論文提要內容： 由於存在交易成本等因素，使得美國存託憑證（ADRs）與標的股票間以非線性的方式調整至均衡。本文以Teräsvirta（1994）所提出的平滑轉換自我迴歸模型（smooth transition autoregressive model, STAR model）針對台灣六檔在美國紐約證交所（NYSE）與那斯達克（NASDAQ）掛牌交易的ADRs為標的，分別為台積電、聯電、日月光、友達、矽品及中華電信，來檢測ADRs與標的股票間之動態調整過程的關係。實證結果發現，六檔在（NYSE）與那斯達克（NASDAQ）掛牌交易的ADRs與標的股票間，除了日月光外；其他五檔的ADRs與標的股票間皆呈現非線性調整過程。因此當價格偏離均衡價格時，其動態調整過程存在非線性之調整特性。希冀本研究可提供投資人在投資存託憑證及其台股現貨時之參考依據，並對市場的價格調整之機制有更深入的了解。 Abstract： Because of factors such as transaction costs, the prices of ADRs and their underlying shares converge within a non-linear framework. This paper selected the STAR（smooth transition autoregressive）model, proposed by Teräsvirta（1994）to model the convergence. We used the STAR model and a sample of 6 dually listed shares（listed in Taiwan and on the NYSE and NASDAQ）to investigate the convergence between the prices of ADRs and the prices of the Taiwanese-traded shares. These 6 dually listed shares are TSM, UMC, ASX, SPIL, AUO and CHT. We found that the convergence of the ADRs and their underlying shares was non- linear except for ASX. Because the market is imperfect, it exhibits non-linear convergence, where the actual price deviates from price parity. In this study we offer investors in ADRs and their underlying shares information and knowledge about the market price convergence of ADRs and their underlying shares.
