| Summary: | 碩士 === 國立嘉義大學 === 企業管理學系 === 100 === This thesis takes a research target from Taiwan Depositary Receipts (TDRs), which is initial public offering in Singapore, Hong Kong, Thailand and South Africa, and investigates the price transmissions between TDRs and three kinds of pricing factors, including the prices of the underlying shares in the local currency, the relevant exchange rates, and the Taiwan Stock Exchange Index (TAIEX). The framework of this study adopts correlation coefficients analysis to explore the relationship among these underlying factors. Subsequently, we conduct Granger non-Causality test of Toda-Yamamoto procedure to confirm the causal linkages, and lastly perform regression-based estimation to construct buy-hold trading strategies.
The results of correlation coefficients indicate that TDR prices and the prices of underlying shares have a strongly positive relationship, but TDR prices don’t have persistent relationships between the relevant exchange rates and between TAIEX. The Granger non-causality tests of Toda-Yamamoto procedure shows that the prices of underlying shares, TAIEX and exchange rate commonly have uni-directional impacts on the TDR prices. Regression-based estimation suggests that TDRs reflect the same and lagged one calendar day shocks of underlying shares and TAIEX, but hardly in exchange rate. The regression-based trading rule exists significantly abnormal rate of return than the buy-hold strategy.
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