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|標題:||The impact of analyst downgrade on dynamic transmission between ADRs and their underlying stocks
|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:||
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.
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。
|Appears in Collections:||財務金融學系所|
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