Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/23305
標題: The impact of analyst downgrade on dynamic transmission between ADRs and their underlying stocks
調降投資評等對美國存託憑證與標的股間 動態傳遞關係之影響
作者: 吳伊晟
Wu, I-Cheng
關鍵字: American Depository Receipts;美國存託憑證;return spillover effect;volatility spillover effect;報酬外溢效果;波動性外溢效果;GJR-GARCH模型
出版社: 財務金融系所
摘要: 
ABSTRACT
This paper use GJR-GARCH model to investigate the return and
volatility spillover effects between underlying stocks and their ADRs. The
sample companies used in empirical analysis included ADRs and their
underlying stocks from Taiwan. We examine the impact for these underlying stocks when the analysts decided to downgrade. Also, examine the effect when analyst downgraded the rating of industry leaders and the stock turnover rate. We use the lagged GJR-GARCH model to investigate the delayed reaction of information delivery.
The empirical results show that the return transmission of ADRs and their underlying stocks is bi-directional . However, the return spillover effect from underlying stocks to ADRs is stronger than that from ADRs to the underlying stocks., This result indicates that the local market is acting as the dominant market while the foreign market is acting as a satellite. The results also shows the volatility spillover effects of Chunghwa Telecom, AU Optronics Corporation and Advanced Semiconductor Engineering from ADRs to underlying stocks is stronger than that from the underlying stocks to ADRs. In opposite, the volatility spillover effects of Taiwan Semiconductor Manufacturing, United Microelectronics Corporation and Siliconware Precision Industries Co., Ltd from underlying stocks to ADRs is stronger than it from ADRs to underlying stocks.
For conclusion, analyst downgrade have negative impacts on the returns for these underlying stocks. But, the affection will occur immediately to the stock market and not remains to the subsequent ADRs market. The turnover of these underlying stocks have positive impact on both daytime and overnight return for ADRs and their underlying stocks. Moreover, the lagged return spillover effect between ADRs and their underlying stock is unidirectional. but the lagged volatility spillover effect is bi-directional. This implies the overnight return of ADRs dose not immediately react all the price information from the local market.

本文利用兩階段GJR-GARCH模型,探討標的股與其美國存託憑證間之報酬與波動性外溢效果,研究對象為國內六家於美國發行存託憑證之公司,採用各樣本公司美國存託憑證發行日至2007年12月31日之日資料進行實證分析,同時考慮分析師對標的股調降評等、分析師對產業龍頭股調降評等及標的股股票週轉率三個變數對股價報酬的影響,最後,以落後一期之GJR-GARCH模型,探討價格資訊的傳遞上是否有落後反應的現象。
研究結果發現:ADR與標的股之間存在雙向的報酬外溢效果,但標的股對ADR的影響程度較ADR對標的股的影響程度大,代表標的股市場為支配市場(dominant market),ADR市場則為跟隨市場(satellite market),ADR與標的股之間呈現雙向的報酬波動外溢效果,但中華電、友達及日月光從ADR市場到標的股市場之波動外溢效果較大,而台積電、聯電及矽品則是從標的股市場到ADR市場之波動外溢效果較大。
另外在其他變數方面,分析師對個股調降評等的資訊會對股價報酬造成負面影響,且在標的股市場交易當天反應完畢,而不會延續到隨後開盤的ADR市場,標的股股票週轉率對標的股及ADR之日間報酬與隔夜報酬皆存在顯著的正向關係,最後在落後反應方面,ADR與標的股之間存在單向的落後報酬外溢效果,但存在雙向的落後報酬波動效果,因為ADR夜間報酬無法即時的反應來自標的股市場的所有價格資訊,而有落後反應的現象。
URI: http://hdl.handle.net/11455/23305
Appears in Collections:財務金融學系所

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