| Summary: | 碩士 === 嶺東科技大學 === 財務金融研究所 === 100 === This paper examines the margin trading effect to the relationship between 4 Hong Kong TDRs and underlyings during May 14, 2009 - August 31, 2011. We apply the threshold autoregressive model with the Bayesian analysis to catch the structure changes between 4 Hong Kong TDRs and their underlyings. We find that the returns of 4 Hong Kong TDRs are affected by their underlyings significantly. Besides, the stock repurchase, issuance of new shares, the cash dividend, the financial statements announcement, unexpected changes in revenues and the acquisition will break the relationship between 4 Hong Kong TDRs and underlyings.
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