本研究利用非對稱門檻共整合模型來探討金磚四國公司之美國存託憑證與標的股票價格互動關係。 實證結果發現，研究樣本之美國存託憑證與標的股票價格皆存在共整合關係，顯示兩者在長期而言具有亦步亦趨之型態。在共整合關係存在門檻效果之下，當長期均衡偏離產生極端變動時，會呈現較快的偏離調整速度，即具有區間差異性調整效果。此外，本研究亦得到大部分的美國存託憑證與標的股票報酬率具有非對稱之誤差修正效果。當偏離變動情況是處於極端區間時，將會有較為快速的誤差修正過程。以上發現顯示出在考慮到交易成本與其他相關費用之下，當長期均衡關係呈現極端偏離變動時，伴隨產生之幅度較高的套利利潤將會吸引市場投資者的參與交易，並縮短偏離持續時間。 最後，存託憑證與標的股票普遍具有雙向之非預期衝擊外溢效果與波動外溢效果，而長期與短期因果關係亦存在回饋效果，顯示市場區隔現象並不顯著存在。 This study investigates the interactive relationships between American depositary receipts (ADRs) and underlying stocks of companies in BRICs by employing the asymmetric threshold co-integration model. The empirical results indicate that there are co-integration relationships between ADRs and their underlying stocks of all examples, and it shows that they have co-movement trends in the long term. When there are threshold effects in the co-integration relationships, the adjustment speed of deviations will be faster with radical variations of long-run equilibrium deviations. Furthermore, most return ratios of ADRs or stocks also have asymmetric error correction effects. Quicker error correction processes will operate as the variations of error correction terms are in the extreme regime. We conclude from the findings that when the transaction costs or other expenses are considered, more arbitrage profits will attract the market investors to participate in the security trade when there are radical variations of long-run equilibrium deviations, and that will shorten the persistent time of deviations. Finally, both ADRs and underlying stocks have bidirectional shock spillover effects and volatility spillover ones. It also shows that long-run and short-run feedback causality relationships exist between ADRs and underlying stocks which reveal the insignificant phenomenon of market segmentation.
