愈來愈多公司選擇發行美國存託憑證籌資並賺取多角化利潤，這是美國存託憑證交易量的快速成長的證據之一。我們運用共整合檢定及誤差修正模型來研究美國存託憑證、標的股價指數及美國股價指數間長期均衡關係，除了瞭解美國存託憑證是否可以做為標的股票的代替品之外，並探索美國存託憑證的報酬行為。實證結果隱含長期而言，美國存託憑證可做為標的股票的代替品。
　　在我們的分析中，由美國存託憑證標的股市所產生的資訊相對於美國股市而言，更能影響美國存託憑證的評價。這與之前許多學者的研究一致，這些學者認為在美國存託憑證定價上，標的股市扮演一個主導的角色。同時，我們的研究結果顯示在德國、義大利及荷蘭，美國股價指數報酬波動、標的股價指數報酬波動及美國與股的股價指數報酬波動的共變數都會影響美國存託憑證，而共變數相較於股價指數報酬波動更能解釋美國存託憑證的報酬行為。

　　The dramatic growth rate of ADRs trading volume has been the evidence that increasing companies have chosen to use ADRs as a financial instrument for raising equity and pursue　diversification benefits. We employ cointegration test and error-correction model to examine the long-run relationship between ADRs, underlying stock market index, and U.S. stock market index, investigate that whether ADRs are competent substitutes for foreign equities, and explore the return behaviors of ADRs. The　results imply that ADRs are substitutes for corresponding stocks in the long run.
　　In our analysis, the mean spillover coefficients suggest a large impact of domestic index on the U.S. index. Namely, information generated from domestic market contributes more in ADRs valuation than from U.S. market. The finding is consistent with prior studies in that domestic market plays a dominant role on ADRs prices relative to the U.S. market. Our empirical results suggest that in Germany, Italy, and Netherlands, U.S. index return volatilities, domestic market index return volatilities, and covariance between U.S. and domestic market indices returns affect the return volatilities of ADRs. More important, the covariance between two markets contributes more in ADRs returns behavior.

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