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    Title: 台灣電子產業海外存託憑證報酬率之匯率風險
    Authors: 聶瑋瑩
    Contributors: 林信助
    聶瑋瑩
    Keywords: 海外存託憑證
    匯率風險
    匯率共變異風險
    GDR
    Dynamic Conditional Correlation Model
    Bivariate GARCH
    Date: 2003
    Issue Date: 2009-09-18 14:09:02 (UTC+8)
    Abstract: 本文選取台灣電子產業發行之11支海外存託憑證(Global Depositary Receipts,GDR)為樣本,其中10支於美國發行、1支於歐盟發行。研究目的分別為國內標的股報酬、存託憑證報酬是否受匯率報酬影響,以及國內、外投資人對匯率風險之看法是否相同。本文選取財務上最常用之估計非線性模型條件共變數之雙變量GARCH(1,1)模型(Bivariate GARCH Model),經過AIC(Akaike Information Criteria)比較、及相關係數是否隨時間而改變之檢定後,得知所有樣本皆適用DCC(1,1)模型(Dynamic Conditional Correlation Model),於估計存託憑證報酬與匯率報酬之條件共變數後,再運用多元迴歸模型,探討實證結果。實證結果顯示國內標的股均存在顯著之匯率風險,存託憑證則多數存在顯著之匯率風險。而國內、外投資人對匯率風險之看法異同方面,宏□、鴻海、茂矽、仁寶、錸德、台積電所發行之海外存託憑證,國內、外投資人對存託憑證、國內標的股匯率風險之看法無顯著不同,可歸因於其較其他存託憑證及標的股國際化。而華邦、智邦、旺宏之海外存託憑證,國內、外投資人對存託憑證匯率風險之看法顯著不同,本文又將匯率風險之來源,歸納為兩部分:一、由標的股產生,可歸因於標的股國際化程度;二、由換匯(foreign exchange)產生,可歸因於匯率變動程度;而華邦、智邦、旺宏實證顯示匯率風險皆由標的股產生,因其於美國或歐盟上市,美元或歐元又為強勢貨幣,故不存在換匯風險。
    Reference: 一、中文部份
    [1]周介華,「海外存託憑證之制度與實證-中鋼GDR之個案分析」,國立中央大學財務管理研究所碩士論文,民國八十一年六月。
    [2]李昭瑩,「海外存託憑證與普通股之間價格傳遞關係:臺灣之實證研究」,國立政治大學財務管理研究所碩士論文,民國八十四年六月。
    [3]施能哲,「海外存託憑證評價模型與套利實證」,國立中正大學財務金融研究所碩士論文,民國八十四年六月。
    [4]臧大年,「台灣企業發行之海外存託憑證套利分析」,國立中正大學財務金融學系,民國八十五年十月。
    [5]沈中華,「海外存託憑證與普通股之間價格傳遞關係-臺灣之實驗研究」,證券市場發展,第十卷第二期,民國八十七年。
    [6]沈中華、邱志豪,「交易成本,GDR與股價的套利--門檻共整合應用」,中國財務學刊,第七卷第二期,民國八十八年八月。
    [7]張世潔,「美股-臺股股價報酬之共移性及海外存託憑證與臺灣原股之報酬波動外移溢效果」,國立臺灣大學國際企業研究所碩士論文,民國八十八年六月。
    [8]顏建銘,「台灣海外存託憑證與其國內對應股票之訊息傳遞效果」,國立政治大學企業管理研究所碩士論文,民國八十八年六月。
    [9]施驊娟,「美國存託憑證及其標的股票訂價之研究」,淡江大學管理科學研究所碩士論文,民國八十九年六月。
    [10]吳淵傑,「台美股市交叉上市資訊傳遞之研究-以台積電、旺宏及福雷電存託憑證為例」,國立臺灣大學商學研究所碩士論文,民國九十年六月。
    [11]洪慶鴻,「美國存託憑證之外溢效果與動態反應分析-以總體經濟變數為實證」,中原大學企業管理研究所碩士論文,民國九十年六月。
    [12]吳昭勳,「美國存託憑證報酬與風險傳遞之研究」,國立中央大學財務金融研究所碩士論文,民國九十年六月。
    [13]吳宗憲,「我國海外存託憑證折溢價因素及價格波動傳遞效果之研究」,銘傳大學經濟學研究所碩士論文,民國九十年六月。
    [14]李俊明,「美國存託憑證與普通股間之互動關係-以台灣電子業為例」,中國文化大學國際企業管理研究所碩士論文,民國九十年六月。
    [15]廖峰儀,「發行海外存託憑證對臺灣上市公司價值之影響」,朝陽科技大學財務金融研究所碩士論文,民國九十一年六月。
    [16]林珮樺,「台灣發行之海外存託憑證、發行公司股價與匯率之波動傳遞效應」,銘傳大學財務金融研究所碩士論文,民國九十一年六月。
    [17]莊奕真,「美國存託憑證的發行對標的證券市場價格波動性的影響」,暨南國際大學國際企業研究所碩士論文,民國九十一年六月。
    [18]傅楷智,「美國存託憑證與標的股價格之動態傳遞關係─非線性MVTAR模型之應用」,國立中正大學國際經濟研究所碩士論文,民國九十一年六月。
    [19]張維敉,「金融危機與風險外溢-DCC模型之應用」,國立中央大學財務金融研究所碩士論文,民國九十一年六月。
    [20]廖秉立,存託憑證價差投資策略模型之設計與評估,東海大學企業管理研究所碩士論文,民國九十一年六月。
    二、英文部份
    [1]Adler, M., and D. Bernard, 1983, “International portfolio choice and corporation finance: asynthesis”, Journal of Finance, 38, 925-984.
    [2]Bollerslev, T., 1986, “A Conditional Heteroskedastic Time Series Model for□Speculative Prices and Rates of Return”, Review of Economics and Statistics, 69, 542-547.
    [3]Bollerslev, T., R. Engle, and J. Wooldridge, 1988, “A Capital Asset Pricing Model with Time Varying Covariance”, Journal of Political Economy, 96, 116-131.
    [4]Bollerslev, T., 1990, “Modelling the Coherence in Short-Run Nominal Exchange□Rates: A Multivariate Generalized ARCH Model”, Review of Economics and Statistics, 72, 498-505.
    [5]Bollerslev, T., R. Chou, and K. Kroner, 1992, “ARCH Modelling in Finance: A Review of the theory and Empirical Evidence”, Journal of Econometrics, 52, 5-59.
    [6]Baba, Y., R. Engle, D. Kraft and K. Kroner, “Multivariate Simultaneous Generalized ARCH”, Unpublished manuscript, University of California-San Diego, 1990.
    [7]Chesney, Marc, J. Robert, M. Dilip, and Y. Hailiang, 1993, “Diffusion coefficient estimation and asset pricing when risk premium and sensitivities are time varying”, Mathematical Finance, 3, 85-99.
    [8]Chou, Y., 1988, “Volatility Persistence and Stock Valuations: Some Empirical□Evidence Using GARCH”, Journal of Applied conometrics, 3, 279-294.
    [9]Dilip, P., 1999, “Return behavior and pricing of American depository receipts”, Journal of International Financial Markets, Institutions and Money, 9, 43-67.
    [10]Engle, R., 1982, “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of the United Kingdom Inflation”, Econometrica, 50, 987-1007.
    [11]Engle, R., and K. Kroner, 1995, “Multivariate Simultaneous Generalized ARCH”, Econometric Theory, 11, 122-150.
    [12]Engle, R., 1999, “Dynamic Conditional Correlation-A simple class of multivariate GARCH models”, Department of Economics, University of California, San Diego.
    [13]Engle, R., and K. Sheppard, 2001, “Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH”, Department of Economics, University of California, San Diego.
    [14] Harvey, R., 1991, “The World Price of Covariance Risk”, Journal of Finance, 111-157
    [15]Ike, M., C. Kimberly, and S. Manohar, 1998, “Did market react efficiently to the 1994 Mexcian peso crisis? Evidence from Mexcian ADRs”, Journal of Multinational Financial Management, 8, 39-48.
    [16]Jorion, P., 1990, “The exchange rate exposure of U.S. multinationals”, Journal of Business, 63, 331-345.
    [17]Lien, D., and X. Luo, 1994, “Multiperiod Hedging in the Presence of Conditional Heteroskedasticity”, Journal of Futures Markets, 14, 927 – 955.
    [18]Lien, D., and Y. Tse, 1998, “Hedging Time-Varying Downside Risk”, Journal of Futures Markets, 18, 705 - 722.
    [19]Longin, F., and B. Solnik, 1995, “Is the Corelation in International Equity Returns Constant: 1960-1990”, Journal of International Money and Finance, 14, 3-26.
    [20]Minho, K., C. Andrew, and M. Ike, 1999, “Price transmission dynamics between ADRs and their underlying foreign securities”, Journal of Banking and Finance, 24, 1359-1382.
    [21]Park, H., and L. Switzer, 1995, “Bivariate GARCH Estimation of the Optimal Hedge Ratios for Stock Index Futures: A Note”, Journal of Futures Markets, 15, 61-67.
    [22]Robert, B., W. Robert, and D. Michael, 1998, “Time-varying beta risk of Australian industry portfolios: a comparison of modeling techniques”, Australian Journal of Management, Vol. 23, 1-22
    [23]Schwert, W., and P. Seguin, 1990, “Heteroscedasticity in stock returns”, Journal of Finance, Vol. 4, 1129-1155
    [24]Seppo, P., 2003, “Monimuuttujaiset volatiliteettimallit”, manuscript, www.uwasa.fi/~sjp/Teaching/mvs/lectures/mvsc1.pdf
    [25]Taek, K., C. Sung, and M. Jae, 2003, “Do foreign investors price foreign exchange risk differently than local investors? Evidence from American depository receipts”, Department of International Commerce, Yosu National University.
    [26]Tse, K., 2000, “A test for constant correlations in a multivariate GARCH model”, Journal of Econometric, 98, 107-127
    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    91351038
    92
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0091351038
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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