题名

美國存託憑證與母國股票報酬間之動態關連性－極端尾部相依性以及Kendall's tau之研究

并列篇名

The Dynamics Interdependence between the Stock Returns of Taiwanese High-Technology Firms and Their ADRs-Evidence from the Extreme Tail-Dependence and Kendall's tau Measures

DOI

10.29765/TEI.201107.0004

作者

張光亮(Kuang-Liang Chang)；黃宗佑(Tsung-Yu Huang)

关键词

Copula函數 ； 尾部相依性 ； Kendall's tau ； GARCH模型 ； 美國存託憑證 ； Copula ； Tail-Dependence ； Kendall's tau ； GARCH ； American Depository Receipts

期刊名称

經濟研究

卷期/出版年月

47卷2期（2011 / 07 / 31）

页次

305 - 356

内容语文

繁體中文
中文摘要

本文的主要目的是透過很多不同型式之copula設定（包含Normal、Student's t、Gumbel、Clayton、Frank以及三種混合型copula模型）來調查台灣高科技廠商（台積電、矽品、聯電、日月光、友達）股票與其美國存託憑證(American Depositary Recipts, ADRs)之動態相依性。兩市場間之關聯性是透過尾部相依以及Kendall' s tau測度來衡量。實證結果發現，對矽品以及聯電公司而言，Student's t copula函數最適合用來描述美國存託憑證與母公司股票報酬之動態關聯性。此一結果隱含同一種資產在台灣與美國上市之報酬具有對稱之動態相依性。另外一方面，由Normal、Gumbel、Gumbel-Survival copulas所構成之混合型設定適合於台積電、日月光以及友達，顯示現貨與ADRs存在非對稱相依結構。不論公司爲何，本文發現相依性結構並非固定不變而是隨著時間經過而有所不同。在2008年金融海嘯發生期間，Kendall's tau以及尾部相依性指標透露出它們之間的相依性出現下跌傾向，此一現象可能與政府對股票市場之干預與管制有關。
英文摘要

This paper examines the dynamics interdependence between stock returns of Taiwanese high-technology firms and their American Depository Receipts (ADRs) using a variety of copula specifications. The empirical results find that the Kendall's tau and the tail-dependence measures vary across time, supporting that time-varying specification as being important in describing interdependence between asset returns. The Student's t copula which emphasizes the symmetric dependence is suitable for Siliconware Precision Industries Company (SPIL) and United Microelectronics Corporation (UMC). The mixture copula which emphasizes the asymmetric dependence is suitable for Taiwan Semiconductor Manufacturing Company (TSM), Advanced Semiconductor Engineering Incorporation (ASX) and AU Optronics Corporation (AUO). Furthermore, during the 2008 financial tsunami, the decrease in interdependence can be attributed to the government intervention and control in the stock market.
主题分类 社會科學 > 經濟學
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