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|標題:||Inter-day Dynamic Relationship under Different Exchange Rate Regimes between ADRs and Underlying Securities: Evidence from the Japanese Multinationals
|關鍵字:||Spillover effect;外溢效果;ADRs;GJR-GARCH;Financial crisis;Exchange rate regime;美國存託憑證;GJR-GARCH;金融危機;匯率區間||出版社:||財務金融系所||引用:||Arquette, Gregory C., William O. Brown Jr., Richard C.K. Burdekin. "US ADR and Hong Kong H-share discounts of Shanghai-listed firms," Journal of Banking and Finance, 2008, v32, 1916-1927 Aydemir, Oguzhan and Erdal Demirhan. "The Relationship between Stock Prices and Exchange Rates Evidence from Turkey, " International Research Journal of Finance and Economics, 2009, Issue 23, 1450-2887 Bae, Kee-Hong, Baekin Cha and Yan-Leung Cheung. "The Transmission Of Pricing Information Of Dually-Listed Stocks," Journal of Business Finance and Accounting, 1999, v26, 709-723. Bahmani-Oskooee, M., and A. Sohrabian. " Stock Prices and The Effective Exchange Rate ofThe Dollar," Applied Economics, 1992, v24(4) , 459-464. Bin, Feng-Shun, Gay B. Morris, Dar-Hsin Chen. 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實證結果顯示：一、日本的ADR與原股在報酬與波動的傳遞上具有雙向的外溢效果。二、在檢測落後的外溢效果時，日本的ADR與原股同樣在報酬與波動的傳遞上具有雙向的關係；但ADR日間報酬在反映原股（日本）市場的價格資訊上有延遲反應的現象，即落後一期的原股日間報酬對較晚開盤的ADR日間報酬存在有外溢效果，可知ADR反應原股市場的資訊較不具效率。而原股（日本）市場對於來自ADR（紐約）市場的資訊可以及時消化完畢，市場是有效率的。三、在不同匯率區間下（升貶值 / 高低波動），美國存託憑證與原股間的日內動態傳遞關係都是非常顯著的。
The globalization of financial markets is increasing. More and more investors try to increase their portfolio's diversity by international investment. ADRs become an alternative way to invest in overseas equities directly without confronting the problems such as currency conversion and foreign settlement procedures. In this study, we apply a more refined statistical procedure to test the dependencies and direction of inter-day spillover effects between the ADRs and their underlying shares on two nonsynchronous international markets. Because the movements of exchange rate are more volatile and uncertainty than before and more and more investors pay more attention to it, we also investigate dependence on external or exchange rate shocks. We use a sample of Japanese multinationals and a recent sample period (from 2 September 1993 to 2 June 2009).
The empirical results are: First, this study provide evidence that there exists a bi-directional contemporaneous dependence in the returns and volatility of the dually traded stocks between the Tokyo and New York markets and exchange rate regime(appreciation/depreciation;high/low volatility). Second, in the lagged spillover test, there also exists bi-directional evidence. But the evidence shows that the Japanese market (dominant / home market) reacts to the information from the New York market (satellite / foreign market) in an efficient manner. In contrast, the satellite market adjusts to the information from the dominant market with a delay. Finally, the effects from different exchange rate regime are obviously important factors that have evidence between ADRs and underlying shares.
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