5. 結論
4.2 賣美元的新聞報導
本論文為能彰顯出路透社報導央行透過買美元或賣美元會對匯市造成不同的 影響，特別將路透社的新聞報導區分為是央行買美元的干預報導，或者是央行使 用賣美元的方式干預匯市，本部分除了𝐹𝑥𝑟𝑎𝑡𝑒 × 𝑄𝑛𝑒𝑤𝑠的結果不一樣，其他變數 結果和4.1一致。
央行透過賣美元干預匯市報導下匯率的變化情形（𝐹𝑥𝑟𝑎𝑡𝑒 × 𝑄𝑛𝑒𝑤𝑠）如表四 所示：央行干預匯市後其各國的幣值呈現對美元升值，而使多數國家公司的ADR 實際交易價格低於ADR的理論價格而產生折價，此現象出現在印度、印尼、南韓、
新加坡、泰國和台灣，尤其新加坡公司的ADR有顯著的折價。
‧
國
立 政 治 大 學
‧
N a tio na
l C h engchi U ni ve rs it y
表四、亞洲樣本國家的迴歸結果（賣美元）
capitilization Constant Observations R2
印度 -3.125 -32.790 -4.367 -6.859 1.353 7.734 18,874 0.044
新加坡 -104.725 -1422.709* 10.503 60.804** -21.317*** 159.311** 7,803 0.575
(-1.57) (-2.08) (0.45) (3.19) (-4.33) (2.88)
泰國 1.210 -49.019 -8.029 2.736 2.029 -19.089 3,302 0.098
(1.19) (-1.90) (-2.22) (0.29) (0.39) (-0.31)
台灣 12.591 -558.178 -1.229 20.201 -6.448 128.918 9,736 0.070
(0.12) (-1.02) (-0.65) (1.17) (-0.50) (0.72)
‧
國
立 政 治 大 學
‧
N a tio na
l C h engchi U ni ve rs it y
央行透過使用賣美元干預匯市時，各公司的迴歸結果如表五所示：Panel A 顯 示 印 度 盧比 匯 率的 變動 （𝐹𝑥𝑟𝑎𝑡𝑒 ），會使 STATE BANK OF INDIA、TATA COMMUNICATIONS LTD、和 ICICI BANK LTD 的 ADR 產生折價的情形；印度 央行透過賣美元干預匯市報導下印度盧比匯率的變化（𝐹𝑥𝑟𝑎𝑡𝑒 × 𝑄𝑛𝑒𝑤𝑠）會使 HDFC BANK LTD、STATE BANK OF INDIA、TATA MOTORS LTD、WIPRO LTD、
INFOSYS LTD 和 ICICI BANK LTD 的 ADR 發生明顯折價的情形。
印尼央行干預印尼盾匯率的變動（𝐹𝑥𝑟𝑎𝑡𝑒）會使其國家的公司在美國發行的 ADR 產生溢價，由 Panel B 顯示 UNITED TRACTORS、ASTRA INTERNATIONAL TBK (PT)及 PERUSAHAAN GAS NEGARA TBK 的 ADR 會明顯產生溢價。印尼 央行透過賣美元干預匯市報導下印尼盾匯率的變化（𝐹𝑥𝑟𝑎𝑡𝑒 × 𝑄𝑛𝑒𝑤𝑠）會使 UNITED TRACTORS、ASTRA INTERNATIONAL TBK (PT)及 PERUSAHAAN GAS NEGARA TBK 的 ADR 產生折價。
Panel C 顯示南韓央行使用賣美元來干預韓圜匯率的變動（𝐹𝑥𝑟𝑎𝑡𝑒）會使 6 家公司在美國發行的 ADR 產生溢價，尤其以 SAMSUNG ELECTRONICS CO LTD、
SAMSUNG C&T CORPORATION 和 WEBZEN INC 的 ADR 明顯溢價。南韓央行 透過賣美元干預匯市報導下韓圜匯率的變化（𝐹𝑥𝑟𝑎𝑡𝑒 × 𝑄𝑛𝑒𝑤𝑠）會使 8 家公司的 KEPPEL CORPORATION LTD、STARHUB LTD 和 FIRST SHIP LEASE TRUST 的 ADR 產生明顯的折價，但是卻會使 DBS GROUP HOLDINGS LTD 的 ADR 發生明
Panel G 顯 示 新 台 幣 匯 率 的 變 動 （𝐹𝑥𝑟𝑎𝑡𝑒 ） 會 明 顯 使 TAIWAN SEMICONDUCTOR MFG CO 和 CHUNGHWA TELECOM LTD 的 ADR 明顯折價；
台灣央行透過賣美元干預匯市報導對新台幣匯率的變化（𝐹𝑥𝑟𝑎𝑡𝑒 × 𝑄𝑛𝑒𝑤𝑠），會 使 TAIWAN SEMICONDUCTOR MFG CO、FAR EASTERN NEW CENTURY CORP 、 SILICONWARE PRECISION INDS 、 ADVANCED SEMICON ENGINEERING、CHUNGHWA TELECOM LTD 和 AU OPTRONICS CORP 的 ADR 產生折價，但是卻會使 MACRONIX INTL CO LTD 的 ADR 明顯產生溢價。
‧
國
立 政 治 大 學
‧
N a tio na
l C h engchi U ni ve rs it y
表五、各公司的迴歸結果（賣美元）
capitilization Constant Observations R2
HDFC BANK LTD -22.706 -102.710*** -4.795*** -27.465*** 0.520*** 78.407*** 1,725 0.293
WIPRO LTD -3.685 -19.409*** -2.042*** 1.681*** -0.426*** 7.623*** 1,725 0.483
capitilization Constant Observations R2
CHANDRA ASRI PETROCHEMICAL 48.984 75.929 1.007 -3.718* 0.943** 86.021*** 459 0.009
(0.59) (0.60) (0.72) (-1.69) (2.39) (16.17)
INDOSAT TBK 42.979 -247.927 -27.661*** -20.856** 38.698*** 1878.844*** 1,647 0.024
(0.14) (-0.54) (-4.16) (-2.40) (4.08) (11.35)
TELEKOMUNIKASI INDONESIA 157.329 -1189.461 31.366 -1.119 23.187 7522.176*** 1,647 0.007
(0.18) (-0.63) (1.39) (-0.02) (1.17) (23.92)
(6.00) (-1.75) (3.37) (3.22) (-0.59) (74.83)
capitilization Constant Observations R2
SHINHAN FINANCIAL GROUP LTD -0.179 -0.193 -0.297*** -0.223*** -0.064*** 4.649*** 1,723 0.303
capitilization Constant Observations R2
MALAYAN BANKING BHD -3.117 -166.260*** -3.243*** -1.434*** 0.868*** -0.983 1,511 0.317
(0.53) (-5.11) (-12.68) (11.82) (2.99) (4.91)
capitilization Constant Observations R2
UNITED OVERSEAS BANK LTD 0.127 -0.202 0.075*** 0.059*** -0.037*** 3.256*** 1,598 0.276
capitilization Constant Observations R2
ADVANCED INFO SERVICE PCL 0.340 -3.531* -0.061*** 0.232*** -0.138*** 1.455*** 1,651 0.089
(1.12) (-1.80) (-2.70) (4.79) (-5.51) (5.26)
PTT EXPLORATION & PRODUCTION -6.660 -3.713 3.642*** 21.119*** -16.036*** 188.536*** 1,651 0.612
(-0.58) (-0.11) (6.22) (28.55) (-50.51) (51.34)
capitilization Constant Observations R2
‧
MACRONIX INTL CO LTD 96.364 19684.246*** 101.804*** 2.716*** 17.365*** -196.288*** 416 0.909
(0.62) (7.73) (34.40) (2.70) (11.98) (-13.40)
TAIWAN SEMICONDUCTOR MFG CO -31.198*** -139.447** 0.213*** -4.355*** -6.657*** 124.629*** 1,644 0.592
(-3.19) (-2.14) (5.40) (-9.40) (-35.65) (43.45)
FAR EASTERN NEW CENTURY CORP -82.120 -918.067* -2.667*** -21.612*** -10.409*** 266.250*** 1,644 0.599
(-1.40) (-1.94) (-14.46) (-10.03) (-13.54) (36.29)
SILICONWARE PRECISION INDS -12.263 -253.715*** 0.177*** 3.109*** -2.588*** 52.795*** 1,644 0.298
(-0.86) (-2.61) (6.91) (8.67) (-19.52) (31.82)
ADVANCED SEMICON ENGINEERING 23.674 -528.398*** -0.615*** 5.358*** -2.818*** 65.435*** 1,393 0.143
(0.56) (-3.81) (-12.92) (7.69) (-7.64) (14.79)
CHUNGHWA TELECOM LTD -128.259* -933.157** -3.817*** -21.507*** 10.711*** -37.784 1,644 0.135
(-1.83) (-2.24) (-9.73) (-5.15) (3.52) (-1.02)
AU OPTRONICS CORP 50.188 -1533.790*** -3.080*** -0.359 -0.535 118.414*** 1,351 0.043
(0.65) (-3.27) (-8.18) (-1.01) (-0.77) (12.87)
‧
國
立 政 治 大 學
‧
N a tio na
l C h engchi U ni ve rs it y
5. 結論
亞洲央行透過買美元或賣美元干預匯率市場，對樣本國家公司在美國發行存 託憑證的價格會產生折價或溢價的影響，實證結果顯示央行不論透過買美元或賣 美元對其匯率造成的變動，會使其國家的公司在美國發行的ADR產生折價的情形，
此部份的研究符合Arquette et al.（2008）的實證結果。
央行買美元干預匯市報導下匯率的變化會使ADR產生溢價，此現象出現在印 度、印尼、南韓、泰國和台灣，其中只有印尼的效果是顯著的，而央行透過賣美 元干預匯市報導下匯率的變化會使ADR產生折價，此現象出現在印度、印尼、南 韓、新加坡、泰國和台灣，其中僅新加坡公司的ADR有顯著折價的情形。
由公司層面的分析可見央行透過賣美元來干預匯市對其公司在美國發行的 存託憑證會產生明顯的折價，尤其以印度的銀行業、汽車與通訊產業，印尼的銀 行和天然氣產業，馬來西亞和新加坡的銀行業，台灣半導體、通訊產業的結果特 別明顯。
後續研究可以考慮加入公司對匯率風險是否進行避險策略對公司獲利的影 響？或分析央行干預匯率對美國存託憑證以外的其它金融資產價格的影響，或國
家間公司的競爭關係如何影響到美國存託憑證折溢價的變化等。
‧
國
立 政 治 大 學
‧
N a tio na
l C h engchi U ni ve rs it y
參考文獻
Arquette, Gregory C., William O. Brown, Jr., and Richard C. K. Burdekin, 2008. US ADR and Hong Kong H-share discounts of Shanghai-listed firms, Journal of Banking & Finance, 32, 1916–1927.
Bae, Sung C., Kwon, T. H., and Li, M., 2008. Foreign exchange rate exposure and risk premium in international investments: Evidence from American depositary receipts, Journal of Multinational Financial Management, 18, 165-179.
Bailey, W., Chan, K., and Chung, Y. P., 2000. Depositary Receipts, Country Funds, and the Peso crash: The intraday evidence, The Journal of Finance, 6, 2693-2717.
Bernanke, B. S., 2010. Rebalancing the Global Recovery, Sixth European Central Bank Central Banking Conference Frankfurt, Germany.
Bollerslev, T., 1986. Generalized autoregressive conditional heteroskedasticity, Jouarnal of Econometrics, 31, 307-327.
Chang, Y. and Taylor, S. J., 1998. Intraday effects of foreign exchange intervention by the Bank of Japan, Journal of International Money and Finance, 17, 191-210.
Chen, S. S., 2011. Currency manipulation policy in emerging foreign exchange markets, National Taiwan University, working paper.
Disyatat, P. and Galati, G., 2007. The effectiveness of foreign exchange intervention in emerging market countries: Evidence from the Czech koruna, Journal of International Money and Finance, 26, 383-402.
Domaç, I. and Mendoza, A., 2004. Is there room for foreign exchange interventions under an inflation targeting framework? Evidence from Mexico and Turkey, working Paper.
Dominguez, K. M., 1998. Central bank intervention and exchange rate volatility, Journal of International Money and Finance, 17, 161-190.
Dominguez, K. M., and Frankel, J. A., 1993. Does foreign exchange intervention work？Washington, DC：Institute for International Economics.
Engle, R. F. and Granger, C. W. J., 1987. Co-integration and error correction:
representation, estimation, and testing, Econometrica, 55, 251-276.
‧
EURO: Institutional framework, news, and intervention, Open economies review, 13, 413-425.
Fischer, A. M., 2006. On the inadequacy of newswire reports for empirical research on foreign exchange interventions, Journal of International Money and Finance, 25, 1226-1240.
Gagnon, L. and Karolyi, G. A., 2010. Multi-market trading and arbitrage, Journal of Financial Economics, 97, 53-80.
Goral, A. and Sanchit A., 2010. The Indian exchange rate and central bank action：A GARCH analysis, Working paper.
Grossmann, A., Ozuna, T., and Simpson, Marc W., 2007. ADR mispricing: Do costly arbitrage and consumer sentiment explain the price deviation? Journal of International Financial Market, Institutions & Money, 17, 361-371.
Hua, M. and Gau, Y., 2006. Determinants of periodic volatility of intraday exchange rates in the Taipei FX Market, Pacific-Basin Finance Journal, 14, 193-208.
Johansen, S. and Juselius, K., 1990. Maximum likelihood estimation and inference on cointegration—With applications to the demand for money, Oxford Bulletin of Economics and Statistics, 52, 169–210.
Johansen, S., 1991. Estimation and hypothesis testing for cointegration vectors in Gaussian vector autoregressive models, Econometrica, 59, 1551–1580.
Kim, Minho, Szakmary, Andrew C., and Mathur, Ike, 2000. Price transmission dynamics between ADRs and their underlying foreign securities, Journal of Banking & Finance, 24, 1359-1382.
Mathur, I., Gleason, K. C., and Singh, M., 1998. Did markets react efficiently to the 1994 Mexican peso crisis? Evidence from Mexican ADRS, Journal of Multinational Financial Management, 8, 39-48.
Menkhoff, L., 2012. Foreign exchange intervention in emerging markets: A survey of empirical studies, Working paper.
Park, J., 2001. Information flows between non-deliverable forward（NDF）and spot markets: Evidence from Korean currency, Pacific-Basin Finance Journal , 9, 363–377.
Pasquariello, P., 2008. The anatomy of financial crises: Evidence from the emerging ADR market, Journal of International Economics, 76, 193–207.
Pasquariello, P., 2014. Financial market dislocations, The Review of Financial Studies, 27, 1868-1914.
Pattanaik, S. and Sahoo, S., 2003. The effectiveness of intervention in India: an empirical assessment, working paper.
Phillips, P. and Perron, P., 1988. Testing for a unit root in time series regression, Biometrica, 75, 335–346.
Suh, J., 2003. ADRs and U.S. market sentiment, The Journal of Investing, 12, 87–95.
Tapia, M. and Tokman, A., 2004. Effects of foreign exchange intervention under public information: The Chilean case, Economia, 4, 1-42.
‧
國
立 政 治 大 學