English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 49195/83607 (59%)
造訪人次 : 7092529      線上人數 : 43
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜尋範圍 查詢小技巧:
  • 您可在西文檢索詞彙前後加上"雙引號",以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋,建議至進階搜尋限定作者欄位,可獲得較完整資料
  • 進階搜尋
    請使用永久網址來引用或連結此文件: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31533


    題名: 美國存託憑證與其標的股之價量資訊動態傳遞研究- ARJI-Trend模型的應用
    其他題名: Dynamic information transmission analysis for price and volume between adrs and the underlying stocks
    作者: 徐銥琦;Hsu, Yi-chi
    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
    關鍵詞: 美國存託憑證;卡爾曼濾嘴模型;ARJI-Trend模型;量先價行;ADR;Kalman filter model;ARJI-Trend model;Quantify first price line
    日期: 2007
    上傳時間: 2010-01-11 00:52:26 (UTC+8)
    摘要: 本文以台積電、聯電、日月光、友達及中華電等五家在紐約證交所(NYSE)掛牌交易的ADR為標的,以卡爾曼濾嘴(Kalman filter)將交易金額區隔出預期與非預期兩個部分,另外,結合Engle and Lee(1993)將條件變異數分解成恆常成份與短暫成份,及Chan and Maheu(2002)所設定的條件跳躍強度模型,運用ARJI-Trend 模型,來研究ADR之日報酬率可能產生之隨時間改變的條件波動率、要素因子(component factor)及跳躍等現象。
    實證結果發現,1.標的股與ADR之間,只要資訊充分傳遞,兩者報酬率呈正向且顯著的變動。2.標的股成交金額的變動率會先反映異常資訊,隨即衝擊標的股的報酬率,進而再影響ADR的報酬率,顯示量先價行。3.條件變異數並非固定不變,而是隨著時間改變。4.在條件變異數中的確存在恆常要素與短暫要素,而且短暫要素的衝擊效果明顯大於恆常要素,顯然在沒有漲跌停限制的ADR次級交易市場中,一旦面臨異常資訊的衝擊時,短期股價報酬之反應較長期來得劇烈。5.當條件變異數中的短暫要素發生較大變化時,跳躍頻率也會隨之增加,因此,恆常要素可以代表條件變異數的趨勢,而短暫要素則是股價報酬發生跳躍的重要因素。
    有別於以往的研究,ADR與標的股之間不僅有價格的傳遞關係,更有量與價的資訊傳遞關係,這可以提供投資人在金融資產價格的評價及交易時,有不同的思考,對於未來有關資訊傳遞研究也提供了一個新的方向。
    In this paper, we apply a ARJI-Trend model, which combining component model and ARJI model, proposed by Engle and Lee (1993) and Chan and Maheu (2002), to study the relationship of information transmission between ADR and underlying stocks and estimate the permanent and transitory factors of volatility. Five ADRs are examined in this study, including TSM, UMC, ASX, AUO, and CHT. Furthermore, the Kalman filter model is used to distinguish the trading amount rate of change into expected and unexpected rate of change, for assessing the degree of information and noise shocks. It is capable of examining whether ADR have different responses to the information in underlying stock market by observing the variations of underlying stock’s trading volume. The empirical result shows that the both shock of information and noise have response to the return of ADR by underlying stock’s volume and exists the phenomenon of “Quantity first price line”. It is also found that both permanent and transitory components of the conditional variance really exist and the shock of the temporary component of conditional variance is larger than the permanent component. Because there is no limit up or down in ADR’s secondary market, the temporary shock of stock return is larger than the permanent shock.
    顯示於類別:[財務金融學系暨研究所] 學位論文

    文件中的檔案:

    檔案 大小格式瀏覽次數
    0KbUnknown209檢視/開啟

    在機構典藏中所有的資料項目都受到原著作權保護.

    TAIR相關文章

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - 回饋