| Summary: | 碩士 === 國立嘉義大學 === 應用經濟學系研究所 === 97 === Volatility of the stock returns of American Depositary Receipt is lager than stock return of underlying security in Taiwan during financial tsunami. In order to discuss the dependence of stock returns between the company in Taiwan and its ADR for high-tech industrial firms, this paper uses many different Copula models (including Mixture Copula) to execute the empirical analysis. According to empirical results, Student’s t Copula is the best model to represent the dynamic relationship between two markets in TSM, SPIL, and UMC, indicating that two markets will not have high dependence under an extreme situation (Bull market or Bear market). Gumbel Copula is the best model to represent the dynamic relationship between two markets in ASX and AUO, showing that two markets will have high dependence under Bull market. In addition, the time-varying dynamics dependence is also examined. After financial tsunami, it seems to show structure changes. While, in previous studies, it shows that the correlation of the two markets rises substantially during financial crisis, we will see that the dependence decreases substantially in this article. It may be attributed to the stock market intervention, and reduction the range of stock price limits. According to the result of decreasing dependence, it seems to be useful in diversifying portfolio risk by using underlying security and its ADR during financial tsunami.
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