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題名 TDRs折溢價情形於2020金融危機爆發後之探討
The Evolution of TDRs Premium over the 2020 Financial Crisis
作者 蔡宇宸
Tsai, Yu-Chen
貢獻者 鍾令德
Douglas Chung
蔡宇宸
Tsai, Yu-Chen
關鍵詞 台灣存託憑證
折溢價
Taiwan Depository Receipts
Premium
日期 2021
上傳時間 4-Aug-2021 14:26:33 (UTC+8)
摘要 台灣存託憑證(TDRs)於市場交易的時間已逾三十年，但近十年時間中因為市場的萎縮，導致相關學者投入之研究甚少，隨著2020年台股市場由新冠疫情帶來的金融恐慌中強勁復甦，TDRs市場再一次出現於台灣投資人的眼中。本文以2020年仍在台灣股市交易之13檔TDRs為研究對象，探討2020年TDRs與原股之間的折溢價演變。研究分為兩階段進行:第一階段，透過ADF單根檢定、VAR模型、檢驗共整合現象和Granger因果關係等實證分析方式，進行兩地股價於2011年至2019年之長期關係探討。第二階段，先以鄒檢定檢視TDRs與原股間之股價關係是否於2020年有顯著的結構性改變，如有，則進一步探討對兩者之間折溢價有顯著影響的參數。實證結果發現:13檔TDRs與原股間皆具有長期的穩定關係，在Granger因果關係檢定中，有6檔具有回饋因果之關係、另外6檔TDR股價則具有顯著的領先效果。隨後，透過鄒檢定之結果發現13檔TDRs與原股間之股價關係於2020年存在顯著的結構性改變，因此進一步以多元迴歸模型探討影響兩者之間折溢價的因子，最後得到TDR每日報酬率、原股每日報酬率、周轉率、一般投資戶當天成交比重、融資使用率、融券使用率以及PTT討論版上有關TDR文章的推文數共計7項參數對於TDR與原股間之折溢價變化具有顯著的解釋力。其中，近年來一般的投資戶透過社群網路之串聯，對於股市投資之影響也越來越重要，本文亦由相關參數對於TDR之折溢價具有較大的影響得到相關實證結果。
Taiwan Depository Receipts (TDRs) have over 30 years of history in the financial market. However, there has been little research interest in this area due to the shrinking TDR market over the last decade. As the Taiwan stock market strongly rebounded from the 2020 financial crisis, the TDRs market once again catches investors’ eyes. In this paper, we study the premium dynamics of 13 TDRs which are still trading in the Taiwan stock market in 2020. First, we use the ADF test and VAR models to explore cointegration relationship and Granger causality between the TDRs and their underlying assets from 2011 to 2019. Then, we use the Chow test to test whether these cointergration relationships experience structural breaks in 2020. Finally, we explore the parameters that have significant impacts on the TDRs’ premium.
Our empirical results reveal that: All TDRs in the testing sample are cointergrated with their underlying securities before 2020. In the Granger causality test, 6 TDRs have causal relationships while the other 6 TDRs have significant lead-lag effects. Subsequently, using the Chow test, we find significant structural breaks between the TDR prices and their underlying securities among 13 TDRs in 2020. Lastly, our regression analysis reveals that the TDR daily return, the underlying stock daily return, retail trading, margin trading, short selling, and the article count on the PTT forum are significant in explaining the TDRs’ premium. Overall, we find support for the view that retail investors exert growing influences on the stock market through their connections through social networks.
參考文獻 國內文獻
1. 自由財經，股價2千元股后將下市恒大健-DR神話變笑話，上網日期110年4月28日，檢自: https://ec.ltn.com.tw/article/breakingnews/2755334。
2. 沈中華、邱志豪，(1999)。交易成本，GDR與股價的套利:門檻共整合應用。中國財務學刊，第7卷第2期，89-112。
3. 吳禮祥(2000)。美國存託憑證的套利與價差交易。國立台灣大學財務金融研究所碩士論文。
4. 周冠男、徐之強、吳昭勳，(2004)。美國存託憑證報酬與風險傳遞之研究。中山管理評論，第十二卷，37-62。
5. 張韡華(2012)。TDRs與原上市地股票價格關係之探討。國立政治大學金融研究所碩士論文。
6. 黃營杉、李銘章，(2004)。台灣母公司股票報酬與其ADR報酬間資訊傳遞之研究。東吳經濟商學學報，第四十八期，1-32。
7. 黃仲豪，(2010)。臺灣存託憑證發展現況與近期相關監理規範。證券暨期貨月刊，第二十八卷，第四期，18-25。
8. 鄭婉秀、蘇欣玫、徐銥琦，(2008)。美國存託憑證與其標的股之價量資訊動態傳遞研究，管理研究學報，第八期，55-79。
9. 財經新報，分析 GameStop 網路股民投資行為，千禧投資族偏好快進快出、個股炒作、重視 ESG，上網日期110年5月28日，檢自: https://finance.technews.tw/2021/04/18/analyze-the-investment-behavior-of-gamestop-internet-investors/。
10. 臺灣證券交易所上市二部，2013。《外國企業來台上市:發行台灣存託憑證》。臺灣:臺灣證券交易所。


國外文獻
1. Alexander, G.J., Eun, C.S., & Janakiramanan, S., (1988). International Listings and Stock Returns: Some Empirical Evidence, Journal of Financial and Quantitative Analysis, 23, 135-151.
2. Akaike, H., (1981), This Week`s Citation Classic, Current Contents Engineering, Technology, and Applied Sciences, Vol.12, 42. 
3. Bi-Huei Tsai, Shu-Hsing Li, (2004), The Effect of Foreign Ownership Restrictions on the Price Dynamics of Depositary Receipts-Evidence from the Taiwan and Hong Kong Markets, Journal of Accounting, Auditing & Finance, Vol.19, 301-329.
4. Bi-Huei Tsai, Shu-Hsing Li, Jenny Teruya, (2006), Foreign Ownership Restrictions, Depositary Receipt Supply, and Investor Sentiment on Taiwanese Depositary Receipt Premiums, Journal of Accounting, Auditing & Finance, Vol.21, 169-189.
5. Bryan Alex, (2007), Do ADRs Violate the Law of One Price? Deviations from Price Parity in the Absence of Fundamental Risk, working Paper.
6. Christopher A. Sims, (1980), Macroeconomics and Reality, Econometrica, Vol. 48, No. 1, 1-48.
7. Chow, Gregory C., (1960), Tests of Equality Between Sets of Coefficients in Two Linear Regressions, Econometrica, Vol.28, 591–605.
8. Darius P. Miller, (1999), The market reaction to international cross-listings: evidence from Depositary Receipts, Journal of Financial Economics, Vol.51, 103-123.
9. Dickey, D., & Fuller, W. (1979), Distribution of the Estimators for Autoregressive Time Series with a Unit Root, Journal of the American Statistical Association, 74, 427-431.
10. Durbin, J., Watson, G. S., (1950), Testing for Serial Correlation in Least Squares Regression I, Biometrika, Vol.37, 409–428.
11. Durbin, J., Watson, G. S., (1951), Testing for Serial Correlation in Least Squares Regression II, Biometrika, Vol.38, 159–179.
12. Engle, R. E., & Granger, C. W. J., (1987). Cointegration and Error-Correction: Representation, Estimation, and Testing, Econometrica, 55, 251-276.
13. Engle, Robert F., Lee, Gary G. J., (1993), A Permanent and Transitory Component Model of Stock Return Volatility, United States: San Diego.
14. Errunza, V. R., & Miller, D. P., (2000). Market Segmentation and the Cost of Capital in International Equity Markets, Journal of Financial and Quantitative Analysis, Vol.35, 577-600.
15. Foerster, S. R., & Karolyi, G. A., (1999). The Effects of Market Segmentation and Investor Recognition on Asset Price: Evidence from Foreign Stocks Listing in the United States, Journal of Finance, Vol.54, 981-1013.
16. Granger, C. W. J., (1969), Investigating Causal Relations by Econometric Models and Cross-spectral Methods, Econometrica, Vol.37, 424–438.
17. Granger, C. W. J., P., Newbold, (1974), Spurious regressions in econometrics, Journal of Econometrics, Vol.2, Issue2, 111-120.
18. Kim, M., A. C. Szakmary and I. Mathur, (2000), Price Transmission Dynamics between ADRs and their Underlying Foreign Securities, Journal of Banking & Finance, Vol.24, 1359-1382.
19. Kalman, R. E., (1960), A New Approach to Linear Filtering and Prediction Problems, Journal of Basic Engineering, Vol.82, 35–45.
20. Mathieu Stigler, Ajay Shah and Ila Patnaik, (2010), Understanding the ADR premium under market segmentation, National Institute of Public Finance and Policy, 1-21.
21. Nearly 60% of Young Investors Are Collaborating Thanks to Technology, Often Turning to Social Media for Advice, Retrieved June 01 2021, from: https://www.magnifymoney.com.
22. Robert C. Merton, (1987), A Simple Model of Capital Market Equilibrium with Incomplete Information, Journal of Finance, Vol.42, Issue 3, 483-510.
23. Sanjay K. Hansda and Partha Ray, (2002), BSE and Nasdaq: Globalisation, Information Technology and Stock Prices, Economic and Political Weekly, Vol. 37, No. 5, Money, Banking and Finance, 459-468.
24. Said, S. E., Dickey, D. A., (1984), Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order, Biometrika, Vol.71, 599–607.
25. Shu-Ing Liu, Li-Chuan Huang, (2011), Price Behavior of the Taiwan Depositary Receipt, International Business and Management Vol. 3, No. 1, 6-16.
26. William H. Greene, (2003), Econometric Analysis, United States: Pearson.
27. Wing H Chan, John M. Maheu, (2002), Conditional Jump Dynamics in Stock Market Returns, Journal of Business and Economic Statistics, Vol.20, 377-89.
描述 碩士
國立政治大學
國際經營與貿易學系
108351022
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0108351022
資料類型 thesis
dc.contributor.advisor 鍾令德zh_TW
dc.contributor.advisor Douglas Chungen_US
dc.contributor.author (Authors) 蔡宇宸zh_TW
dc.contributor.author (Authors) Tsai, Yu-Chenen_US
dc.creator (作者) 蔡宇宸zh_TW
dc.creator (作者) Tsai, Yu-Chenen_US
dc.date (日期) 2021en_US
dc.date.accessioned 4-Aug-2021 14:26:33 (UTC+8)-
dc.date.available 4-Aug-2021 14:26:33 (UTC+8)-
dc.date.issued (上傳時間) 4-Aug-2021 14:26:33 (UTC+8)-
dc.identifier (Other Identifiers) G0108351022en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/136277-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description (描述) 108351022zh_TW
dc.description.abstract (摘要) 台灣存託憑證(TDRs)於市場交易的時間已逾三十年，但近十年時間中因為市場的萎縮，導致相關學者投入之研究甚少，隨著2020年台股市場由新冠疫情帶來的金融恐慌中強勁復甦，TDRs市場再一次出現於台灣投資人的眼中。本文以2020年仍在台灣股市交易之13檔TDRs為研究對象，探討2020年TDRs與原股之間的折溢價演變。研究分為兩階段進行:第一階段，透過ADF單根檢定、VAR模型、檢驗共整合現象和Granger因果關係等實證分析方式，進行兩地股價於2011年至2019年之長期關係探討。第二階段，先以鄒檢定檢視TDRs與原股間之股價關係是否於2020年有顯著的結構性改變，如有，則進一步探討對兩者之間折溢價有顯著影響的參數。實證結果發現:13檔TDRs與原股間皆具有長期的穩定關係，在Granger因果關係檢定中，有6檔具有回饋因果之關係、另外6檔TDR股價則具有顯著的領先效果。隨後，透過鄒檢定之結果發現13檔TDRs與原股間之股價關係於2020年存在顯著的結構性改變，因此進一步以多元迴歸模型探討影響兩者之間折溢價的因子，最後得到TDR每日報酬率、原股每日報酬率、周轉率、一般投資戶當天成交比重、融資使用率、融券使用率以及PTT討論版上有關TDR文章的推文數共計7項參數對於TDR與原股間之折溢價變化具有顯著的解釋力。其中，近年來一般的投資戶透過社群網路之串聯，對於股市投資之影響也越來越重要，本文亦由相關參數對於TDR之折溢價具有較大的影響得到相關實證結果。zh_TW
dc.description.abstract (摘要) Taiwan Depository Receipts (TDRs) have over 30 years of history in the financial market. However, there has been little research interest in this area due to the shrinking TDR market over the last decade. As the Taiwan stock market strongly rebounded from the 2020 financial crisis, the TDRs market once again catches investors’ eyes. In this paper, we study the premium dynamics of 13 TDRs which are still trading in the Taiwan stock market in 2020. First, we use the ADF test and VAR models to explore cointegration relationship and Granger causality between the TDRs and their underlying assets from 2011 to 2019. Then, we use the Chow test to test whether these cointergration relationships experience structural breaks in 2020. Finally, we explore the parameters that have significant impacts on the TDRs’ premium.
Our empirical results reveal that: All TDRs in the testing sample are cointergrated with their underlying securities before 2020. In the Granger causality test, 6 TDRs have causal relationships while the other 6 TDRs have significant lead-lag effects. Subsequently, using the Chow test, we find significant structural breaks between the TDR prices and their underlying securities among 13 TDRs in 2020. Lastly, our regression analysis reveals that the TDR daily return, the underlying stock daily return, retail trading, margin trading, short selling, and the article count on the PTT forum are significant in explaining the TDRs’ premium. Overall, we find support for the view that retail investors exert growing influences on the stock market through their connections through social networks.		en_US
dc.description.tableofcontents 第一章 緒論 7
第一節 研究背景 7
第二節 研究動機 7
第三節 研究目的與架構 11
第四節 研究流程圖 12

第二章 文獻探討 13
第一節 TDR相關說明 13
第二節 國內外相關文獻 16

第三章 研究方法 22
第一節 單根檢定 22
第二節 共整合檢定 23
第三節 向量自我迴歸 24
第四節 Granger因果關係 25
第五節 鄒檢定 26
第六節 迴歸分析 27

第四章 實證結果與分析 29
第一節 資料樣本選擇與基本統計分析 29
第二節 ADF單根檢定實證結果 33
第三節 共整合檢定實證結果 34
第四節 Granger因果關係實證結果 36
第五節 鄒檢定實證結果 38
第六節 多元迴歸分析實證結果 39
第七節 實證結果分析小結與研究建議 48

第五章 結論 50

參考文獻 52		zh_TW
dc.format.extent 3249877 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0108351022en_US
dc.subject (關鍵詞) 台灣存託憑證zh_TW
dc.subject (關鍵詞) 折溢價zh_TW
dc.subject (關鍵詞) Taiwan Depository Receiptsen_US
dc.subject (關鍵詞) Premiumen_US
dc.title (題名) TDRs折溢價情形於2020金融危機爆發後之探討zh_TW
dc.title (題名) The Evolution of TDRs Premium over the 2020 Financial Crisisen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 國內文獻
1. 自由財經，股價2千元股后將下市恒大健-DR神話變笑話，上網日期110年4月28日，檢自: https://ec.ltn.com.tw/article/breakingnews/2755334。
2. 沈中華、邱志豪，(1999)。交易成本，GDR與股價的套利:門檻共整合應用。中國財務學刊，第7卷第2期，89-112。
3. 吳禮祥(2000)。美國存託憑證的套利與價差交易。國立台灣大學財務金融研究所碩士論文。
4. 周冠男、徐之強、吳昭勳，(2004)。美國存託憑證報酬與風險傳遞之研究。中山管理評論，第十二卷，37-62。
5. 張韡華(2012)。TDRs與原上市地股票價格關係之探討。國立政治大學金融研究所碩士論文。
6. 黃營杉、李銘章，(2004)。台灣母公司股票報酬與其ADR報酬間資訊傳遞之研究。東吳經濟商學學報，第四十八期，1-32。
7. 黃仲豪，(2010)。臺灣存託憑證發展現況與近期相關監理規範。證券暨期貨月刊，第二十八卷，第四期，18-25。
8. 鄭婉秀、蘇欣玫、徐銥琦，(2008)。美國存託憑證與其標的股之價量資訊動態傳遞研究，管理研究學報，第八期，55-79。
9. 財經新報，分析 GameStop 網路股民投資行為，千禧投資族偏好快進快出、個股炒作、重視 ESG，上網日期110年5月28日，檢自: https://finance.technews.tw/2021/04/18/analyze-the-investment-behavior-of-gamestop-internet-investors/。
10. 臺灣證券交易所上市二部，2013。《外國企業來台上市:發行台灣存託憑證》。臺灣:臺灣證券交易所。


國外文獻
1. Alexander, G.J., Eun, C.S., & Janakiramanan, S., (1988). International Listings and Stock Returns: Some Empirical Evidence, Journal of Financial and Quantitative Analysis, 23, 135-151.
2. Akaike, H., (1981), This Week`s Citation Classic, Current Contents Engineering, Technology, and Applied Sciences, Vol.12, 42. 
3. Bi-Huei Tsai, Shu-Hsing Li, (2004), The Effect of Foreign Ownership Restrictions on the Price Dynamics of Depositary Receipts-Evidence from the Taiwan and Hong Kong Markets, Journal of Accounting, Auditing & Finance, Vol.19, 301-329.
4. Bi-Huei Tsai, Shu-Hsing Li, Jenny Teruya, (2006), Foreign Ownership Restrictions, Depositary Receipt Supply, and Investor Sentiment on Taiwanese Depositary Receipt Premiums, Journal of Accounting, Auditing & Finance, Vol.21, 169-189.
5. Bryan Alex, (2007), Do ADRs Violate the Law of One Price? Deviations from Price Parity in the Absence of Fundamental Risk, working Paper.
6. Christopher A. Sims, (1980), Macroeconomics and Reality, Econometrica, Vol. 48, No. 1, 1-48.
7. Chow, Gregory C., (1960), Tests of Equality Between Sets of Coefficients in Two Linear Regressions, Econometrica, Vol.28, 591–605.
8. Darius P. Miller, (1999), The market reaction to international cross-listings: evidence from Depositary Receipts, Journal of Financial Economics, Vol.51, 103-123.
9. Dickey, D., & Fuller, W. (1979), Distribution of the Estimators for Autoregressive Time Series with a Unit Root, Journal of the American Statistical Association, 74, 427-431.
10. Durbin, J., Watson, G. S., (1950), Testing for Serial Correlation in Least Squares Regression I, Biometrika, Vol.37, 409–428.
11. Durbin, J., Watson, G. S., (1951), Testing for Serial Correlation in Least Squares Regression II, Biometrika, Vol.38, 159–179.
12. Engle, R. E., & Granger, C. W. J., (1987). Cointegration and Error-Correction: Representation, Estimation, and Testing, Econometrica, 55, 251-276.
13. Engle, Robert F., Lee, Gary G. J., (1993), A Permanent and Transitory Component Model of Stock Return Volatility, United States: San Diego.
14. Errunza, V. R., & Miller, D. P., (2000). Market Segmentation and the Cost of Capital in International Equity Markets, Journal of Financial and Quantitative Analysis, Vol.35, 577-600.
15. Foerster, S. R., & Karolyi, G. A., (1999). The Effects of Market Segmentation and Investor Recognition on Asset Price: Evidence from Foreign Stocks Listing in the United States, Journal of Finance, Vol.54, 981-1013.
16. Granger, C. W. J., (1969), Investigating Causal Relations by Econometric Models and Cross-spectral Methods, Econometrica, Vol.37, 424–438.
17. Granger, C. W. J., P., Newbold, (1974), Spurious regressions in econometrics, Journal of Econometrics, Vol.2, Issue2, 111-120.
18. Kim, M., A. C. Szakmary and I. Mathur, (2000), Price Transmission Dynamics between ADRs and their Underlying Foreign Securities, Journal of Banking & Finance, Vol.24, 1359-1382.
19. Kalman, R. E., (1960), A New Approach to Linear Filtering and Prediction Problems, Journal of Basic Engineering, Vol.82, 35–45.
20. Mathieu Stigler, Ajay Shah and Ila Patnaik, (2010), Understanding the ADR premium under market segmentation, National Institute of Public Finance and Policy, 1-21.
21. Nearly 60% of Young Investors Are Collaborating Thanks to Technology, Often Turning to Social Media for Advice, Retrieved June 01 2021, from: https://www.magnifymoney.com.
22. Robert C. Merton, (1987), A Simple Model of Capital Market Equilibrium with Incomplete Information, Journal of Finance, Vol.42, Issue 3, 483-510.
23. Sanjay K. Hansda and Partha Ray, (2002), BSE and Nasdaq: Globalisation, Information Technology and Stock Prices, Economic and Political Weekly, Vol. 37, No. 5, Money, Banking and Finance, 459-468.
24. Said, S. E., Dickey, D. A., (1984), Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order, Biometrika, Vol.71, 599–607.
25. Shu-Ing Liu, Li-Chuan Huang, (2011), Price Behavior of the Taiwan Depositary Receipt, International Business and Management Vol. 3, No. 1, 6-16.
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dc.identifier.doi (DOI) 10.6814/NCCU202100812en_US