| Summary: | 碩士 === 國立臺北大學 === 國際企業研究所 === 97 === This paper examines the speed of price adjustment in Taiwan, China stock market and American Depositary Receipts. We use a VAR model to show the interaction for stocks and American Depositary Receipts of Taiwan and China. The sample period of this study is from January, 2002 to December, 2008.
The empirical results prove that two-way feedback relationship between stocks and ADRs of Taiwan, and we find the positive relationship between stocks and ADRs of China. Our analysis of firm characteristics suggests that the speed of stock price adjustment for Taiwan market is related to market value, while that for American market is related to turnover ratio.
We also find asymmetric effects of returns on the speed of adjustment. Investors in Taiwan react more quickly to good news, while investors in America react identically to good news and bad news.
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