| Summary: | 碩士 === 靜宜大學 === 財務金融學系 === 101 === It has been 15 years that Taiwan Stock Exchange (TSE) opened to foreign enterprises to issue Taiwan Depositary Receipts (TDRs) in 1998. After signing of the ECFA in 2010, the number of TDRs listed reaches a peak in the historical record. According to previous researches, the issuance of the depositary receipts (DRs) can improve the efficiency of the market where the issuing company listed. We doubt whether the issuance of TDRs can ameliorate the market efficiency under the trading volume of the Taiwan stock markets less than other developed markets. Besides, will the characteristic of the trilateral relation among the DRs market, the listed market and the market of the issuing firm, which is different from the bilateral relation between DRs market and the listed market from previous researches, reduce the ability of improving market efficiency from issuance of TDRs or not? These attract us to study this topic. Therefore, this study uses the GARCH and GJR-GARCH models to observe the variation of stock return, so as to inspect whether the issuance of TDR in the Chinese enterprises listed in Hong Kong Stock Exchange can improve the market efficiency or not.
The empirical results show that the structure of the volatility of stock return changes from all samples of 16 companies issued TDRs. In the GARCH model, 12 companies significantly decrease and 4 companies significantly increase; in the GJR-GARCH model, 11 companies significantly decrease and 5 companies significantly increase. Thus, TDRs do change the efficiency of the original listed market, and most of sample companies improve; only few companies increased the volatility.
From the empirical results, we know that although Taiwan securities market is not included in the world's major financial markets, the performance of issuing TDR does not different from other markets. In addition, the special trilateral relation does not reduce the function of improving the market efficiency from DRs.
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