https://scholars.lib.ntu.edu.tw/handle/123456789/165849
標題: | 國際交叉上市之直接障礙與間接障礙:以因果網及GARCH網檢定市場整合 | 其他標題: | Direct and Indirect Barriers in International Cross-listings | 作者: | 蘇永成 | 公開日期: | 2003 | 出版社: | 臺北市:國立臺灣大學財務金融學系暨研究所 | 摘要: | In this study, we employed a time-varying GARCH model to examine direct and indirect barriers between Taiwan and the United States markets. We find that the volatility spillover effects are significant, especially in the direction of stocks to ADRs. The results indicated that the indirect barriers indeed exist between Taiwanese and the U.S. markets. We attribute indirect barriers to the different accounting standards, different level of corporate government, different level of liquidity, different level of information availability, and the business overlap. The finding is consistent with the finding of Miller (1999). However, we find that Taiwanese stocks are price leaders instead of ADR. We attribute the reason to the liquidity and availability of information of stocks in Taiwan. This is a contradiction of Domowitz, Glen, and Madhavan (1998). They argue that “From the viewpoint of domestic market-makers, there is a positive probability that the price in the foreign market reflects more recent information. This is especially so when trading activity in the ADR market greatly exceeds that of the domestic market so that price discovery essentially takes place abroad. |
URI: | http://ntur.lib.ntu.edu.tw//handle/246246/16280 | 其他識別: | 912416H002041 | Rights: | 國立臺灣大學財務金融學系暨研究所 |
顯示於: | 財務金融學系 |
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912416H002041.pdf | 181.17 kB | Adobe PDF | 檢視/開啟 |
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