海外存託憑證與標的股：匯率門檻變動下之日內訊息傳遞研究

A Further Investigation of Dynamic Information Transmission between DRs and Their Underlying Stocks with Exchange Rate Threshold Effects

10.6545/JFS.2010.18(3).4

王凱立(Kai-Li Wang)；李昭蓉(Jau-Rong Li)；蕭孟柔(Meng-Jou Hsiao)

存託憑證 ； 標的股 ； 匯率門檻 ； 隔夜報酬 ； 日間報酬 ； DCC-GARCH模型 ； DRs ； Underlying securities ； Exchange rate threshold ； Daytime returns ； Overnight returns ； DCC-GARCH model

財務金融學刊

18卷3期（2010 / 09 / 30）

93 - 130

繁體中文

本文以台灣發行海外存託憑證之上市電子公司為對象，探討國內標的股與其海外存託憑證之訊息傳導機制。研究發現，海內外市場之日內資訊具顯著訊息傳導機制，由國內標的股扮演訊息主導角色。同時發現，匯率門檻變動會改變海內外市場傳導結構，其中以法人參與熱絡之台積電與聯電影響最為顯著。就波動傳導方面，自身市場開盤之隔夜報酬衝擊對於當日之日間報酬波動，存在明顯訊息衝擊不對稱反應；而前一交易日盤中之日間報酬衝擊程度加大，亦明顯提升自身市場隔日開盤之隔夜報酬波動幅度；最後，標的股下跌對存託憑證市場呈現明顯訊息外溢效果，說明將跨市場波動不對稱傳導納入考量的重要性。

This paper investigates the transmission of stock price information between the underlying Taiwan stocks and their DRs's markets by using daytime and overnight returns. We extend previous researches by considering the asymmetric thresholds of exchange rate shocks and the error-correcting processes. The empirical results indicate there exists a significant bi-direction return transmission between the domestic stocks and its DRs in the overnight and daytime process. The underlying stocks play a more considerable role in disclosing information and pricing discovery to DR markets. The asymmetric thresholds of exchange rate reaction are profoundly found in the return transmission mechanism, suggesting the benefit in allowing the asymmetric exchange rate responses toward the interactions across markets. What worth noticing is when the disequilibrium between local and foreign markets occurs, it relies on both markets acting in an adjusting role to restore the market equilibrium, suggesting that error correction process provides a better description to explain the adjustment process between DRs and their underlying stocks. In addition, a significant bidirectional relationship is found in volatility transmissions between overnight returns and daytime returns. Furthermore, the crossmarket volatility transmission of daily returns from underlying stocks to foreign DR markets is more evident than vice versa.

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