Dynamic price transmission between ADRs and underlying security : the case of Taiwan, China, Japan and Korea / 吳世杰 吳世杰、梁晉嘉

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Dynamic price transmission between ADRs and underlying security : the case of Taiwan, China, Japan and Korea / 吳世杰

吳世杰、梁晉嘉

E-mail: 352421@mail.dyu.edu.tw

ABSTRACT

In this paper, we study the dynamic price transmissions between ADRs (American Depositary Receipts), issued by Taiwanese, Chinese, Japanese and Korean firms, and their underlying security. We utilize the Mean Group (MG) and Pooled Mean Group (PMG) estimator by Pesaran et all (1999). This is estimated in a dynamic panel model, where the long-run parameters of interest are restricted across the panel but the short-run dynamics are estimated without restriction for each individual of the panel, it is more efficient.And the Hausman test reveals statistics not reject the null hypothesis of the long–run homogeneity for each individual. The use of the PMG estimator seems to be more appropriate than the MG estimator for our target.The results obtained from the PMG estimator suggest stock price is positively correlated with ADRs. As can be seen, the signs of the long run coefficients obtained from the PMG estimator appear to be in line with the theoretical expectations.

Keywords : Underlying Security、ADRs、Pooled Mean Group (PMG)、Mean Group (MG)、Hausman test Table of Contents

第一章 緒論

第一節 研究背景與動機 第二節 研究目的 第三節 研究架構與流程 第二章 文獻探討

第一節 美國存託憑證之介紹 第二節 美國存託憑證價格因素 第三節 美國存託憑證套利與報酬傳遞 第三章 研究方法

第一節 Panel單根檢定

第二節 混合均值群組與均值群組估計 第四章 實證結果分析

第一節 資料來源與說明 第二節 實證模型建立 第三節 實證結果分析 第五章 結 論 參考文獻 REFERENCES

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