Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/23733
標題: 國際投資人對ADR之外匯風險定價探討
Foreign Investors Price Exchange Rate Risk in ADR
作者: 蔡忠諺
Tsai, Chung-Yen
關鍵字: ADR
外匯風險
exchange rate risk
translation exposure
economic exposure
risk premiums
轉換風險
經濟風險
風險溢酬
出版社: 財務金融系所
引用: 一、中文部分 1.洪慶鴻,「美國存託憑證之外溢效果與動態反應分析---以總體經濟變 數為實證」,中原大學企業管理學系碩士學位論文,民國九十一年六月。 2.施驊娟,「美國存託憑證及其標的股票訂價之研究」,淡江大學管理科學學系碩士班碩士論文,民國九十年六月。 3.聶瑋瑩,「台灣電子產業海外存託憑證報酬率匯率風險」,國立政治大學國際貿易研究所碩士論文,民國九十三年六月。 4.許智強,「跨國上市公司特性及其對風險報酬之影響-亞太地區之實證」,淡江大學財務金融學系碩士班碩士論文,民國八十九年六月。 5.吳宗憲,「我國海外存託憑證折溢價因素及價格波動傳遞效果之研究」,銘傳大學經濟學系碩士班碩士論文,民國九十一年六月。 6.蔡文馨,「全球存託憑證與台灣原股間價差之研究」,國立台灣大學財務金融研究所碩士論文,民國九十年六月。 7.吳禮祥,「美國存託憑證的套利與價差交易」,國立台灣大學財務金融 研究所碩士論文,民國八十九年六月。 二、英文部分 1. Bin F.-S., Morris G.B., Chen D.-H., 2003, “Effects of exchange rate and interest rate risk on ADR pricing behavior”, North American Journal of Economics and Finance 98, 1-22. 2. Bowe, M., and D. Domuta, 2001, “Foreign investor behavior and the Asian financial crisis”, Journal of International Financial Markets, Institutions and Money 11, 395–422. 3. Chesney, M., R. J. Elliott, D. Madan, and H. Yang, 1993, “Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying”, Mathematical Finance 3, 85–99. 4. Choi, Y. K., and D. S. Kim, 2000, “Determinants of American Depositary Receipts and their underlying stock returns – Implication for international diversification”, 5. Donnelly, Raymond and Edward Sheehy ,1996, “ The share price reaction of U.K.expoters to exchange rate movements: An empirical study”, Journal of International Business Studies, Spring, 157-165. 6. Doukas, J., P. H. Hall, and L. H. P. Lang, 1999, “The pricing of currency risk in Japan”, Journal of Banking and Finance 23, 1–23. 7. Ely, D., and M. Salehizadeh, 2001, “American depositary receipts: An analysis of international stock price movements”, International Review of Financial Analysis 10, 343-363. 8.Huang, R. D. and H. R. Stoll, 2001, “Exchange rates and firms’ liquidity: Evidence from ADRs”, Journal of International Money and Finance 20, 297–325. 9.Jorion, P., 1990, “The exchange rate exposure of U.S. multinationals”, The Journal of Business 63, 331-345. 10.Jorion, P., 1991, “The pricing of exchange rate risk in the stock market”, Journal of Financial and Quantitative Analysis 26, 363–376. 11.Kim, M., A. C. Szakmary, and I. Mathur, 2000, “Price transmission dynamics between ADRs and their underlying foreign securities”, Journal of Banking and Finance 24, 1359–1382. 12.Pan, M. S., K. C. Chan, and D. J. Wright, 2001, “Divergent expectations and the Asian financial crisis of 1997”, Journal of Financial Research 24, 219–238. 13.Pastorello, S., 1996, “Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying: A comment”, Mathematical Finance 6, 111–117. 14.Patro, D. K., 2000, “Return behavior and pricing of American Depositary Receipts”, Journal of International Financial Markets, Institutions and Money 9,43–67.
摘要: This paper examines how exchange rate risk affects foreign investors to price ADR in Japan, Korea, Taiwan and Hong Kong. We want to understand whether the fluctuation of four countries exchange rate and the index of returns will influence ADR excess returns. We all know that foreign investors investing ADR will face exchange rate risk, so we want to understand whether they will demand more risk premiums than local investors. Moreover, we make exchange rate exposure separated from translation exposure and economic exposure and examine which will affect foreign investors to price ADR. The empirical results are as follow: foreign investors will demand higher risk premiums both for economic and translation risk exposure in Japan and Korea. In Taiwan, foreign investors will demand a higher risk premium for economic exposure , while a lower premium for translation risk. In Hong Kong , there are no any obvious differences in economic and translation risk premiums. As for the period of one year after the bankruptcy of Lehman Brothers, we find that foreign investors do not change premiums as before. It means investors maintain risk premiums during this time.
本文主要是探討外匯風險如何影響國際投資人對於日本、韓國、台灣、香港等四個國家發行ADR之定價。我們要檢視各國外匯波動及大盤報酬是否會影響到ADR超額報酬,尤其是國際投資人投資ADR時會承受外匯風險,所以我們也想要了解國際投資人是否會因此而要求更多的風險溢酬。本文進一步將外匯風險區分為經濟風險(economic exposure)和轉換風險(translation exposure),檢定國際投資人會受到哪個風險影響而改變對ADR的定價。 實證結果指出,國際投資人在面對外匯風險時,對於日本、韓國的ADR同時會要求較高的經濟風險溢酬和較高的轉換風險溢酬,至於台灣則是要求較高的經濟風險溢酬和較低的轉換風險溢酬;香港則沒有顯著差別。我們也針對雷曼兄弟倒閉後一年間,金融環境動盪不安時,檢定國際投資人是否對外匯風險的看法會有所改變,結果發現日本、韓國、台灣和香港都無明顯差異變化,代表在外匯風險定價上並沒有改變。
URI: http://hdl.handle.net/11455/23733
其他識別: U0005-2506201014544000
文章連結: http://www.airitilibrary.com/Publication/alDetailedMesh1?DocID=U0005-2506201014544000
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