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    題名: 相同金融資產在不同交易市場間考慮跳躍風險下之連動關係-以中國公司在美國發行之存託憑證為例
    其他題名: The dynamic relation within abnormal jumping risk of the same financial assets in different stock market : the adrs issued by China public
    作者: 楊啟宏;Yang, Chi-hung
    貢獻者: 淡江大學財務金融學系碩士在職專班
    邱建良;Chiu, Chien-liang;陳玉瓏;Chen, Yu-lung
    關鍵詞: ARJI模型;存託憑證;ARJI Model;ADRs
    日期: 2007
    上傳時間: 2010-01-11 00:50:42 (UTC+8)
    摘要: 本研究以ARJI模型探討中國公司在美國發行之存託憑證ADR之報酬率,是否受到該ADR與現貨標的股票間之報酬率影響,該模型同時將資產報酬率中所發生的市場間斷性不連續跳躍行為納入考慮,以作為反映資產價格行為的真實狀況,整個實證結果整理如下:
    1. 關於模型配置部分,經實證結果後應可認為,以考慮市場上間斷性不連續之跳躍行為所配置之ARJI模型進行研究,應有其必要性。
    2. 經本研究實證後所估計之主要參數B1與B2,顯示大多數之估計參數具有顯著水準,亦即認為ADR之報酬率確實與美國股市大盤報酬率,及前一日之ADR與現貨間之報酬率差有連動關係。
    3. 如當期現貨之報酬率高於前一期ADR之報酬率時,當期之ADR應有正向之報酬關係,故結論建議投資人應可適時加以投資,以期獲致最大報酬。
    This thesis demonstrated the effects of compensation between American Depositary Receipt (ADR) and common stock by Mainland China issued ADRs. In order to reflect the true price of assets, the model also take the market discontinuously jumping behavior occurred from asset returns into account, and the empirical results are stated as following:
    1. The research finding of model choice indicate that further research on ARJI model of consider market discontinuously jumping behavior is essential.
    2. The major variables B1 and B2 used for estimate are adequate and further indicates that there is certain correlation among the return of ADRs, the return on US stock market and the difference between the previous price of ADRs and local stocks price.
    3. If the return of local stock price is higher than previous price of ADRs, there shall be a position correlation to present price of ADRs; therefore it is recommended that investors can use arbitrage to profit from the gap to maximize their returns.
    顯示於類別:[財務金融學系暨研究所] 學位論文

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