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| ???org.dspace.app.webui.jsptag.ItemTag.dcfield??? | Value | Language |
|---|---|---|
| dc.contributor.advisor | 黃志典(Jyh-Dean Hwang) | |
| dc.contributor.author | Cheng-Liang Kuo | en |
| dc.contributor.author | 郭政良 | zh_TW |
| dc.date.accessioned | 2021-06-13T01:22:48Z | - |
| dc.date.available | 2007-07-27 | |
| dc.date.copyright | 2007-07-27 | |
| dc.date.issued | 2007 | |
| dc.date.submitted | 2007-07-18 | |
| dc.identifier.citation | 吳禮祥，「美國存託憑證的套利與價差交易」，台灣大學財務金融所碩士論文，2000年6月。
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/29875 | - |
| dc.description.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。 | zh_TW |
| dc.description.abstract | 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. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-13T01:22:48Z (GMT). No. of bitstreams: 1 ntu-96-R94724034-1.pdf: 920884 bytes, checksum: 0a60f4ca7c19cbc073baaad78855606c (MD5) Previous issue date: 2007 | en |
| dc.description.tableofcontents | 誌謝 I
中文摘要 II 英文摘要 III 目錄 IV 圖目錄 VI 表目錄 VII 第一章 緒論 1 1.1 研究動機與目的 3 1.2 研究結果 5 1.3 研究架構 5 第二章 市場機制與運作 8 2.1 市場概況 8 2.2 交易時間 11 第三章 文獻探討 13 3.1 ADR相關文獻 14 3.2 價格發現模型相關文獻 16 第四章 資料來源與研究方法 20 4.1 資料來源與處理 20 4.2 研究設計與流程 23 4.3單根檢定（Unit Root Test） 25 4.4 共整合檢定（Cointegration Test） 26 4.5 誤差修正模型（Vector Error-Correction Model, VECM）29 4.6 Granger因果關係檢驗（Granger Causality Test） 31 4.7 價格發現模型（Price Discovery Model） 32 4.7.1 共同因子貢獻方法（Common Factors Weights） 33 4.7.2 訊息份額模型（Information Shares Model） 34 第五章 實證研究與分析 37 5.1 單根與共整合檢定結果 37 5.2 Ganger因果關係檢驗 47 5.3 價格發現模型 53 5.4 檢定結果分析與探討 60 第六章 結論 63 參考文獻： 65 圖目錄 圖1-1 研究架構圖 7 圖2-1 ADR成長圖 10 圖2-2 各國交易時間圖 10 圖2-3 比較基礎圖 11 圖4-1 研究流程圖 24 表目錄 表4-1 選取的樣本公司列表 21 表5-1 ADR與現股開盤價之ADF檢定 38 表5-2 ADR與現股收盤價之ADF檢定 40 表5-3 Johansen共整合檢定 ─ 現股收盤價對ADR開盤價 43 表5-4 Johansen共整合檢定 ─ 現股開盤價對ADR收盤價 45 表5-5 現股收盤價對ADR開盤價因果關係檢驗 48 表5-6 現股開盤價對ADR收盤價因果關係檢驗 50 表5-7 價格發現結果 ─ 現股收盤價與ADR開盤價 54 表5-8 價格發現結果 ─ 現股開盤價與ADR收盤價 56 表5-9 價格發現結果平均值變動一覽 59 表5-10 ADR與現股之年平均交易量 61 | |
| dc.language.iso | zh-TW | |
| dc.subject | 價格發現 | zh_TW |
| dc.subject | 永久-暫時模型 | zh_TW |
| dc.subject | 資訊份額模型 | zh_TW |
| dc.subject | 美國存託憑證 | zh_TW |
| dc.subject | Price Discovery | en |
| dc.subject | Permanent-Transitory Model | en |
| dc.subject | Information Shares model | en |
| dc.subject | ADR | en |
| dc.title | 價格發現模型的應用與實證：香港、澳洲與日本發行ADR為例 | zh_TW |
| dc.title | Application and Empirical Study of Price Discovery Model：Evidence from Hong Kong、Australian and Japanese ADRs | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 95-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 陳明賢,胡星陽 | |
| dc.subject.keyword | 永久-暫時模型,資訊份額模型,價格發現,美國存託憑證, | zh_TW |
| dc.subject.keyword | Price Discovery,Permanent-Transitory Model,Information Shares model,ADR, | en |
| dc.relation.page | 69 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2007-07-18 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
| Appears in Collections: | 國際企業學系 | |
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