| Summary: | 碩士 === 中原大學 === 企業管理研究所 === 90 === The purpose of this paper is to analyze the influences of the spillover effects for returns and the volatility between ADR and common stock of 15 firms in Mainland China that issued ADR, so as to know the interaction between Chinese capital market and international capital market. We consider the variables such as price, return, stock index, interest rate, and exchange rate to examine the interactions of these spillover effects by using ADF unit-root test, Granger Causality test, Johansen Cointegration test, Error Correct Model test, and GARCH（1,1）-MA（1）。
By using Granger Causality test, we discover that causality relations of ADR price, common stock price, stock index, and exchange rate do exist. Interest rate has no significant causality relations with respect to common stock price and ADR price. By using Johansen cointegration test, most of companies exist at least one cointegration vector of ADR price, common stock price, stock index, interest rate, and exchange rate. It is mean that these variables have a long-term cointegration relation. As result by using ECM test, ADR price moves to long-term equilibrium, and would be impacted by lagged price of ADR and common stock over a long period of time. Inversely, the common stock price is not affected significantly by the change of ADR price. Regarding the spillover effects of returns and the volatility, the results of GARCH（1,1）-MA（1）, show that Hong Kong’s stocks, have significant two-way or one-way influences in spillover effects of returns and volatility with ADR. However, for the stocks issuing in Shanghai and Shenzhen, their returns would not be affected by the ADR return.
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