請用此 Handle URI 來引用此文件:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/61992
標題: | 臺灣存託憑證報酬率的實證研究 An Empirical Study of Returns of Taiwan Depositary Receipts |
作者: | Taijiro Umano 馬野 泰治郎 |
指導教授: | 胡星陽(Shing-Yang Hu) |
關鍵字: | 臺灣存託憑證, Taiwan Depositary Receipts,TDR, |
出版年 : | 2013 |
學位: | 碩士 |
摘要: | The paper examines the impact of the information asymmetry affecting to the return of Taiwan Depositary Receipts (TDRs) by considering four variables for TDRs: underlying stock price, price index on the original market (Hong Kong or Singapore), Taiwan Stock Exchange price index, and exchange rate to Taiwan New Dollar. Using correlation analysis and regression analysis, we examine the strength of correlation of those four variables to the price of TDRs. Granger causality test, on the other hand, analyzes any sign of causal relationship those four variables have towards the price of TDRs. Meanwhile, impulse response analysis examines the impact of the price of TDRs to a unit shock in each variable in a short period of time. The result shows that only underlying stock price shows both signs of correlation and causal relationship to the price of TDRs. Impulse response analysis also proves that the price of TDRs responses very quickly and significantly to a unit shock in underlying stock price in a short period of time. Thus, the result proves the timing of providing information that affects underlying stock price is significant to TDR investors and delayed information caused by information asymmetry does have negative affect to those investors. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/61992 |
全文授權: | 有償授權 |
顯示於系所單位: | 管理學院企業管理專班(Global MBA) |
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ntu-102-1.pdf 目前未授權公開取用 | 2.76 MB | Adobe PDF |
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