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Student Number 89425016
Author Chao-hsun Wu(吳昭勳)
Author's Email Address s9425016@cc.ncu.edu.tw
Statistics This thesis had been viewed 2859 times. Download 2483 times.
Department Finance
Year 2001
Semester 2
Degree Master
Type of Document Master's Thesis
Language zh-TW.Big5 Chinese
Title An empirical study of return and
volatility transmissions of ADRs
Date of Defense 2002-06-13
Page Count 74
Keyword
  • ADRs
  • cross-correlation function
  • vector autoregressio
  • Abstract This thesis explores the ADRs in Taiwan and Japan and examines their return and volatility transmission dynamics with vector autoregressive (VAR) and vector error correction (VEC) models. We find some major differences between Taiwanese and Japanese ADRs Furthermore, the cross-correlation function (CCF) is used to test the causality in variance.
    The results show that the transmission of the underlying stock return is the strongest reason for the variance of ADRs returns. Compared to Japan, S&P 500 index return has a stronger impact on the Taiwanese ADRs. Besides, there is a two-way feedback relation between ADRs returns and underlying stock returns. However, the latter generally leads the former. Also, exchange rate returns have another two-way feedback with ADRs, but S&P 500 index returns do not exist lead-lag relation with ADR returns.
    There is volatility spillover effect between Taiwanese ADRs and their underlying stock, and so are Japanese ADRs and their underlying stock. The duration of the spillover effect of Japanese ADRs is not as long as that of Taiwanese ADRs, and the reason might be that the Japanese market is more efficient. Taiwanese ADRs and S&P 500 index have volatility spillover effect on the same calendar day only, and they are not as significant in Japan. Finally, the volatility spillover effects between ADRs and exchange rates are not significant.
    Table of Content 章節目錄
    第一章 緒論1
    1.1 研究動機與目的3
    1.2 研究範圍4
    1.3 研究結果5
    1.4 研究架構5
    第二章 文獻回顧7
    2.1 跨國上市股票間報酬與風險的傳遞效率7
    2.2 跨國上市後對標的資產報酬與風險的影響8
    2.3 影響ADR的相關因素9
    2.4 海外存託憑證報酬波動性相關研究11
    第三章 資料來源與研究方法13
    3.1 資料來源與處理13
    3.2 研究設計與流程15
    3.3 單根與共整合檢定18
    3.4 向量自我迴歸模型與誤差修正模型19
    3.4.1 衝擊反應函數20
    3.4.2 預測誤差變異數分解20
    3.5 殘差交叉相關函數21
    3.5.1 第一階段22
    3.5.2 第二階段23
    第四章 實證結果分析25
    4.1 單根與共整合檢定結果25
    4.2 VAR與VEC模型結果分析29
    4.2.1 衝擊反應函數分析29
      4.2.2 預測誤差變異數分解分析34
    4.3 殘差CCF檢定結果分析36
    4.3.1 ADR與相關變數間報酬之傳遞關係36
    4.3.2 ADR與相關變數報酬波動外溢效果40
      4.4 實證結果綜合整理43
    第五章 結論與建議47
    參考文獻49
    附錄 表4-1 台灣ADR之GARCH模型估計52
    表4-2 台灣標的股之GARCH模型估計53
       表4-3(a) 日本ADR之GARCH模型估計54
       表4-3(b) 日本ADR之GARCH模型估計55
    表4-3(c) 日本ADR之GARCH模型估計56
       表4-4(a) 日本標的股之GARCH模型估計57
       表4-4(b) 日本標的股之GARCH模型估計58
       表4-5 ADR與標的股報酬之CCF檢定結果-台灣59
       表4-6 ADR與S&P 500報酬之CCF檢定結果-台灣59
    表4-7 ADR與匯率報酬之CCF檢定結果-台灣60
    表4-8(a) ADR與標的股報酬之CCF檢定結果-日本61
    表4-8(b) ADR與標的股報酬之CCF檢定結果-日本62
    表4-9(a) ADR與S&P 500報酬之CCF檢定結果-日本63
    表4-9(b) ADR與S&P 500報酬之CCF檢定結果-日本64
    表4-10(a) ADR與匯率報酬之CCF檢定結果-日本65
    表4-10(b) ADR與匯率報酬之CCF檢定結果-日本66
    表4-11 ADR與標的股報酬變異數之CCF檢定結果-台灣67
    表4-12 ADR與S&P 500報酬變異數之CCF檢定結果-台灣67
    表4-13 ADR與匯率報酬變異數之CCF檢定結果-台灣68
    表4-14(a) ADR與標的股報酬變異數之CCF檢定結果-日本69
    表4-14(b) ADR與標的股報酬變異數之CCF檢定結果-日本70
    表4-15(a) ADR與S&P 500報酬變異數之CCF檢定結果-日本71
    表4-15(b) ADR與S&P 500報酬變異數之CCF檢定結果-日本72
    表4-16(a) ADR與匯率報酬變異數之CCF檢定結果-日本73
    表4-16(b) ADR與匯率報酬變異數之CCF檢定結果-日本74
    圖目錄
    圖3-1 研究流程圖17
    圖4-1 ADR的衝擊反應圖-台灣30
    圖4-2 ADR的衝擊反應圖-日本31
    圖4-3 ADR變動對標的股的衝擊反應圖-台灣33
    圖4-4 ADR變動對標的股的衝擊反應圖-日本33
    表目錄
    表1-1 台灣發行ADR現況3
    表3-1 台灣、日本ADR的樣本公司14
    表3-2 日本樣本公司發行ADR現況15
    表4-1 ADR價格與標的股股價ADF檢定-台灣25
    表4-2 ADR價格與標的股股價ADF檢定-日本26
    表4-3 S&P 500指數與匯率的ADF檢定27
    表4-4 Johansen共整合檢定-台灣27
    表4-5 Johansen共整合檢定-日本28
    表4-6 ADR的衝擊反應函數-台灣30
    表4-7 ADR的衝擊反應函數-日本31
    表4-8 預測誤差變異數分解-台灣34
    表4-9 預測誤差變異數分解-日本34
    表4-10 報酬之CCF檢定結果-台灣38
    表4-11 報酬之CCF檢定結果-日本39
    表4-12 報酬變異數之CCF檢定結果-台灣41
    表4-13 報酬變異數之CCF檢定結果-日本42
    表4-14 實證結果綜合整理46
    Reference 參考文獻
    中文
    吳禮祥,「美國存託憑證的套利與價差交易」,台灣大學財務金融所碩士論文,民國八十九年六月。
    李昭瑩,「海外存託憑證與普通股之間價格傳遞關係-台灣之實證研究」,政治大學財務金融所碩士論文,民國八十五年六月。
    李雯華,「美國存託憑證與相關變數之互動研究及其套利策略」,淡江大學財務金融所碩士論文,民國九十年六月。
    張世潔,「美股-台股股價報酬之共移性及海外存託憑證與台灣原股之報酬波動外移效果」,台灣大學國際企業所碩士論文,民國八十九年六月。
    郭俊華,「台灣企業發行海外存託憑證訊息效果之研究」,中興大學企業管理所碩士論文,民國八十五年六月。
    黃建勳,「ADR及其價格因素間資訊傳遞效率性﹣台灣之實證研究」,台北大學企業管理所碩士論文,民國九十年六月。
    劉仲宙,「台灣地區發行海外存託憑證對標的股票價格變動之研究」,政治大學企業管理所碩士論文,民國八十四年六月。
    顏建銘,「海外存託感證與國內對應股票價格的訊息傳遞效果」,政治大學企業管理所碩士論文,民國八十九年六月。
    英文
    Cheung, Y.-W., 1996, “A Causality-in-Variance Test and its Application to Financial Market Prices”, Journal of Econometrics, Vol. 72, PP. 33-48
    Enders, W., 1995, Applied Econometric Time Series, New York: Wiley 
    Fleming, J., Kirby, C. and Ostdiek, B., 1998, “Information and Volatility Linkages in the Stock, Bond, and Money Markets”, Journal of Financial Economics, Vol. 49, PP. 111-137
    Hong, Y., 2001, “ A Test for Volatility Spillover with Application to Exchange Rates”, Journal of Econometrics, Vol. 103, PP. 183-224
    Jaiswal-Dale, A. and Jithendranathan, T., 2001,“Fluctuating Returns of Dual Listings : Domestic and ADR Markets”, Working paper
    Jayaraman, N., Shastri, K. and Tandon, K., 1993, “The Impact of International Cross Listings on Risk and Return”, Journal of Banking and Finance, Vol. 17, PP. 91-103
    Karolyi, G. A., and Stulz, R. M., 1996, “Why do Markets Move Together ? An Investigation of US-Japan Stock Return Comovements”, Journal of Finance, Vol. 29, PP. 95-124
    Kim, M., Szakmary, A. C. and Mathur, I., 2000, “Price Traasmission Dynamics between ADRs and their Underlying Foreign Securities”, Journal of Banking & Finance, Vol.24, PP. 1359-1382
    Martell, T. F., Rodriguez, L. and Webb, G., 1999, “The Impact of Listing Latin American ADRs on the Risk and Returns of the Underlying Shares”, Global Finance Journal, Vol. 2, PP. 147-160
    Mathur, I., Gleason, K. C., and Singh, M., 1998, “Did Markets React Efficiently to the 1994 Mexican peso Crisis –Evidence from Mexican ADRs”, Journal of Multinational Financial Management, Vol. 8, PP. 39-48
    Newton, C. A., Ricardo, P.C., Celso, F.L. and Paloma, P. L., “The Market Impact of Cross-Listing : The Case of Brazilian ADRs”, Working paper
    Park, J., 1995,“Variance of ADR Returns : Information Effect and Influence of Trading in the U.S. Market”, International Review of Economics and Finance, Vol. 4,PP. 105-114
    Patro, D. K., 2000, “Returns Behavior and Pricing of American Depositary Receipts”, International Financial Markets, Institutions & Money, Vol. 9, PP. 43-67
    Rosenthal, L., 1983, “An Empirical Test of the Efficiency of the ADR Market”, Journal of Banking & Finance, Vol. 7., PP. 17-29
    Advisor
  • Robin Chou(周冠男)
  • Chih-Chiang Hsu(徐之強)
  • Files
  • 89425016.pdf
  • approve in 2 years
    Date of Submission 2002-07-18

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