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題名 台灣發行之海外存託憑證價格行為反應之研究
The Price Reaction of Global Depositary Receipts(GDR)--The Empi- rical Study of Taiwanese Listing Companies
作者 蔡祖銘
Tsai, Tsu Ming
貢獻者 謝劍平
Shieh, C.P. Joseph
蔡祖銘
Tsai, Tsu Ming
關鍵詞 海外存託憑證
金融工具
事件研究怯
Global Depositary Receipt(GDR)
Financial Instrument
Event Study
日期 1994
1993
上傳時間 29-Apr-2016 15:15:55 (UTC+8)
摘要 財政部證管會為促進國內證券市場國際化及自由化並便利國內企業至國外
參考文獻 冉時平，(民國八十一年四月)，「股票轉個彎『放洋』！」，統領雜誌，第113～115頁。

朱炫璉，(民國八十二年六月)，「上市公司發行海外存託憑證之研究」，政治大學會計研究所未出版碩士論文。

李新仁，(民國八十年十一月)，「美國存憑證交易實務」，證券管理，第九卷，第十一期，第31～43頁。

何憲章，(民國八十二年八月)，國際財務管理──理論與實務，二版，台北，新陸書局。

周介華，(民國八十二年五月)，「海外存託憑證之制度與實證－－中鋼GDR知個案分析」，中央大學財務管理研究所未出版碩士論文。

林志成，(民國八十一年二月)，「規則S及規則144A對非美國人發行人所造成之影響」，證券管理，第十卷，第五期，第31頁～41頁。

林煜宗，(民國七十七年)，現代投資學──制度、理論與實證，修訂四版，台北，三民書局。

財政部證券管理委員會，(民國八十一年四月十五日)，「上市公司發行海外存託憑證審核要點。」

陳隆麒，(民國八十一年二月)，「現代財務管理──理論與應用」，初版，台北，華泰書局。

黃金澤，(民國八十一年六月)，「海外存託憑證及其財稅處理研討(上)」，會計研究月刊，第43～48頁。

黃金澤，(民國八十一年七月)，「海外存託憑證及其財稅處理研討(下)」，會計研究月刊，第129～134頁。

梁開天，(民國八十一年六月)，「跨越國際金融舞台的鵲橋」，商業周刊，第60～61頁。

謝惠娟，(民國八十二年一月)，「存託憑證替企業打開國際籌資大門」，理財顧問，第13～15頁。

顏月珠，(民國八十二年八月)，商用統計學，再修第八版，台北，三民書局。

蘇拾忠，(民國八十年十一月二十四日)，「海外籌錢新管道」，商業周刊，第209期，第56～57頁。

饒孟友，(民國七十九年四月)，「美國存託憑證(ADR)的現況與發展」，證券管理，第八卷，第四期，第13頁～22頁。

嚴維祥，(民國八十年十二月)，「新金融商品介紹－認股權證與存託憑證(下)」，會計研究月刊，第七十五期，第116頁～118頁。


Adhikari, A., Coffiman, Edward N. and Tondkar, Rusoul H., (1991), “Going Global – A Toronto to the Intricacies of Foreign Stock Listings,” CA Magazine, July 1991, pp.24-31.

Agmon, Tamir.(1972), “The Relations Among Equiry Markets: A Study of Share Price Co-Movements in the U.S., U.K., Germany and Japan,” Journal of Finance, September 1972, pp.839-855

Alexander, G.J., C.S. Eun, and S. Janakiramanan,(1988), International Listings and Stock Returns : Some Empirical Evidence,” Journal of Financial and Quantitative Analysis, 23, 1988, pp.135-151.

Biddle, G. C. and Saudagaran, S. M. (1991), “Foreign Stock Listings: Benefits, Costs, and the Accounting Policy Dilemma, “ Accounting Horizon, September 1991, pp.69-80.

Bowman, Robert G., (1983), “Understanding and Conducting Event Studies,”Journal of Business Finance & Accounting , 10, 4, 1983,pp. 561-584.

Brown, S. and J. Warner(1980), “Measuring Security Price Performance,” Journal of Financial Economics, September 1980, pp.205-258.

Chi, Chang-Hyun, (1988), “American Depositary Receipt(ADR) Issues by Japanese Corporations : The Information Value on the U.S. Market(United States), “Unpublished Ph.D. Dissertation, The George Washington University.

Dieckhaus, Mary Jo,(1992), “Should You List on a Foreign Exchange?” Chief Executive, March 1992,pp.45-47.

Grubel, Herbert G. (1968), “International Diversified Portofolios: Welfare Gains and Capital Flows,” American Economic Review, December 1968, pp. 1299-1314.

Fama, E. F. (1970), “Efficient Capital Markets : A Review of Theory and Empirical Work,” Journal of Finance, May 1970, pp. 383-417.

Fama,E.F. (1976), “Reply,” Journal of Finance, 31, pp.143-145.

Forster George,(1978), Financial Statement Analysis, Englewood Cliffs, N.J. Prentices Hall.

Howe, John S. and Kelm, Karthryn,(1987), “The Stock Price Impacts, of Overseas Listings” Financial Management, Autumn 1987, pp.51-56.

Hubbard, Daniel Julian,(1992), “An Accounting Study of American Depositary Receipts (Foreign Stock Holdings, Foreign Currency Exchange, Finance History),”Unpublished Ph.D. Dissertation, Virginia Polytechnic Institute and State University.

Jensen, Michael C. (1978), “Some Anomalous Evidence Regarding Market Efficiency,” Journal of Financial Economics, 6, pp. 95-101.

Lessard, Donald R.(1974), “World, Country and Industry Relationships in Equity Returns,”Journal of Finance, May, 1974, pp.379-.391.

Levy, Haim and Sarnat Marshall.(1970), “International Diversification of Investment Portofolios,” American Economic Review, September 1970, pp.668-675.

Mahajan, A. and E. Furtado, (1989), “Pricing Effects of ADR Listing,” Unpublished Manuscript, Texas A&M University.

Marsh, Paul,(1977), “Valuation of Underwriting Agreements for U.K. Rights Issues, “Journal of Finance, September 1977,pp.273-307.

Officer, D. T. and J. R. Hoffmeister,(1987),”ADRs” A Substitute for the Real Thing?” Journal of Portofolio Management, Winter 1987, pp.61-65.

Park, Jinwoo,(1990), “The Impact of Imformation of ADR Return and Variances:Some Implications,”Unpublished Ph.D.Dissertation, The University of Iowa.

Peterson, P.(1987), “Event Studies: A Review of Issues and Methodology, “ Florida State University.
Rosenthan, Leonard,(1983), “An Empirical Test of the Efficiency of the ADR Market,” Journal of Banking and Finance, Vol 7, pp.17-29.

Saudagaran, Shahrokh M., (1988), “An Empirical Study of Selected Factors Influencing the Decision to List on Foreign Stock Exchanges,” Journal of International Business Studies, Spring 1988, pp.101-127.

Solink, Bruno H.(1974), “Why Not Diversify International ?” Financial Analyst Journal, July-August 1974, pp.48-54.

Stapleton, R. C. and Subrahmanyam, M. G.(1977), “Market Imperfections, Capital Market Equilibrium and Corporate Finance,” Journal of Finance, May 1977, p317.

Stonehill, Arthur I. and Dullum, Kare B.(1982), Internationalizing the Cost of Capital. New York: John Wiley & Sons, 1982.

Subrahmanyam, Marti G.(1975), “On the Optimality of International Capital Market Integration,” Journal of Financial Economics, March 1975,pp.3-28.

Tucker, Alan L., Madura, Jeff and Chiang, Thomass C.(1991), International Financial Markets, St. Paul, Minnesota:West Publishing Company, 1991.
描述 碩士
國立政治大學
企業管理學系
81355048
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002003669
資料類型 thesis
dc.contributor.advisor 謝劍平zh_TW
dc.contributor.advisor Shieh, C.P. Josephen_US
dc.contributor.author (Authors) 蔡祖銘zh_TW
dc.contributor.author (Authors) Tsai, Tsu Mingen_US
dc.creator (作者) 蔡祖銘zh_TW
dc.creator (作者) Tsai, Tsu Mingen_US
dc.date (日期) 1994en_US
dc.date (日期) 1993en_US
dc.date.accessioned 29-Apr-2016 15:15:55 (UTC+8)-
dc.date.available 29-Apr-2016 15:15:55 (UTC+8)-
dc.date.issued (上傳時間) 29-Apr-2016 15:15:55 (UTC+8)-
dc.identifier (Other Identifiers) B2002003669en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/88287-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 企業管理學系zh_TW
dc.description (描述) 81355048zh_TW
dc.description.abstract (摘要) 財政部證管會為促進國內證券市場國際化及自由化並便利國內企業至國外zh_TW
dc.description.tableofcontents 圖目錄iii

表目錄 v

第1章 緒論.............................................................................................................1
1.1 研究動機與目的..........................................................................................1
1.2 研究範圍......................................................................................................3
1.3 研究限制......................................................................................................4
1.4 論文架構......................................................................................................4

第2章 文獻探討.....................................................................................................6
2.1 國際資本市場整合......................................................................................6
2.2 存託憑證之歷史回顧..................................................................................9
2.3 存託憑證發行動機之研究........................................................................13
2.4 存託憑證發行事件之資訊價值................................................................15
2.5 存託憑證交易市場之率性........................................................................17
2.6 影響存託憑證報酬及變異性之探討........................................................19

第3章 研究設計...................................................................................................25
3.1 理論架構與研究假說................................................................................25
3.2 資料來源與樣本........................................................................................28
3.3 研究變數的操作型定義............................................................................30
3.4 研究方法....................................................................................................34

第4章 實證結果分析...........................................................................................42
4.1 海外存託憑證折溢價之探討....................................................................42
4.2 匯率效果....................................................................................................50
4.3 事件研究法................................................................................................52

第5章 結論與建議...............................................................................................82
5.1 結論............................................................................................................82
5.2 建議............................................................................................................85

參考文獻.....................................................................................................................88
附錄 存託憑證發行實務與運作流程.....................................................................93		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002003669en_US
dc.subject (關鍵詞) 海外存託憑證zh_TW
dc.subject (關鍵詞) 金融工具zh_TW
dc.subject (關鍵詞) 事件研究怯zh_TW
dc.subject (關鍵詞) Global Depositary Receipt(GDR)en_US
dc.subject (關鍵詞) Financial Instrumenten_US
dc.subject (關鍵詞) Event Studyen_US
dc.title (題名) 台灣發行之海外存託憑證價格行為反應之研究zh_TW
dc.title (題名) The Price Reaction of Global Depositary Receipts(GDR)--The Empi- rical Study of Taiwanese Listing Companiesen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 冉時平，(民國八十一年四月)，「股票轉個彎『放洋』！」，統領雜誌，第113～115頁。

朱炫璉，(民國八十二年六月)，「上市公司發行海外存託憑證之研究」，政治大學會計研究所未出版碩士論文。

李新仁，(民國八十年十一月)，「美國存憑證交易實務」，證券管理，第九卷，第十一期，第31～43頁。

何憲章，(民國八十二年八月)，國際財務管理──理論與實務，二版，台北，新陸書局。

周介華，(民國八十二年五月)，「海外存託憑證之制度與實證－－中鋼GDR知個案分析」，中央大學財務管理研究所未出版碩士論文。

林志成，(民國八十一年二月)，「規則S及規則144A對非美國人發行人所造成之影響」，證券管理，第十卷，第五期，第31頁～41頁。

林煜宗，(民國七十七年)，現代投資學──制度、理論與實證，修訂四版，台北，三民書局。

財政部證券管理委員會，(民國八十一年四月十五日)，「上市公司發行海外存託憑證審核要點。」

陳隆麒，(民國八十一年二月)，「現代財務管理──理論與應用」，初版，台北，華泰書局。

黃金澤，(民國八十一年六月)，「海外存託憑證及其財稅處理研討(上)」，會計研究月刊，第43～48頁。

黃金澤，(民國八十一年七月)，「海外存託憑證及其財稅處理研討(下)」，會計研究月刊，第129～134頁。

梁開天，(民國八十一年六月)，「跨越國際金融舞台的鵲橋」，商業周刊，第60～61頁。

謝惠娟，(民國八十二年一月)，「存託憑證替企業打開國際籌資大門」，理財顧問，第13～15頁。

顏月珠，(民國八十二年八月)，商用統計學，再修第八版，台北，三民書局。

蘇拾忠，(民國八十年十一月二十四日)，「海外籌錢新管道」，商業周刊，第209期，第56～57頁。

饒孟友，(民國七十九年四月)，「美國存託憑證(ADR)的現況與發展」，證券管理，第八卷，第四期，第13頁～22頁。

嚴維祥，(民國八十年十二月)，「新金融商品介紹－認股權證與存託憑證(下)」，會計研究月刊，第七十五期，第116頁～118頁。


Adhikari, A., Coffiman, Edward N. and Tondkar, Rusoul H., (1991), “Going Global – A Toronto to the Intricacies of Foreign Stock Listings,” CA Magazine, July 1991, pp.24-31.

Agmon, Tamir.(1972), “The Relations Among Equiry Markets: A Study of Share Price Co-Movements in the U.S., U.K., Germany and Japan,” Journal of Finance, September 1972, pp.839-855

Alexander, G.J., C.S. Eun, and S. Janakiramanan,(1988), International Listings and Stock Returns : Some Empirical Evidence,” Journal of Financial and Quantitative Analysis, 23, 1988, pp.135-151.

Biddle, G. C. and Saudagaran, S. M. (1991), “Foreign Stock Listings: Benefits, Costs, and the Accounting Policy Dilemma, “ Accounting Horizon, September 1991, pp.69-80.

Bowman, Robert G., (1983), “Understanding and Conducting Event Studies,”Journal of Business Finance & Accounting , 10, 4, 1983,pp. 561-584.

Brown, S. and J. Warner(1980), “Measuring Security Price Performance,” Journal of Financial Economics, September 1980, pp.205-258.

Chi, Chang-Hyun, (1988), “American Depositary Receipt(ADR) Issues by Japanese Corporations : The Information Value on the U.S. Market(United States), “Unpublished Ph.D. Dissertation, The George Washington University.

Dieckhaus, Mary Jo,(1992), “Should You List on a Foreign Exchange?” Chief Executive, March 1992,pp.45-47.

Grubel, Herbert G. (1968), “International Diversified Portofolios: Welfare Gains and Capital Flows,” American Economic Review, December 1968, pp. 1299-1314.

Fama, E. F. (1970), “Efficient Capital Markets : A Review of Theory and Empirical Work,” Journal of Finance, May 1970, pp. 383-417.

Fama,E.F. (1976), “Reply,” Journal of Finance, 31, pp.143-145.

Forster George,(1978), Financial Statement Analysis, Englewood Cliffs, N.J. Prentices Hall.

Howe, John S. and Kelm, Karthryn,(1987), “The Stock Price Impacts, of Overseas Listings” Financial Management, Autumn 1987, pp.51-56.

Hubbard, Daniel Julian,(1992), “An Accounting Study of American Depositary Receipts (Foreign Stock Holdings, Foreign Currency Exchange, Finance History),”Unpublished Ph.D. Dissertation, Virginia Polytechnic Institute and State University.

Jensen, Michael C. (1978), “Some Anomalous Evidence Regarding Market Efficiency,” Journal of Financial Economics, 6, pp. 95-101.

Lessard, Donald R.(1974), “World, Country and Industry Relationships in Equity Returns,”Journal of Finance, May, 1974, pp.379-.391.

Levy, Haim and Sarnat Marshall.(1970), “International Diversification of Investment Portofolios,” American Economic Review, September 1970, pp.668-675.

Mahajan, A. and E. Furtado, (1989), “Pricing Effects of ADR Listing,” Unpublished Manuscript, Texas A&M University.

Marsh, Paul,(1977), “Valuation of Underwriting Agreements for U.K. Rights Issues, “Journal of Finance, September 1977,pp.273-307.

Officer, D. T. and J. R. Hoffmeister,(1987),”ADRs” A Substitute for the Real Thing?” Journal of Portofolio Management, Winter 1987, pp.61-65.

Park, Jinwoo,(1990), “The Impact of Imformation of ADR Return and Variances:Some Implications,”Unpublished Ph.D.Dissertation, The University of Iowa.

Peterson, P.(1987), “Event Studies: A Review of Issues and Methodology, “ Florida State University.
Rosenthan, Leonard,(1983), “An Empirical Test of the Efficiency of the ADR Market,” Journal of Banking and Finance, Vol 7, pp.17-29.

Saudagaran, Shahrokh M., (1988), “An Empirical Study of Selected Factors Influencing the Decision to List on Foreign Stock Exchanges,” Journal of International Business Studies, Spring 1988, pp.101-127.

Solink, Bruno H.(1974), “Why Not Diversify International ?” Financial Analyst Journal, July-August 1974, pp.48-54.

Stapleton, R. C. and Subrahmanyam, M. G.(1977), “Market Imperfections, Capital Market Equilibrium and Corporate Finance,” Journal of Finance, May 1977, p317.

Stonehill, Arthur I. and Dullum, Kare B.(1982), Internationalizing the Cost of Capital. New York: John Wiley & Sons, 1982.

Subrahmanyam, Marti G.(1975), “On the Optimality of International Capital Market Integration,” Journal of Financial Economics, March 1975,pp.3-28.

Tucker, Alan L., Madura, Jeff and Chiang, Thomass C.(1991), International Financial Markets, St. Paul, Minnesota:West Publishing Company, 1991.		zh_TW