An Empirical Study on the Relationship between Taiwan Depositary Receipts and Their Underlying Securities

• Main Authors: Su,Wei-Chih, 蘇瑋智
• Other Authors: Hsiao, Jung-Lieh
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/77341350698368076386

碩士 === 國立臺北大學 === 國際企業研究所 === 100 === The purpose of this paper is to find the connection between Taiwan deposit receipts and their underlying securities. We use different models to discuss this issue. First, we use panel data model and seemingly unrelated regression to analyze some possible factors that influence TDR price premium. Secondly, we use Granger Causality Test to analyze the information flow between TDR return, underlying security return and price premium. Thirdly, we use DCC model to discover the dynamic correlation coefficients between TDR return, underlying security return and price premium; then we find the relationships between different factors and these dynamic correlation coefficients. The data used in this paper are from November 1, 2010 to October 31, 2011. According to TDR‘s two main underlying countries, we sorted all the models into two groups-Hong Kong and Singapore. The outcomes are as followings: 1.The empirical result proves that TDR’s price premium can be explained by the market-level price differential, relative turnover rate and firm size. 2.Price premium Granger-causes TDR return. Investors can better predict TDR’s return by learning the historical price premium data. 3.For Hong Kong, the dynamic correlation coefficients between TDR’s return and their underlying security’s return can be explained by the market-level price differential. 4.For Honk Kong, the dynamic correlation coefficients between TDR’s return and price premium can be explained by the market-level price differential and interest rate spread. 5.For Honk Kong and Singapore, the dynamic correlation coefficients between price premium and their underlying security‘s return can be explained by the market-level price differential. For Hong Kong, it also can be explained by the interest rate spread and firm size.