Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/23329
標題: The Effects of Financial Crisis and Currency Risk on International Market Linkage:Some Evidence from ADRs and Their Underlying Stocks
金融風暴與貨幣風險對國際市場連結之影響效果 以美國存託憑證與原股為例
作者: 凌維君
Ling, Wei-Chun
關鍵字: International Market Linkage;國際市場連結;ADRs;Cointegration;Financial crisis;Exchange Rate Volatility;美國存託憑證;共整合;金融風暴;匯率波動性
出版社: 財務金融系所
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摘要: 
Long-run convergence evidenced by cointegration suggests that if price movement of ADR and the underlying share diverges, market forces will act to eliminate the gap. The
dynamics of the ADR portfolios can well be influenced by the deviation from the long-run relationship, or specifically, the error terms in the cointegration equation. Therefore, we examine the long run relationship of stock price between ADRs and their respective
underlying securities particularly in emerging markets, especially those countries experience the financial crisis in this decade.
We employ the EC terms as proxies for the amount of information generated by individual equity markets and add dummy variables to capture the effect of financial crisis
and exchange rate volatility to the long-run equilibrium relationship between ADRs market and underlying stocks market. Resolving the value discrepancies by adjustment in prices of foreign equities become stronger during the financial crisis period, however, become weaker by adjustment in prices of ADRs. The results also demonstrate that high exchange rate volatility will improve the market forces to eliminate the gap of same-day price movement of ADR and the underlying share diverges by adjustment in prices of foreign equities. On the contrary, low exchange rate volatility will improve the market forces to eliminate the gap of one-day lag price movement of ADR and the underlying share diverges by adjustment in prices of ADRs.
URI: http://hdl.handle.net/11455/23329
其他識別: U0005-0707200701503000
Appears in Collections:財務金融學系所

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