The Price Divergence Between GDRs and It''s Underlying Shares: The Case of Taiwan

• Main Authors: Wen-hsin Tsai, 蔡文馨
• Other Authors: Tsun-siou Lee
• Format: Others
• Language: zh-TW
• Published: 2001
• Online Access: http://ndltd.ncl.edu.tw/handle/86089430723994120335

碩士 === 國立臺灣大學 === 財務金融學研究所 === 89 === This paper investigate the price divergence between GDRs and Taiwan underlying shares and found the variation in premiums can be explained by differences in liquidity risks, information cost and international diversification effect. Moreover, information cost and liquidity variables account for premium reversals. Further, in time-series analysis, although we are unable to draw a general conclusion from this thesis, unexpected premium shocks do play a role in some companies and larger unexpected risk results in greater volatility of GDR markets. Also, unexpected premium shocks show an asymmetric impact on GDR markets, where positive shock is larger than negative shock in most cases.