碩士 / 國立雲林科技大學 / 財務金融系碩士班 / 92 / The paper examines the transmission effects between the returns of underlying shares and their depository receipts of seven cross-listing companies in Taiwan. Using a vector autoregressive(VAR) model with error correction term ,the study discovers the relationships between underlying and DR returns. The empirical results indicate the underlying and DR returns in other countries’ stock markets are fitted to the "Dominant and Satellite Market" rule. "Dominant and Satellite Market" rule means dominant markets have price discovery and satellite markets are only the price information reflections. Using impulse response function and decomposition of forecast error variance, the results are that the underlying markets truly affect DR markets. From the DR markets to underlying markets we found that the more liquid DR markets have more influences than the less ones. The cross affects across different countries’ DR markets are small.
| Identifer | oai:union.ndltd.org:TW/092YUNT5304034 |
| Date | January 2004 |
| Creators | Yi-Chung Lai, 賴以崇 |
| Contributors | Ai-Chi Hsu, 胥愛琦 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 79 |
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