價格發現模型的應用與實證：香港、澳洲與日本發行ADR為例

Abstract

本研究主要根據Gonzalo and Granger(1995)提出的永久-暫時模型(Permanent-Transitory Model)以及Hasbrouck(1995)提出的資訊份額模型(Information Shares Model)對於香港、澳洲與日本在美發行存託憑證的情況進行價格發現的實證與分析。但由於交易時間的差異性，本文藉由開盤價與收盤價的雙向比較，來觀察並統整在這種跨國交易的金融商品中何者的價格發現能力較強。 Johansen共整合檢定表示在美國存託憑證與現股之間都存在一共同的長期趨勢而呈現共整合關係，故根據永久-暫時模型與資訊份額模型的實證結果，發現無論是在美國存託憑證開盤價與現股收盤價的比較，或是現股開盤價和美國存託憑證收盤價的部份，都顯示出標的股所屬的國內市場在資訊貢獻的過程中均佔有較高的能力，同時Granger因果關係檢驗也表示出國內市場屬於資訊領先的指標，總和來說港澳日的當地市場有著比美國市場更好的資訊掌握度與反應能力。此外，研究發現交易量與價格發現的能力呈現正向的關係。

This paper examines the price discovery between the Hong Kong, Australian and Japanese stocks and their American Depositary Receipts (ADR) with two well-known common factor models, the permanent-transitory model proposed by Gonzalo and Granger (1995) and information share model proposed by Hasbrouck (1995).Due to the nonsynchronicity of closing prices, the research target will be put on the two-way comparison of closing prices and opening prices. Regardless of the ADR opening prices versus underlying stocks closing prices or vice versa, empirical tests of both the permanent-transitory model and information share model show that the contribution of the domestic market to the price discovery is higher. In the meanwhile, Granger causality test reveals that the domestic market takes the lead in information flow. To sum up, the domestic market of Hong Kong, Australia and Japan possess better information response and control ability than American market. In addition, we find that the trading volume is direct proportional to the contribution of price discovery.