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    题名: 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
    The Transmission Between GDRs and Its Underlying Stocks : The Case of Taiwan
    作者: 李昭瑩
    Li, Zhao-Ying
    贡献者: 沈中華
    Shen, Zhong-Hua
    李昭瑩
    Li, Zhao-Ying
    关键词: 海外存託憑證
    普通股
    傳遞關係
    GDR
    transmission
    日期: 1996
    上传时间: 2016-04-28 11:52:04 (UTC+8)
    摘要: 本文之主要研究目的在探討不同市場間價格傳遞的關係，為了避免傳 統上利用不同國家股價指數進行研究，所可能產生的異質性問題，本文藉由表彰資產相同、而在不同地區進行交易的證券進行分析；而根據台灣資本市場的現況，我們利用普通股與海外存託憑證在國內、外的價格關係來進行實證研究。實證模型分別考慮價格或報酬間，與報酬波動間的傳遞效果，以及此二證券間之價差對該因果關係的影響。
    參考文獻: 一、中文部份
    周介華，“海外存託憑證之制度與實證-中銅GDR 之個案分析"中央大學財務管理研究所未出版之碩士論文，民國八十二年六月
    黃勇富，“存託憑證之研究"政治大學國際貿易研究所未出版之碩士論文，民國八十三年六月
    黃晁晨，“投資銀行承銷海外存託憑證之行銷實務研究"，台灣屯大學國際企業研究所未出版之碩士論文，民國八十三年六月
    張珍鳳，“美國總體經濟消息宣告對亞洲股市影響之研究研究戶所未出版之碩士論文，民國八十四年六月
    經濟部八十二年度研究發展報告，“發行海外存託憑證實務之探討民國八十二年
    劉仲宙，“台灣地區發行海外存託憑證對標的股票價格變動之研究”，政治大學
    企業管理研究所未出版之碩士論文，民國八十四年六月
    蔡祖銘，“台灣發行之海外存託憑證價格行為反應之研究"政治大學企業管理
    研究所未出版之碩士論文，民國八十三年六月
    二、外文部份
    Aggarwal, R. and YS. Park ` 1994 ,"The Relationship between Daily U.S. and Japanese Equity Prices : Evidence from Spot versus Futures Markets" , Journal of Banking and Finance ` Vol. l 8 ` 757-773
    K. and Y1. Cheung , 1993 ```International Spillovers and Volatility Asynunetrics : Evidence on the Hong Kong Equity Market" , Working Paper
    Becker, K.G., IE. Finnerty, and M. Gupta` 1990 ` "The Inteltemporal Relation between the U.S. and Japan Stock Markets", Journal of Finance ` Vol.XLV ` No.4 ` 1297-1306
    Campbell, I Y and 1. Hentschel ` 1992 ,"No News is Good News-An Asymmetric Model of Changing Volatility in Stock Retums" , Journal of Financial Economics ` Vol.3 ` 281 -318
    Cheung, C.S. and c. y Kwan ` 1992 ,"ANote on the Transmission of Public Infomlation across International Stock Markets" , Journal of Banking and Finance ` Vol.16 ` 831-837
    Engle, R.F., T. Ito, and W.1. Lin ` 1990 ,"Meteor Showers or Heat Waves ? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market" , Econometrica ` Vol.58 ` No.3 ` 525-542
    Engle, R.F. and VK. Ng , 1993 ,"Measuring and Testing the Impact of News on Volatility" , Journal of Finance ` Vo1.XLVIII ` No.5 ` 1749-1778
    Eun, C.S. and S. Shim ` 1989 ```International Transmission of Stock Market Ivlovements" , Journal of Financial and Quantitative Analysis ` Vo1.24 ` No.2 ` 241-256
    Gatbade, K.D. and VV1. Silber ` 1979 ,"Dominant and Satellite Markets : A Study of Dually-Traded Securities`" The Review of Economics and StatisNcs ` VoL 61 ` 455-460
    Glosten,L. R. , R. Jagannathan, and D.E. Runkle ` 1993, "On the Relation between the Expected Value and the Volatility of the Nominal Excess Returns on Stocks" , Journal of Finance ` Vo1.XLVrn ` No.5 ` 1779-1801
    Hamao, Y, RW Masulis, and V Ng , 1990 ,"Correlations in Price Changes and Volatility across Interantional Stock Markets", The Review of Financial Studies ` Vol.3 ` No.2 ` 281-307
    Harris, FR., T.H. Mclnish, G.L. Shoesmith, and P.A. Wood 1995 "Cointegration, Error Correction, and Price DiscovelY on Informationally Linked SecUlity Markets" , Journal of Financial and Quantitative Analysis ` Vo1.30 ` No.4 ` 563-578
    Hasbrouck, J.` 1995 ,"One Security, Many Markets : Determining the ContTibutions to Price Discovery" , Journal of Finance ` Vo1.L ` No.4 ` 1175-1199
    Hilliard, IE., 1979 ,"The Relationship between Equity Indices on World Exchanges`" Journal of Finance 34 ` 103-114
    Jang, H. ` 1993, "International Transmission of Stock Market Price : The Case of Multiple-Listed Stocks" , Ph.D Dissertation of University of maryland Karolyi, G.A.` 1995 ,"A Iv1ultivariate GARCH Model of International
    Transmissions of Stock Returns and Volatility : The Case of the United States and Canada" , Journal of Bussiness and Economic Statistics ` Vol.13 ` No.1 ` 11 -25
    King, M.A. and S. Wadhwani ` 1990 ```Transmission of Volatility between Stock Markets", The Review of Financial Studies ` Vol.3 ` No.1 ` 5-33
    Lau, S. T. and J.D. Diltz ` 1994 ```Stock Retums and the Transfer of Information between the New York and Tokyo Stock Exchange" , Journal of International MoneyandFinance ` Vol.13 ` No.2` 211-222
    Lin, A. and C.H. Shen ` 1996 ,"International Money Market Integration : An Application of GARCE Model With Consideration of Missing Data" ,中山管理科學期刊，1995
    Longin, F. and B. Solnik ` 1995 ,"Is the Con-elation in International Equity Returns constant : 1960-1990 ?" , Journal of International Money and Finance ` Vol.14 ` No.1 ` 3-26
    Newmark, D., P.A. Tinsley, and S. Tosini ` 1991 ```After-Hours Stock Prices and Post-Crash Hangovers" , Journal of Finance `Vol.XLVI` No.1` 159-178
    Solnik, B.` 1988 ```Intemational Investment`" Addison-Wesley Publishing Company, Inc.
    Su and Tsai ,"Volatility and Retw`n Spillovers among Asian Emerging lv1mkets" , 證券市場發展季利第8卷第1期，民國八十五年一月
    Susmel, P.A. and R.F. Engle ` 1994 ,"Hourly Volatility Spillovers betv1ieen Intemational Equity Markets", Journal of International Money and Finance ` Vol.13 ` 3-25
    Wei, K.C., Y1. Liu, c.c. Yang, and O.S. Chaung , ]995 ,"Volatility and Price Changes Spillover Effects across the Developed and Emerging Markets" , Pacific -Basin Finance Journal ` Vo1.3 ` 113-136
    描述: 碩士
    國立政治大學
    財務管理研究所
    83357002
    資料來源: http://thesis.lib.nccu.edu.tw/record/#B2002002991
    数据类型: thesis
    显示于类别:[財務管理學系] 學位論文

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