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研究生： 李穆昇
Li, Mu-Sheng
論文名稱： 全球風險分散效果與外匯風險溢酬-美國存託憑證之實證
Global diversification effect and foreign exchange rate risk premium- evidence from ADRs
指導教授： 王澤世
Wang, Tse-Shih
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融研究所
Graduate Institute of Finance
論文出版年： 2006
畢業學年度： 94
語文別： 英文
論文頁數： 46
中文關鍵詞： 美國存託憑證 、國際風險分散 、外匯風險溢酬 、一般化動差法
外文關鍵詞： Generalized method of moments, ADRs, Foreign exchange rate risk premium, International diversification effect
相關次數： 點閱：231  下載：3 
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    • 近十年來，海外跨國投資與金融市場自由化已成為自由經濟體制下之趨勢。國際投資人可透過國際性的資產分配使其投資組合更有效率，跨國企業也不斷地尋求更有利的投資機會與獲取愈低廉的資金。然而，即使在全球經濟自由化的腳步下，各國市場之間或多或少仍存在投資障礙，造成不效率的情形，在此情況下，能夠規避許多投資限制的「美國存託憑證」成為投資人歡迎的投資工具。本研究將以2000年到2004年於美國紐約證券交易所交易的美國存託憑證日資料驗證投資人可否獲取全球風險分散之利益及外匯風險溢酬，由實證結果顯示，本研究之樣本資料支持美國存託憑證可分散美國投資人之投資組合風險及外匯風險溢酬存在。

    International investments and financial liberalization have become a trend in the past decade. International investors can boost the efficiency of their portfolios and multinational companies can research for better opportunities and lower costs globally. However, the frictions across international markets still cause the inefficiency on investments. In this case, American Depository Receipts provide an effective route to diversify globally based on the past researches. As discuss earlier, we examine the existences of international diversification and foreign exchange rate risk premium by using daily data of specific country NYSE-listed ADRs for the period from 2000 to 2004. According to the empirical results, investors do obtain the diversification benefits and the exchange rate risk is priced.

    Contents 1. Introduction 1 2. Literature review 4 2.1 International Asset Pricing Model 4 2.2 Risk Premiums for Cross-listed Securities 5 2.3 International Diversification Effects 8 2.3.1 Diversification Effect of International Investment Portfolios 8 2.3.2 Diversification Effects of ADRs 9 2.4 Market Segmentation and Home Bias Puzzle 9 2.4.1 Influences of Market Segmentation for investors 9 2.4.2 The Influences of Market Segmentation for firms 10 3. Data and Descriptive Statistic 12 4. Methodology 16 4.1 Multiple Factor Models 16 4.1.1 The world market, home market, and US market index risk factors 16 4.1.2 The Model with Foreign Exchange Rate Factor 17 4.2 Unit Root Test 17 4.3 Two-Stage Least Square Estimation 18 4.4 Generalized Method of Moments 20 5. Empirical Results 23 5.1 Tests of International Assets Pricing Model in the Unconditional Form 23 5.2 Risk Premiums in the Conditional IAPM 23 5.2.1 Unit Root Test 24 5.2.2 Two-Stage Least Square Model 25 5.2.3 ADR excess returns regressed on instrumental variables 26 5.2.4 Estimation of Generalized Method of Moments 26 5.3 Comparisons of GMM and TSLS 27 6. Conclusions 36 References 37 Appendix A. Opening and Closing Times of Stock Exchanges in New York Time 41 Appendix B. ADRs issuers 42

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