碩士 / 輔仁大學 / 金融研究所 / 90 / In recent years, seeing that Taiwan opens its door to foreign portfolio quickly, and many companies raise capital in the United States by issuing American Depositary Receipts (ADR), many scholars are interested in the degree of market integration between Taiwan and the United States. The purpose of this paper is to observe whether the degree of market integration would increase with the popularity of ADR in Taiwan.
We start with the model developed by Errunza and Losq(1985). The postulated market structure --- labeled “mildly segmented” ---leads to the existence of “super” risk premium for a subset of securities and to a breakdown of the standard separation result.
The empirical results show that only the ADR issued by TSMC contribute to the degree of market integration between Taiwan and the United States, but the ADR issued by UMC don’t. We infer three possible reasons. First, the degree of market integration between Taiwan and the United States already vary with time. Second, the volume of circulation influences the liquidity and the conditional covariance. Finally, the higher the percentage of the securities owned by foreign portfolio investment, the more eligible the securities. Thus the super risk premium of UMC didn’t decrease.
| Identifer | oai:union.ndltd.org:TW/090FJU00214006 |
| Date | January 2002 |
| Creators | Chien-Huang Yu, 游千慧 |
| Contributors | Shang-Chi Gong, Tsung-Pei Lee, 龔尚智, 李宗培 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 46 |
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