蘇永成博士臺灣大學：財務金融學研究所鄭茵蔓Cheng, Yin-ManYin-ManCheng2007-11-282018-07-092007-11-282018-07-092004http://ntur.lib.ntu.edu.tw//handle/246246/60852本研究主要目的在於實證台灣六支在美國上市的美國存託憑證，包括台積電、聯電、友達、旺宏、矽品以及日月光，其標的股票與存託憑證之動態關係。根據Granger(1969)提出的定義，兩變數間的因果關係可分為獨立、同時影響、單向關係以及回饋關係。Chen & Lee (1990)進一步以多重假設檢定方式來檢驗網狀因果關係，以求更精確判定兩變數的動態關係。 本研究發現，台積電、聯電、友達、日月光等四家公司在紐約證交所發行的美國存託憑證與其標的股票呈現回饋影響關係，而旺宏及矽品在那斯達克上市的存託憑證與其標的股票呈現單向影響關係，有存託憑證價格領先台灣股票價格之趨勢。且由模型觀察，過去的存託憑證報酬與台灣標的股票當其報酬呈現正相關，因此推斷可藉由觀察過去的存託憑證走勢來操作台股獲利。The main objective of this study is to examine the relation between ADRs and Taiwanese stocks is independency, contemporaneous relation, unidirectional relation, or feedback relation, which is defined by Granger (1969). Chen and Lee (1990) provided nested causality tests which apply multiple hypotheses testing procedure to identify the nature of the relationship between two financial series. There are three findings in our study. First, the final result of nested causality tests, feedback relations exist in Taiwan Semiconductor Manufacturing Co., United Microelectronics Corporation, AU Optronics Corporation, and Advanced Semiconductor Engineering Inc as well as unidirectional relations from ADRs to original shares in Macronix International Company Limited and Siliconware Precision Ind., Co. Ltd. as a result of different infrastructure in the NYSE and Nasdaq stock market. Second, in the cases of Macronix International Company Limited, and Siliconware Precision Ind., Co. Ltd. shows a unidirectional relation from ADRs to Taiwanese stocks. It’s plausible that different level of legal restriction, corporate governance, and requirement of foreign exchange, force companies engaged in cross-border listing to keep information transparency. The last is that past return of ADRs, are always significantly positive related to current return of Taiwanese stocks, then we can take this as a investment guide for buying Taiwanese stock by watching past performance of ADRs.CONTENTS Chapter1 Introduction............................... .1 1.1 Motives and Purposes............................ .1 1.2 Framework of the Thesis......................... .4 Chapter2 Overview of Depositary Receipts............ .5 2.1 What are Depositary Receipts? ...................5 2.2 Types of Depositary Receipts ...................6 2.3 How Depositary Receipts Trade? ..................10 2.4 Benefits and Costs of Depositary Receipts....... 12 2.5 DRs Profile in US............................... 14 Chapter3 Literature Review.......................... 16 3.1 Market Segmentation Hypothesis.................. 16 3.2 Investor Recognition Hypothesis................. 18 3.3 Liquidity Hypothesis............................ 19 3.4 Bonding Hypothesis.............................. 21 3.5 Commitment to Disclosure and Corporate Governance Standards (Improve Information Asymmetries)........... 23 3.6 Why Firms Cross List? ...........................25 3.7 Price Discovery................................. 27 3.8 Trade-off between Cost and Benefit of Cross Listing ..............................................29 Chapter4 Data Sources and Sample Description........ 32 4.1 Sources of Data................................. 32 4.2 Sample Description.............................. 32 Chapter5 Methodology................................ 35 5.1 Definition of Granger’s Causal Relation........ 35 5.2 A VAR Test on Dynamic Relations between Variables ..............................................37 5.3. A Multiple Hypotheses Testing Procedure........ 39 Chapter6 Empirical Results.......................... 42 6.1 Empirical Study Procedure of Causality.......... 42 6.2 . Estimates of the Unconstrained VAR Models...... 45 6.3 Multiple Hypotheses Tests....................... 48 Chapter7 Conclusion................................. 50 References............................................ 53 Figures Figure 1 Framework of the Thesis ...................4 Figure 2 Sponsored DRs Issuance Process .........55 Figure 3 DRs Cancellation Process ..................56 Figure 4 DRs Conversions ...........................56 Figure 5 Historical Data of ADRs—Trading Volume, and Trading Value ....................................58 Figure 6 The Distribution of Region Trading Volume in 2002 and 2003 ....................................57 Figure 7 The Distribution of Region Trading Value in 2002 and 2003 ....................................57 Figure 8 Historical data of ADRs—Capital Raised Value .............................................58 Figure 9 Test Flow Chart of a Multiple Hypotheses Testing Procedure (Backward) ..................59 Figure 10 Test Flow Chart of a Multiple Hypotheses Testing Procedure (Forward) ...........................60 Figure 11 The Empirical Study Procedure of Analyzing Causality .........................................44 Figure 12 Daily Return Chart of Our Sample .........61 Tables Table 1 Comparison of All Types of Depositary Receipts .............................................64 Table 2 The Top Ten Countries with New DRs in 2003 & the Ten Most Active Countries in 2003 ..................65 Table 3 Top 25 Capital Raisings Using ADRs in 2003...66 Table 4 Basic Information and Statistics of Sample ..70 Table 5 Dynamic Relations and Parameter Constraints on VAR Structure .....................................67 Table 6 –2×Log Likelihood at Final Estimates Under Unconstrained and Constrained Model ...................68 Table 7 Symbols of Causality Relationships ..........68 Table 8 Likelihood Ratio Test Statistics for the Ten Pairs of Hypotheses ............................69 Table 9 Nested Causal Relations Between ADRs and Original Stocks .....................................69997470 bytesapplication/pdfen-USVAR模型美國存託憑證網狀因果關係Nested causalityVAR modelAmerican Depositary Receiptsthesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/60852/1/ntu-93-R91723016-1.pdf