Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/23646
標題: Inter-day Dynamic Relationship under Different Exchange Rate Regimes between ADRs and Underlying Securities: Evidence from the Japanese Multinationals
美國存託憑證與原股在不同匯率區間下的日內動態傳遞關係:以日本國際企業為例
作者: 李宜錚
Li, Yi-Cheng
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
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摘要: 
金融市場國際化的程度日益增加,越來越多投資人想要利用國際投資來分散手中所持有的投資組合風險。美國存託憑證便成為一個海外證券市場的投資工具
,它不僅方便操作也可以避免貨幣轉換以及交易程序等問題。在本文當中,我們使用了更精確的統計方法-GJR-GARCH模型-來測試兩個不同步的國際市場中,美國存託憑證以及原股的日內外溢效果及動態傳遞關係。由於匯率的波動度較以往越來越劇烈也越來越具不確定性,造成越來越多的投資人對於匯率這個因素的重視程度增加,所以我們在文章中除了探討一些金融危機所帶來的影響,也加入了在不同匯率區間下對資訊傳遞的影響。本文以日本國際企業發行的ADR與原股做為研究標的,著重於研究ADR與原股之間在不同匯率區間下,報酬與波動性的日內動態傳遞關係。
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.
URI: http://hdl.handle.net/11455/23646
其他識別: U0005-2707200912261100
Appears in Collections:財務金融學系所

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