臺灣存託憑證報酬率的實證研究

Abstract

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.