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Do Domestic Stocks and their ADRs Perform Differently? An Application of Stochastic Dominance Tests
|關鍵字:||stochastic dominance;隨機優勢;ADR;efficient market hypothesis;美國存託憑證;效率市場假說||出版社:||財務金融系所||引用:||Anderson, G. J. , 1996, Nonparametric Tests of Stochasitc Dominance in Income Distributions,Econometrica 64, 183-1193. Arshanapalli, B. and J. Doukas , 1993, International Stock Market Lindages: Evidence from the Pre-and Post October 1987 Period, Journal of Banking and Finance 17,193-203. Barrent, Garry F. ,and Stephen G. Donald ,2003, Consistent Tests for stochastic Dominance, Econometrica 71,71-104. Best, Roger J. , Ronald W. Best , and James A. Yoder , 2000, Values Stocks and Market Efficiency, Journal of Economics and Finance 24,28-35. Bin, F. S. , Morris G. B. , and Chen D. H. ,2003, Effects of Exchange Rate and Interest Rate Risk on ADR Pricing Behavior, North American Journal of Economics and Finance 98,1-22. Brenner, Menachem , Marti G. Subrahmanyam and Jun Uno,1989, The Behavior of Prices in the Nikkei Spot and Futures Market ,Journal of Financial Economics 23,363-383. 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本文就隨機優勢的檢定方法作簡單的介紹，McFadden (1987)、Barrent and Donald (2003)與Linton , Maasoumi and Whang (2005)三篇文章對於資料的假設皆有所不同，從要求資料間彼此為獨立、樣本數相等到放寬樣本間可以有相關性且樣本數可以不同，循序漸進的介紹適用不同類型資料的檢定方法。模擬部分利用了 Linton (2005) subsample拔靴法以及一般傳統的拔靴法和成對拔靴法共三種抽樣方式，同時考慮樣本大小與資料結構分別存在i.i.d.和時間序列相關對於檢定能力的影響；當樣本大小為200以上時結果顯示利用 subsample拔靴法，不論在i.i.d. 或存在序列相關的情形下都可以得到一致性的檢定結果。
In this study, we first introduce the basic definition and notion of stochastic dominance, and then get some literature of testing for stochastic dominance together. There are difference assumptions for data in the literature of McFadden (1987)、 Barrent and Donald (2003) and Linton , Maasoumi and Whang (2005). They extend the data limitation from being independent and equal sample size to become dependent and unequal sample size.After introducing the method for testing different kinds of data,and then we simulate for i.i.d. and time series data. In this simulation, we utilize Linton (2005) subsample bootstrapping、general standard bootstrapping and pair bootstrapping to simulate and consider effect of power of testing with different sample size.The result of simulation reveal that the sampling method of subsample bootstrapping having consistent testing for stochastic dominance in i.i.d. and time series sample when sample size greater than or equal 200.
Finally,in application of stochastic dominance,we use stochastic dominance to test whether efficient market hypothesis exists between ADRs and underlying stocks information transmission in Taiwan、Japan and China.The result reveal that information transmission is more efficient in Japan than in Taiwan and China.The underlying stocks SSD ADRs mostly in Taiwan and China, and there tend to not exist dominance in Japan. The result is still consistent after we take account of exchange risk and transaction cost in roubust test.Therefore, according to the result in this thesis, we can infer information transmission in these countries don’t fully comply with efficient market hypothesis between ADRs and underlying stocks, and the hypothesis may fail when price limiting exists in the market.
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