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標題: 美國存託憑證與標的股之績效孰優?隨機優勢之應用
Do Domestic Stocks and their ADRs Perform Differently? An Application of Stochastic Dominance Tests
作者: 吳冠徹
Wu, Guan-Che
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
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Mougoue ,1996, The Pricing of Foreign Exchange Risk: Evidence from ADRs,Internation Review of Economics and Finance 5(4),337-385. Linton, Oliver , Esfandiar Maasoumi , and Yoon-Jae Whang ,2005, Consistent Testing for Stochastic Dominance under General Sampling Schemes,Review of Economic Studies 72,735-765. Mathur, Ike , Kimberly C. Gleason and Manohar Singh ,1998, Did Markers React Efficiently to the 1994 Mexican Peso Crisis ? Evidence from Mexican ADRs,Journal of Multinational Financial Management 8,39-48. McFadden, D. ,1989, Testing for Stochastic Dominance,in T.Fomby and T.K.Seo(eds.) Studies in the Economics of Uncertainty,Part Ⅱ (Springer) (in honor of J.Hadar). Muga, Luis , and Rafael Santamaria , 2007, The momentum effect: omitted risk factors or investor behavior? Evidence from the Spanish stock market,Quantitative Finance 7,637-650. Porter, R. Burr , and Jack E. 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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。
最後在實證的應用上,本文利用隨機優勢檢定台灣、日本、中國三個國家的美國存託憑證與標的股之間訊息傳遞是否符合效率市場假說,假設市場效率假說成立,美國存託憑證與標的股對於市場的訊息反應一致,兩者的報酬分配不該存在隨機優勢;結果顯現日本的訊息傳遞相對台灣與中國具有效率性,台灣與中國普遍存在標的股二階隨機優勢美國存託憑證,日本則傾向沒有隨機優勢的存在;而考慮了匯率風險與交易成本後的穩健性檢定仍然得到一致性的實證結果,表示在美國存託憑證與標的股之間的訊息傳遞並不完全符合效率市場假說,且漲跌幅制度或許是造成假說無法成立的原因之一 。

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.
其他識別: U0005-2206201013231100
Appears in Collections:財務金融學系所

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