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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31533

    Title: 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
    Other Titles: Dynamic information transmission analysis for price and volume between adrs and the underlying stocks
    Authors: 徐銥琦;Hsu, Yi-chi
    Contributors: 淡江大學財務金融學系碩士在職專班
    邱建良;Chiu, Chien-liang
    Keywords: 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
    Date: 2007
    Issue Date: 2010-01-11 00:52:26 (UTC+8)
    Abstract: 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。
    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.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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