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標題: The Discounts and Dynamic Relationship between the Underlying Stocks and Their ADRs Listed in New York and Frankfurt
作者: 楊聲勇
關鍵字: 應用研究;ADRs;經濟學;存託憑證;匯率風險;多市場掛牌;GARCH-DCC model;Exchange Rate Risk;Multiple-listing;GARCH-DCC model
本篇研究使用多變量GARCH-DCC 模型與橫斷面追蹤資料模型,針對公司股票三地掛牌進行深入研究。過去文獻主要討論兩地掛牌的股價關係,據本人對目前文獻的了解與經驗,並無太多研究針對三地掛牌進行深入研究。本研究延伸討論國際股票三地掛牌 (本國市場、紐約與法蘭克福) 的股價動態關係,並針對不同市場掛牌的折溢價幅度與成因,進行深入的討論,並以亞洲主要發行國家與公司為樣本。結果將能使我們從更多元的角度,解釋市場的長、短期動態關係與匯率風險。

This research applies a Multivariate-GARCH-DCC model and a cross-sectional panelapproach to examine the discounts (premiums) and dynamics of internationaltransmission between American Depository Receipts (ADRs) listed in New York andFrankfurt and their underlying securities. To our knowledge, there is no previousresearch examining on the multiple-listed issues and related sample. The empiricalresults might fill the gap in the literature and provide more insight on information flowsacross markets.
其他識別: NSC99-2410-H005-023
Appears in Collections:財務金融學系所

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