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題名 海外存託憑證與普通股之間價格傳遞關係:臺灣之實證研究
The Transmission Between GDRs and Its Underlying Stocks : The Case of Taiwan作者 李昭瑩
Li, Zhao-Ying貢獻者 沈中華
Shen, Zhong-Hua
李昭瑩
Li, Zhao-Ying關鍵詞 海外存託憑證
普通股
傳遞關係
GDR
transmission日期 1996 上傳時間 28-Apr-2016 11:52:04 (UTC+8) 摘要 本文之主要研究目的在探討不同市場間價格傳遞的關係，為了避免傳 統上利用不同國家股價指數進行研究，所可能產生的異質性問題，本文藉由表彰資產相同、而在不同地區進行交易的證券進行分析；而根據台灣資本市場的現況，我們利用普通股與海外存託憑證在國內、外的價格關係來進行實證研究。實證模型分別考慮價格或報酬間，與報酬波動間的傳遞效果，以及此二證券間之價差對該因果關係的影響。 參考文獻 一、中文部份\n周介華，“海外存託憑證之制度與實證-中銅GDR 之個案分析"中央大學財務管理研究所未出版之碩士論文，民國八十二年六月\n黃勇富，“存託憑證之研究"政治大學國際貿易研究所未出版之碩士論文，民國八十三年六月\n黃晁晨，“投資銀行承銷海外存託憑證之行銷實務研究"，台灣屯大學國際企業研究所未出版之碩士論文，民國八十三年六月\n張珍鳳，“美國總體經濟消息宣告對亞洲股市影響之研究研究戶所未出版之碩士論文，民國八十四年六月\n經濟部八十二年度研究發展報告，“發行海外存託憑證實務之探討民國八十二年\n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\n企業管理研究所未出版之碩士論文，民國八十四年六月\n蔡祖銘，“台灣發行之海外存託憑證價格行為反應之研究"政治大學企業管理\n研究所未出版之碩士論文，民國八十三年六月\n二、外文部份\nAggarwal, R. and YS. Park ` 1994 ,"The Relationship between Daily U.S. and Japanese Equity Prices : Evidence from Spot versus Futures Markets" , Journal of Banking and Finance ` Vol. l 8 ` 757-773\nK. and Y1. Cheung , 1993 ```International Spillovers and Volatility Asynunetrics : Evidence on the Hong Kong Equity Market" , Working Paper\nBecker, K.G., IE. Finnerty, and M. Gupta` 1990 ` "The Inteltemporal Relation between the U.S. and Japan Stock Markets", Journal of Finance ` Vol.XLV ` No.4 ` 1297-1306\nCampbell, I Y and 1. Hentschel ` 1992 ,"No News is Good News-An Asymmetric Model of Changing Volatility in Stock Retums" , Journal of Financial Economics ` Vol.3 ` 281 -318\nCheung, C.S. and c. y Kwan ` 1992 ,"ANote on the Transmission of Public Infomlation across International Stock Markets" , Journal of Banking and Finance ` Vol.16 ` 831-837\nEngle, R.F., T. Ito, and W.1. Lin ` 1990 ,"Meteor Showers or Heat Waves ? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market" , Econometrica ` Vol.58 ` No.3 ` 525-542\nEngle, R.F. and VK. Ng , 1993 ,"Measuring and Testing the Impact of News on Volatility" , Journal of Finance ` Vo1.XLVIII ` No.5 ` 1749-1778\nEun, C.S. and S. Shim ` 1989 ```International Transmission of Stock Market Ivlovements" , Journal of Financial and Quantitative Analysis ` Vo1.24 ` No.2 ` 241-256\nGatbade, K.D. and VV1. Silber ` 1979 ,"Dominant and Satellite Markets : A Study of Dually-Traded Securities`" The Review of Economics and StatisNcs ` VoL 61 ` 455-460\nGlosten,L. R. , R. Jagannathan, and D.E. Runkle ` 1993, "On the Relation between the Expected Value and the Volatility of the Nominal Excess Returns on Stocks" , Journal of Finance ` Vo1.XLVrn ` No.5 ` 1779-1801\nHamao, Y, RW Masulis, and V Ng , 1990 ,"Correlations in Price Changes and Volatility across Interantional Stock Markets", The Review of Financial Studies ` Vol.3 ` No.2 ` 281-307\nHarris, FR., T.H. Mclnish, G.L. Shoesmith, and P.A. Wood 1995 "Cointegration, Error Correction, and Price DiscovelY on Informationally Linked SecUlity Markets" , Journal of Financial and Quantitative Analysis ` Vo1.30 ` No.4 ` 563-578\nHasbrouck, J.` 1995 ,"One Security, Many Markets : Determining the ContTibutions to Price Discovery" , Journal of Finance ` Vo1.L ` No.4 ` 1175-1199\nHilliard, IE., 1979 ,"The Relationship between Equity Indices on World Exchanges`" Journal of Finance 34 ` 103-114\nJang, H. ` 1993, "International Transmission of Stock Market Price : The Case of Multiple-Listed Stocks" , Ph.D Dissertation of University of maryland Karolyi, G.A.` 1995 ,"A Iv1ultivariate GARCH Model of International\nTransmissions of Stock Returns and Volatility : The Case of the United States and Canada" , Journal of Bussiness and Economic Statistics ` Vol.13 ` No.1 ` 11 -25\nKing, M.A. and S. Wadhwani ` 1990 ```Transmission of Volatility between Stock Markets", The Review of Financial Studies ` Vol.3 ` No.1 ` 5-33\nLau, S. T. and J.D. Diltz ` 1994 ```Stock Retums and the Transfer of Information between the New York and Tokyo Stock Exchange" , Journal of International MoneyandFinance ` Vol.13 ` No.2` 211-222\nLin, A. and C.H. Shen ` 1996 ,"International Money Market Integration : An Application of GARCE Model With Consideration of Missing Data" ,中山管理科學期刊，1995\nLongin, F. and B. Solnik ` 1995 ,"Is the Con-elation in International Equity Returns constant : 1960-1990 ?" , Journal of International Money and Finance ` Vol.14 ` No.1 ` 3-26\nNewmark, D., P.A. Tinsley, and S. Tosini ` 1991 ```After-Hours Stock Prices and Post-Crash Hangovers" , Journal of Finance `Vol.XLVI` No.1` 159-178\nSolnik, B.` 1988 ```Intemational Investment`" Addison-Wesley Publishing Company, Inc.\nSu and Tsai ,"Volatility and Retw`n Spillovers among Asian Emerging lv1mkets" , 證券市場發展季利第8卷第1期，民國八十五年一月\nSusmel, P.A. and R.F. Engle ` 1994 ,"Hourly Volatility Spillovers betv1ieen Intemational Equity Markets", Journal of International Money and Finance ` Vol.13 ` 3-25\nWei, K.C., Y1. Liu, c.c. Yang, and O.S. Chaung , ]995 ,"Volatility and Price Changes Spillover Effects across the Developed and Emerging Markets" , Pacific -Basin Finance Journal ` Vo1.3 ` 113-136 描述 碩士
國立政治大學
財務管理研究所
83357002資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002002991 資料類型 thesis dc.contributor.advisor 沈中華 zh_TW dc.contributor.advisor Shen, Zhong-Hua en_US dc.contributor.author (Authors) 李昭瑩 zh_TW dc.contributor.author (Authors) Li, Zhao-Ying en_US dc.creator (作者) 李昭瑩 zh_TW dc.creator (作者) Li, Zhao-Ying en_US dc.date (日期) 1996 en_US dc.date.accessioned 28-Apr-2016 11:52:04 (UTC+8) - dc.date.available 28-Apr-2016 11:52:04 (UTC+8) - dc.date.issued (上傳時間) 28-Apr-2016 11:52:04 (UTC+8) - dc.identifier (Other Identifiers) B2002002991 en_US dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=98991 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理研究所 zh_TW dc.description (描述) 83357002 zh_TW dc.description.abstract (摘要) 本文之主要研究目的在探討不同市場間價格傳遞的關係，為了避免傳 統上利用不同國家股價指數進行研究，所可能產生的異質性問題，本文藉由表彰資產相同、而在不同地區進行交易的證券進行分析；而根據台灣資本市場的現況，我們利用普通股與海外存託憑證在國內、外的價格關係來進行實證研究。實證模型分別考慮價格或報酬間，與報酬波動間的傳遞效果，以及此二證券間之價差對該因果關係的影響。 zh_TW dc.description.tableofcontents 第一章緒論..........01\n第一節研究動機..........01\n第二節研究目的..........05\n第三節研究範圍..........05\n第四節研究架構..........06\n第二章海外存託憑證之介紹..........07\n第一節海外存託憑證之基本概念..........07\n一、定義..........07\n二、兌回..........08\n三、套利方式..........09\n第二節海外存託憑證之發行與交易流程..........09\n一、初級市場的發行..........09\n二、次級市場的交易..........10\n第三節台灣地區海外存託憑證發行概況..........14\n第三章文獻探討..........17\n第一節國際股價指數間的傳遞效率..........17\n一、報酬的傳遞關係..........17\n二、波動的外溢效果..........19\n三、波動外溢效果的不對稱性..........21\n第二節多國上市股票股價問的傳遞效率..........22\n第四章資料說明與實證模型..........24\n第一節資料說明..........24\n一、資料來源..........24\n二、資料處理..........24\n三、資料時點說明..........25\n第二節實證模型..........26\n一、共整合檢定..........26\n二、Granger因果關係檢定..........28\n三、誤差修正模型..........30\n四、Wald檢定..........31\n五、一般自我迴歸條件異質變異數模型..........32\n第五章實證結果分析..........38\n第一節共整合檢定結果..........42\n一、F檢定..........43\n1、差分式..........43\n2、誤差修正模型檢定結果..........44\n二、Wald檢定..........44\n第三節GARCH模型檢定結果..........45\n第六節結論與建議..........65\n第一節結論..........65\n第二節對市場參與者之涵意..........67\n第三節對後續研究之建議..........68\n參考文獻..........69\n一、中文部分..........69\n二、外文部分..........69 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002002991 en_US dc.subject (關鍵詞) 海外存託憑證 zh_TW dc.subject (關鍵詞) 普通股 zh_TW dc.subject (關鍵詞) 傳遞關係 zh_TW dc.subject (關鍵詞) GDR en_US dc.subject (關鍵詞) transmission en_US dc.title (題名) 海外存託憑證與普通股之間價格傳遞關係:臺灣之實證研究 zh_TW dc.title (題名) The Transmission Between GDRs and Its Underlying Stocks : The Case of Taiwan en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 一、中文部份\n周介華，“海外存託憑證之制度與實證-中銅GDR 之個案分析"中央大學財務管理研究所未出版之碩士論文，民國八十二年六月\n黃勇富，“存託憑證之研究"政治大學國際貿易研究所未出版之碩士論文，民國八十三年六月\n黃晁晨，“投資銀行承銷海外存託憑證之行銷實務研究"，台灣屯大學國際企業研究所未出版之碩士論文，民國八十三年六月\n張珍鳳，“美國總體經濟消息宣告對亞洲股市影響之研究研究戶所未出版之碩士論文，民國八十四年六月\n經濟部八十二年度研究發展報告，“發行海外存託憑證實務之探討民國八十二年\n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\n企業管理研究所未出版之碩士論文，民國八十四年六月\n蔡祖銘，“台灣發行之海外存託憑證價格行為反應之研究"政治大學企業管理\n研究所未出版之碩士論文，民國八十三年六月\n二、外文部份\nAggarwal, R. and YS. Park ` 1994 ,"The Relationship between Daily U.S. and Japanese Equity Prices : Evidence from Spot versus Futures Markets" , Journal of Banking and Finance ` Vol. l 8 ` 757-773\nK. and Y1. Cheung , 1993 ```International Spillovers and Volatility Asynunetrics : Evidence on the Hong Kong Equity Market" , Working Paper\nBecker, K.G., IE. Finnerty, and M. Gupta` 1990 ` "The Inteltemporal Relation between the U.S. and Japan Stock Markets", Journal of Finance ` Vol.XLV ` No.4 ` 1297-1306\nCampbell, I Y and 1. Hentschel ` 1992 ,"No News is Good News-An Asymmetric Model of Changing Volatility in Stock Retums" , Journal of Financial Economics ` Vol.3 ` 281 -318\nCheung, C.S. and c. y Kwan ` 1992 ,"ANote on the Transmission of Public Infomlation across International Stock Markets" , Journal of Banking and Finance ` Vol.16 ` 831-837\nEngle, R.F., T. Ito, and W.1. Lin ` 1990 ,"Meteor Showers or Heat Waves ? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market" , Econometrica ` Vol.58 ` No.3 ` 525-542\nEngle, R.F. and VK. Ng , 1993 ,"Measuring and Testing the Impact of News on Volatility" , Journal of Finance ` Vo1.XLVIII ` No.5 ` 1749-1778\nEun, C.S. and S. Shim ` 1989 ```International Transmission of Stock Market Ivlovements" , Journal of Financial and Quantitative Analysis ` Vo1.24 ` No.2 ` 241-256\nGatbade, K.D. and VV1. Silber ` 1979 ,"Dominant and Satellite Markets : A Study of Dually-Traded Securities`" The Review of Economics and StatisNcs ` VoL 61 ` 455-460\nGlosten,L. R. , R. Jagannathan, and D.E. Runkle ` 1993, "On the Relation between the Expected Value and the Volatility of the Nominal Excess Returns on Stocks" , Journal of Finance ` Vo1.XLVrn ` No.5 ` 1779-1801\nHamao, Y, RW Masulis, and V Ng , 1990 ,"Correlations in Price Changes and Volatility across Interantional Stock Markets", The Review of Financial Studies ` Vol.3 ` No.2 ` 281-307\nHarris, FR., T.H. Mclnish, G.L. Shoesmith, and P.A. Wood 1995 "Cointegration, Error Correction, and Price DiscovelY on Informationally Linked SecUlity Markets" , Journal of Financial and Quantitative Analysis ` Vo1.30 ` No.4 ` 563-578\nHasbrouck, J.` 1995 ,"One Security, Many Markets : Determining the ContTibutions to Price Discovery" , Journal of Finance ` Vo1.L ` No.4 ` 1175-1199\nHilliard, IE., 1979 ,"The Relationship between Equity Indices on World Exchanges`" Journal of Finance 34 ` 103-114\nJang, H. ` 1993, "International Transmission of Stock Market Price : The Case of Multiple-Listed Stocks" , Ph.D Dissertation of University of maryland Karolyi, G.A.` 1995 ,"A Iv1ultivariate GARCH Model of International\nTransmissions of Stock Returns and Volatility : The Case of the United States and Canada" , Journal of Bussiness and Economic Statistics ` Vol.13 ` No.1 ` 11 -25\nKing, M.A. and S. Wadhwani ` 1990 ```Transmission of Volatility between Stock Markets", The Review of Financial Studies ` Vol.3 ` No.1 ` 5-33\nLau, S. T. and J.D. Diltz ` 1994 ```Stock Retums and the Transfer of Information between the New York and Tokyo Stock Exchange" , Journal of International MoneyandFinance ` Vol.13 ` No.2` 211-222\nLin, A. and C.H. Shen ` 1996 ,"International Money Market Integration : An Application of GARCE Model With Consideration of Missing Data" ,中山管理科學期刊，1995\nLongin, F. and B. Solnik ` 1995 ,"Is the Con-elation in International Equity Returns constant : 1960-1990 ?" , Journal of International Money and Finance ` Vol.14 ` No.1 ` 3-26\nNewmark, D., P.A. Tinsley, and S. Tosini ` 1991 ```After-Hours Stock Prices and Post-Crash Hangovers" , Journal of Finance `Vol.XLVI` No.1` 159-178\nSolnik, B.` 1988 ```Intemational Investment`" Addison-Wesley Publishing Company, Inc.\nSu and Tsai ,"Volatility and Retw`n Spillovers among Asian Emerging lv1mkets" , 證券市場發展季利第8卷第1期，民國八十五年一月\nSusmel, P.A. and R.F. Engle ` 1994 ,"Hourly Volatility Spillovers betv1ieen Intemational Equity Markets", Journal of International Money and Finance ` Vol.13 ` 3-25\nWei, K.C., Y1. Liu, c.c. Yang, and O.S. Chaung , ]995 ,"Volatility and Price Changes Spillover Effects across the Developed and Emerging Markets" , Pacific -Basin Finance Journal ` Vo1.3 ` 113-136 zh_TW
