在本文中，我們嘗試使用OLS來測試會影響匯率超額報酬的因素是否為一線性相關，另外我們也使用VAR以及VECM來測試ADR變數之間的相互關係。在OLS中我們發現對大部分國家而言，外國權益市場的溢酬上升會導致該國家的匯率貶值；在VAR以及VECM我們則採用了三種檢定方法來檢測ADR變數之間的關係，在格蘭傑因果關係中，我們發現新興國家的所有因子皆受到前期影響，另外所有選取國家的股價皆受到ADR價格的影響、在衝擊反應函數中，台灣及墨西哥的變數反應並不一致，法國及澳洲的股價對於ADR之影響則隨期間拉長而上升，表示股價對於ADR價格有正向影響，香港的ADR及股價則都受到匯率影響、最後在變異數分解中，ADR對所有選取國家皆為最外顯的因子，另外匯率除了可以受到其自身解釋之外也可受到ADR一定比例的解釋，表示ADR也具有影響匯率的可能。

In this thesis, we extend Wang’s (2016) working paper by using OLS to test what factors may affect excess exchange rate return, and by using VAR (value at risk) and the VECM (Vector Error Correction Model), we test the relationships among variables that may affect American depository receipts (ADRs). In OLS, we find that for most countries, increases in foreign equity markets causes depreciation of foreign currencies. In VAR and VECM, we use three methods to test the relationship among variables that may affect ADRs, where the Granger causality indicates that all the prices in emerging countries are affected by prior factors, and the dynamics of stock price are affected by the ADR price, which suggests that stock price is affected by ADR price regardless of whether the selected countries are emerging or developed countries. In the impulse function, we find that in Taiwan and Mexico, the variable response is not consistent; in Australia and France, the response of ADR price to stock price increases as the time period increases, which means the stock price creates a positive shock to ADR price, and Hong Kong’s ADR price and stock price are both positively affected by the exchange rate. In the variance decomposition, the ADR is the most exogenous variable for all of the countries under consideration; second, the underlying shares are affected by ADRs, and finally, the exchange rate is not only explained by its own innovations but also by ADRs for every country, which means the exchange rate may be affected by ADRs.

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