ADR及其價格因素間資訊傳遞效率性﹣台灣之實證研究

碩士 === 國立臺北大學 === 企業管理學系 === 89 === ADRs were invented in 1927. They are an attractive alternative to investing overseas directly, since by being able to purchase foreign securities like domestic American securities. Because ADRs and their underlying securities are traded in different markets, there...

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Main Authors: HUANG CHIEN HSUN, 黃建勳
Other Authors: 古永嘉
Format: Others
Language:zh-TW
Published: 2001
Online Access:http://ndltd.ncl.edu.tw/handle/35920192898785514129
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spelling ndltd-TW-089NTPU01210552016-07-04T04:17:36Z http://ndltd.ncl.edu.tw/handle/35920192898785514129 ADR及其價格因素間資訊傳遞效率性﹣台灣之實證研究 HUANG CHIEN HSUN 黃建勳 碩士 國立臺北大學 企業管理學系 89 ADRs were invented in 1927. They are an attractive alternative to investing overseas directly, since by being able to purchase foreign securities like domestic American securities. Because ADRs and their underlying securities are traded in different markets, there exist price lag among them if those two markets are segmented. This paper has two major purposes: (1) informational efficiency between ADRs and their underlying securities (2) the relationship between ADRs and their pricing factors. The samples selected in this paper are the enterprises of Taiwan that have issued ADRs before December 31 2000, and there are 5 enterprises totally now. The empirical methods are (1) Stationarity test: to test if the serials stationary (2) Decomposition of forecast error variance: to tell which variables endogenous or exogenous (3) Impulse response functions: to estimate the informational efficiency of price transmission (4) Regression tests: to forecast how ADR price factors affect the return of ADRs while those factors change. The major empirical results are as follows: (1)The daily returns of ADRs are influenced by their underlying securities, but the daily returns of ADRs can’t influence that of their underlying securities. (2)The price informational transmission between ADRs and their underlying securities is efficient. (3)The US stock market significantly influences the daily returns of ADRs. (4)The exchange can’t significantly explain the daily returns of ADRs. 古永嘉 2001 學位論文 ; thesis 77 zh-TW
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description 碩士 === 國立臺北大學 === 企業管理學系 === 89 === ADRs were invented in 1927. They are an attractive alternative to investing overseas directly, since by being able to purchase foreign securities like domestic American securities. Because ADRs and their underlying securities are traded in different markets, there exist price lag among them if those two markets are segmented. This paper has two major purposes: (1) informational efficiency between ADRs and their underlying securities (2) the relationship between ADRs and their pricing factors. The samples selected in this paper are the enterprises of Taiwan that have issued ADRs before December 31 2000, and there are 5 enterprises totally now. The empirical methods are (1) Stationarity test: to test if the serials stationary (2) Decomposition of forecast error variance: to tell which variables endogenous or exogenous (3) Impulse response functions: to estimate the informational efficiency of price transmission (4) Regression tests: to forecast how ADR price factors affect the return of ADRs while those factors change. The major empirical results are as follows: (1)The daily returns of ADRs are influenced by their underlying securities, but the daily returns of ADRs can’t influence that of their underlying securities. (2)The price informational transmission between ADRs and their underlying securities is efficient. (3)The US stock market significantly influences the daily returns of ADRs. (4)The exchange can’t significantly explain the daily returns of ADRs.
author2 古永嘉
author_facet 古永嘉
HUANG CHIEN HSUN
黃建勳
author HUANG CHIEN HSUN
黃建勳
spellingShingle HUANG CHIEN HSUN
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
author_sort HUANG CHIEN HSUN
title ADR及其價格因素間資訊傳遞效率性﹣台灣之實證研究
title_short ADR及其價格因素間資訊傳遞效率性﹣台灣之實證研究
title_full ADR及其價格因素間資訊傳遞效率性﹣台灣之實證研究
title_fullStr ADR及其價格因素間資訊傳遞效率性﹣台灣之實證研究
title_full_unstemmed ADR及其價格因素間資訊傳遞效率性﹣台灣之實證研究
title_sort adr及其價格因素間資訊傳遞效率性﹣台灣之實證研究
publishDate 2001
url http://ndltd.ncl.edu.tw/handle/35920192898785514129
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