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
Other Title
Direct and Indirect Barriers in International Cross-listings
Date Issued
2003
Date
2003
Author(s)
蘇永成
DOI
912416H002041
Abstract
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.
Publisher
臺北市：國立臺灣大學財務金融學系暨研究所
Type
report
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