
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作者 | 鍾國貴; 彭桂麗; Chung, Kuo-kue; Peng, Kuel-li; |
期刊 | 德明學報 |
出版日期 | 20051200 |
卷期 | 26 民94.12 |
頁次 | 頁27-46 |
分類號 | 563.54 |
語文 | chi |
關鍵詞 | 美國存託憑證; 價格波動效果; ADRs; Price volatility effect; GARCH; |
中文摘要 | 在金融市場國際化之後,存託憑證是常見的多角化投資標的及大型企業集資的重要工具。本文採用GARCH(1,1)模型同時考慮價格與交易量以探討ADR與標的股的波動關係。研究期間為1997/10/18~2003/12/31,國內六家於美國發行ADR之公司(聯電、日月光、矽品、臺積電、旺宏及友達光電)進行分析,資料型態為日頻率資料。本文實證結果顯示:這6家公司的原股股價與ADR價格間存在穩定的正向關係。標的股價或ADR價格的變動會受到前期股價或前期ADR價格變動的影響。波動持續性方面,臺積電所發行的存託憑證報酬調整速度最快,波動持續性最短;友達光電公司不論在存託憑證或是原股報酬調整速度皆是最慢,波動持續性最長的。ADR交易量影響標的股報酬波動方向不一致,且交易量對ADR股價報酬波動影響不明顯。 |
英文摘要 | With financial market internationalizing, it is common to use DRs as investment tools to form diversified portfolios and to raise funds for corporations. This research applies a GARCH model to detect the price volatility effect. The period of this paper is a daily from October 8, 1997 through December 31, 2003, in which six domestic companies issuing ADR in the United States were analyzed. The empirical findings are summarized as follows: In the six companies, their underlying stock price and ADR price exist in a long-term stable resationship. Their variable stock price or ADR price would be influenced by earlier stage stock price and ADR price change. From the volatility persistence point of view, the ADR of AUO tends to fluctuate more frequently, while ADR of TSM remains more stable. In other words, the ADR of TSM will be more likely to reflect instantly of all possible influences of a sign or news. The volatility of ADR return are not influenced by the ADR and the trading volume of underlying stocks. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。