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研究生：	陳緹珍 Chen, T-Chen
論文名稱：	ADR的價格行為:價格傳導過程,風險特質,與國際化風險分散效果 The Return Behavior of ADRs:Price Transmissiopn Mechanism,Risk,and Global Diversification
指導教授：	王澤世 Wang, Alan T.
學位類別：	碩士 Master
系所名稱：	管理學院 - 會計學系 Department of Accountancy
論文出版年：	2005
畢業學年度：	93
語文別：	英文
論文頁數：	78
中文關鍵詞：	美國存託憑證、價格傳導機制、國際化風險分散
外文關鍵詞：	price transmission mechanism, ADR, global diversification
相關次數：	點閱：145 下載：0
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　　ADR為美國存託憑證，由於其具備與基底國外股票相類似的風險特質且其投資成本相對於直接投資國外股票較為低廉，銀而廣受美國投資人歡迎。基於此，本文旨在探討下列主題﹕第一，就長期投資的觀點而言，美國存託憑證是否能用以取代國外基底股票，而二者對彼此影響力的相對大小為何。第二，來自美國存託憑證評價因子的訊息能否有效率地傳達到美國存託憑證市場，而所考慮的各個評價因子對美國存託憑證報酬率影響力的相對大小為何。第三，以 Dumas&Solnik(1995)的模型來驗證ADR的報酬率是否顯著地反應了匯率風險及其是否能做為國際化風險分散的投資工具。

　　實證結果顯示﹕第一，ADR與國外基底股票之間存在長期均衡關係，因而就長期投資的觀點來看，美國存託憑證可用以取代國外基底股票；此外，美國存託憑證與國外基底股票間的相互影響力並不均等，國外基底股票的影響力超過ADR。第二，ADR對各個評價因子的反應在訊息發生當期便已完全，顯示ADR市場具備高度效率性，且基底股票對ADR報酬率的影響最為重大。第三，檢測 Dumas & Solnik (1995) 模型的結果顯示，匯率、S&P500 Index、World Index皆對ADR報酬率產生顯著影響，顯示美國投資人可以ADR做為國際化風險分散的投資工具且基於其time-varying的風險特質，應以動態的資產配置策略為宜。

　ADRs are negotiable certificates,which represent the ownership of foreign corporations and are traded in the U.S stock market. As a potential alternative to direct investment in foreign stocks,ADRs have become popular tools for international diversification. In our paper,we focus on the price transmission mechanism amongst the ADR and it’s pricing factors as well as the global diversification effect of ADRs. Specifically,three topics are examined in our paper﹕

　First,we examine ADRs’ substitutability for foreign stocks and evaluate the relative significance of information generated from the U.S and the underlying equity markets. Second,we investigate the informational efficiency between the markets for the ADR and it’s pricing factors. Third,we investigate the global diversification effect and the significance of foreign exchange risk premiums in the ADR pricing by Dumas and Solnik’s framework (1995) in which the risk premiums are time-varying. We extend Dumas and Solnik’s model and incorporate S&P 500 Index into the pricing equation to investigate whether the foreign markets have significant impact on the ADR pricing when the influence of U.S market is also accounted for.

　For the first topic of our study,we find that ADRs can substitute for the underlying shares and the information from underlying markets contributes more to the portfolio valuation than the U.S market in most of the cases considered in our empirical analysis. The empirical results for the second part of our study show that the ADR’s responses to various shocks are completed on the same day when the shocks occur,which implies that the ADR market is highly efficient in processing international news. Besides,it appears that the underlying share have significant impact on the ADR pricing while the exchange rates just play a trivial role in it. The empirical results for the third part of our study show that when the pricing model includes only the risk premiums on Pound,Euro,and world index,all of the three independent variables are significantly priced. Besides,we find that when the risk premium on S&P 500 Index is added to the pricing equation,the risk premiums on exchange rates and world index are also significantly priced,which implies that the ADRs originating from the eight countries considered in our analysis provide global diversification benefits for the U.S investors.

                        Contents

1. Introduction 1

2. Literature Review 6
   2.1 Tests of ICAPM 6
   2.2 International diversification 8
   2.3 Dynamic linkages between national stock 
       markets 10

3. Data 12

4. Methodology 14
   4.1 Examining the cointegrating relationship
       between ADRs and underlying foreign 
       securities 14
   4.2 Examining the dynamics of the price 
       transmission between ADRs and the three 
       pricing factors﹕underlying stocks,foreign
       exchange rates,S&P 500 Index 17
   4.3 Examining the risk characteristics and the 
       global diversification effect of ADRs 21

5. Empirical results 27
   5.1 Cointegration analysis 27
   5.2 VAR analysis 39
   5.3 Empirical tests on International Asset 
       Pricing Model 62

6. Conclusion 70

Reference 72

Appendix A Opening and Closing Times of Major
           Stock Exchanges in New York Time 75

Appendix B List of ADR issues included in each
           country-specific portfolio 76

                   Table Contents

Table 1 Unit root tests for underlying stock and
        ADR portfolios 27

Table 2 Conintegration test results 28

Table 3 Error-correction models 33

Table 4 The relative importance of information
        originating from the ADR and  underlying
        market 38

Table 5 Augmented Dicky-Fuller unit root tests 39

Table 6 Decomposition of 5-day ahead forecast 
        error variance 41

Table 7 Average impulse responses of British ADR
        portfolio to a unit shock in each pricing 
        factor 58

Table 8 Average impulse responses of Netherlands
        ADR portfolio to a unit shock in each 
        pricing factor 58

Table 9 Average impulse responses of Taiwanese
        ADR portfolio to a unit shock in each 
        pricing factor 59

Table 10 Average impulse responses of Finland ADR
         portfolio to a unit shock in each 
         pricing factor 59

Table 11 Average impulse responses of French ADR 
         portfolio to a unit shock in each 
         pricing factor 60

Table 12 Average impulse responses of Brazilian 
         ADR portfolio to a unit shock in each
         pricing factor 60

Table 13 Average impulse responses of German ADR 
         portfolio to a unit shock in each 
         pricing factor 61

Table 14 Average impulse responses of Mexican ADR 
         portfolio to a unit shock in each 
         pricing factor 61

Table 15 Estimates of International Asset Parity
         Conditions 62

Table 16 ADR excess returns regressed on 
         instrumental variables 66

Table 17 GMM estimation of the conditional 
         international asset pricing model﹕Using
         risk premiums on Euro,Pound and MSCI 
         world Index as independent variables 67

Table 18 GMM estimation of the conditional 
         international asset pricing model﹕Using
         risk premiums on Euro,S&P 500 and MSCI 
         world Index as independent vriables 68

Table 19 GMM estimation of the conditional 
         international asset pricing model﹕Using
         risk premiums on British Pound,S&P 500 
         Index and MSCI world Index as 
         independent variables 69

                 Figure Contents

Figure 1 Average impulse responses of ADR 
         portfolios to a unit of currency shock 
         for each country 44

Figure 2 Average impulse responses of ADR 
         portfolios to a unit of shock in 
         underlying stock portfolios for each 
         country 53

Figure 3 Average impulse responses of ADR 
         portfolios to a unit of shock in S&P 500
         Index for each country 56

Figure 4 Average impulse responses of British ADR 
         portfolio to a unit shock in each 
         pricing factor 59

Figure 5 Average impulse responses of Netherland 
         ADR portfolio to a unit shock in each 
         pricing factor 59

Figure 6 Average impulse responses of Taiwanese 
         ADR portfolio to a unit shock in each 
         pricing factor 60

Figure 7 Average impulse responses of Finnish ADR
         portfolio to a unit shock in each 
         pricing factor 60

Figure 8 Average impulse responses of French ADR
         portfolio to a unit shock in each 
         pricing factor 61

Figure 9 Average impulse responses of Brazilian 
         ADR portfolio to a unit shock in each 
         pricing factor 61

Figure 10 Average impulse responses of German ADR
          portfolio to a unit shock in each
          pricing factor 62

Figure 11 Average impulse responses of Mexican 
          ADR portfolio to a unit shock in each 
          pricing factor 62

                                    

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