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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31763

    Title: 美國存託憑證與標的股票非對稱調整關係探討 : 以金磚四國為例
    Other Titles: The asymmetric adjustment relationships between the American depositary receipts and the underlying stocks : evidence from BRICs
    Authors: 李智祥;Li, Chih-hsiang
    Contributors: 淡江大學財務金融學系碩士班
    聶建中;Neih, Chien-chung
    Keywords: 非對稱門檻共整合模型;區間修正速度差異;回饋效果;Asymmetric Threshold Co-integration Model;Difference of Regime Correction Speed;Feedback Effect
    Date: 2006
    Issue Date: 2010-01-11 01:13:33 (UTC+8)
    Abstract: 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。
    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.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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