| 摘要: | 在金融市場國際化之後，存託憑證是常見的多角化投資標的及大型企業集資的重要工具，近幾年台灣幾個上市公司紛紛在美國發行存託憑證來募集資金。因此本研究的研究目的在探討標的公司發行美國存託憑證後，其ADR與標的股間的波動關係。本文採用GARCH(1,1)模型，同時考慮價格、交易量與匯率三個變數。研究期間為1997/10/08 ~ 2004/12/31，國內六家於美國發行ADR之公司，分別為聯電、日月光、矽品、台積電、旺宏及友達光電進行分析，資料型態為日頻率資料。實證結果顯示： 1. 標的股價或ADR價格的變動會受到前期股價或前期ADR價格變動的影響。2. 波動持續性方面，台積電所發行的存託憑證報酬調整速度最快，波動持續性最短。美國存託憑證報酬波動的持續性以日月光最高，標的股價報酬波動的持續性以友達最高。 3. 匯率對標的股票報酬影響方向為負向，對ADR股價報酬影響為正向。 4. 交易量在報酬波動方面對ADR與標的股票的報酬波動呈現正向的影響；台幣對美元匯率變動在報酬波動方面對ADR與標的股票的報酬波動為正向的影響。
With financial market internationalizing, it is common to use ADR as investment tools to form diversified portfolios and to raise funds for corporations. In recent years, some companies of Taiwan issue Depositary Receipt to collect fund in American, there are purposes of this study on price volatility effect of Taiwan ADR’s and their underlying stocks. ADR this research applies the GARCH(1,1) model with price, volume and Exchange rate. The period of this paper is a daily from October 8, 1997 through December 31, 2004, in which six domestic companies issuing ADR in the United States were analyzed. Which are UMC, ASX, SPIL, TSM, MXICY, AUO. Issuing ADR in the United States were analyzed. The empirical findings are summarized as follows： 1. Their variable stock price or ADR price would be influenced by earlier stage stock price and ADR price change. 2. From the volatility persistence point of view, the ADR of ASX tends to fluctuate more frequently, the underlying stock of AUO tends to fluctuate more frequently, while ADR of TSM remains more stable. In other words, the ADR and underlying stock of TSM will be more likely to reflect instantly of all possible influences of a sign or news. 3. The underlying stock price return are influenced by the Exchange rate is negative. The ADR price return are influenced by the Exchange rate is positive.4. The relationship between volume and ADR’s, their underlying stock price volatility is positive. The relationship between Exchange rate and ADR’s, their underlying stock price volatility is positive. |
