A Study of the Relationships of Michigan Consumer Sentiment Index (MCSI) and ADR's mispricing：An Application of VAR Model

• Main Authors: Chi-Yiao Lai, 賴啟堯
• Other Authors: Shu-Hwa Chang
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/49408287991166127116

碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 97 === This paper we use vector autoregressive(VAR) model, examining the relationship between mispricing of ADRs and Michigan Consumer Sentiment Index (MCSI). We extends previous research by considering three mispricing factors for American Depository Receipts(ADRs): the price of underlying shares in Taiwan, the relevant exchange rate(NT$/US$), and the Michigan Consumer Sentiment Index (MCSI). From the result of Granger causality, mispricing of TSM ADRs lead the MCSI. And the finding of impulse response function, none of the ADRs’ mispricing are affected by MSCI .In brief, mispricing of ADRs are affected by underlying shares and exchange rate, the relationship between mispricing of ADRs and MCSI are not so obvious.