碩士 / 銘傳大學 / 國際企業學系碩士班 / 97 / This study investigates the liquidity effect in asset pricing by studying the liquidity–discount relationship between American Depository Receipts (ADRs) and their underlying stocks, through the cross-listing firms both in American and Taiwan/Hong-Kong markets. Especially, Chinese samples are the listed firms which are listed in Hong-Kong market to be underlying shanghai A stock and in American market at the same time. The martin index and turnover ratio as proxies for liquidity are used in this study. On the other hand, this study also examines if the price discounting of ADRs result from firm size and the variable of expected exchange rate, using Panel Data analysis. The data are adapted from Yahoo Finance web site and TEJ database during November 2003 to February 2009.
The result shows that the price discounting of ADRs is affected by liquidity, firm size and expected exchange rate. Moreover, there are different effects among different areas due to institutional or industrial aspects.
| Identifer | oai:union.ndltd.org:TW/097MCU05321023 |
| Date | January 2009 |
| Creators | Wei-Shing Lin, 林韋勳 |
| Contributors | Pei-Gi Shu, Meijui Sun, 許培基, 孫梅瑞 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 94 |
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