| Summary: | 博士 === 國立交通大學 === 管理科學系所 === 94 === This dissertation employed the threshold vector error correction model (VECM) to investigate (1) the dynamic relationship between the prices of American Depository Receipts (ADRs) and their underlying stocks and (2) the effect of transaction cost reduction on the lead-lag relationship between the Taiwan Futures Exchange (TAIFEX) Electronic Index and Futures.
First, this study set out to estimate the dynamic relationship that exists between the prices of ADRs and their underlying stocks using a number of recent developments of the threshold cointegration framework. The empirical results support the notion of nonlinear mean-reversion of the prices of ADRs and their underlying stocks. The estimated coefficients of the error correction terms in the ‘extreme’ regime appeared to be larger than those in the linear VECM. The short-run dynamic effects of ADRs and UND prices showed significant differences between ‘typical’ and ‘extreme’ regimes.
Second, this study explored the dynamic relationship that exists between prices of the TAIFEX Electronic Index and Futures, in both the short-run and the long-run, and examined the possible nonlinear relationship between them. Using prices of the TAIFEX Electronic Index and Futures, this study carried out a number of forecast comparisons of the out-of-sample predictability of linear and nonlinear models after TAIFEX Electronic Futures reduced the transaction tax from 5 basis points to 2.5 basis points on May 1, 2000. Results showed that the TAIFEX Electronic Futures plays a dominant price discovery role. The threshold value decreased after a transaction tax reduction. An out-of-sample comparison was conducted, which showed that the forecast results of the threshold VECM were more reliable than those of the linear VECM.
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