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| Title: | 台灣、香港、大陸股票市場與美國股市間整合度分析─以NYSE上市的ADR為例 |
| Authors: | 潘幸甯 |
| Contributors: | 李桐豪
潘幸甯 |
| Keywords: | 股市整合
隨機折現因子
ADR |
| Date: | 2007 |
| Issue Date: | 2010-12-08 16:12:19 (UTC+8) |
| Abstract: | 本研究以在紐約證券交易所掛牌上市的美國存託憑證(American Depository Receipts；ADR)為研究樣本，運用隨機折現因子(Stochastic Discount Factor；SDF)，檢測台灣、香港、大陸股市與美國股市間的整合程度與發展趨勢。實證研究顯示，在研究樣本期間內，香港股市與美國股市的整合程度最佳，整合程度僅受總體股市股重挫的影響，且整合程度穩定性較高；台灣股市與美國股市整合程度，則隨時間進展，有逐漸改善整合趨勢；相較與台灣香港，大陸股市與美國股市整合程度最差，顯示兩市場間尚未整合。
This paper discusses the application of the stochastic discount factor model to analyze the financial market integration between Taiwan, Hong Kong, China and U.S. stock markets, and to find out their integration trends in the long term. It also discusses the stability of financial market integration by σ- convergence and factors that cause the difference in stochastic discount factors.
The empirical results show that the financial market integration between Hong Kong and U.S. stock market is the best among the three, and the degree of integration is influenced mainly by macroeconomic shocks. On the other hand, the degree of integration between Taiwan and U.S. stock market deteriorate temporarily due to FX rate changes and the issue of new ADR, but it is getting better as time goes by. The integration between China and U.S. stock market is the worst among three, these two markets are basically not integrated yet. |
| Reference: | 張依珠(2004)，企業發行美國存託憑證前後資金成本探討，國立中正大學國際經濟所碩士論文
彭德明(2006)，區域金融整合程度衡量方法之評析，國際金融參考資料，52輯
李哲宇(2006)，美國存託憑證與中國大陸普通股之間的套利:門檻共整合模型的應用，國立東華大學國際經濟研究所碩士論文
吳禮祥(2000)，美國存託憑證的套利與價差交易，國立台灣大學財務金融所碩士論文
周心怡(2004)，拔靴法(Bootstrap)之探討及其應用，中央大學統計研究所碩士論文
Andrew K. Rose (2004), “Equity Integration in Japan: An Application of a New Method ” , Monetary and Economic studies, 22, 2, pp.1-17
Eduardo Levy Yeyati, Sergio L. Schmukler and Neeltje Van Horen(2006), “International Financial Integration Through the Law Of One Price”, Policy Research Working Paper Series, 3897, The World Bank
Hertzel Michael, Lowengrub Paul, Melvin Michael (2000) , “ Information , Announcement , and Listing Effects of ADR Programs and German-U.S. Stock Market Integration”, Multinational Finance Journal , 4(3&4), pp.181-200
John H. Cochrane (2000), “Asset Pricing”, Princeton University Press
Kate Phylaktis and Fabiola Ravazzolo (2002), “Measuring Financial and Economic Integration with Equity Prices In Emerging Markets” , Journal of International Money and Finance, 21, 6, pp. 879-903
Peter N. Smith and Michael R. Wickens (2002), “Asset Pricing with Observable Stochastic Discount Factors”, Discussion Paper in Economic, Department of Economics, University of York
Peter N. Smith, Sorensen S. and Michael R. Wickens (2003), “An Asset Market Integration Test Based on Observable Macroeconomic Stochastic Discount Factors” , Discussion Paper, Department of Economics, University of York
Robert P. Flood and Andrew K. Rose (2005), “Financial Integration: A New Methodology And An Illustration” , Journal of the European Economic Association, 3, 6, pp. 1349-1359 |
| Description: | 碩士
國立政治大學
金融研究所
95352013
96 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0095352013 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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