| Summary: | 碩士 === 嶺東科技大學 === 財務金融研究所 === 99 === In this study, we examine the price discovery between 12 TDRs and their underlying stocks listed on Hong Kong market. These 12 Hong Kong TDRs are Want Want, Global Sweeteners, Tingyi, Good Friend, Kith, New Focus, Vietnam Manufacturing, Ju Teng, Yorkey, Solargiga Energy, Sandmartin and Neo-Neon. This study uses TEJ intra-day data and Hong Kong Exchange and Clearing Limited data from August 1, 2009 to June 30, 2010. Using matched synchronized intra-day trading data, we find that 12 Hong Kong TDRs are cointegrated with one common stochastic trend. After Vector Error Correction model analysis, we find 5 TDRs (Kith, New focus, Ju Teng, Sun Energy and Sandmartin) have more price discovery abilities than their underlying stocks. We further analysis the short sale restriction effect. The evidence shows that removing short sale restriction will strengthen the TDRs’ price transmission abilities.
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