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文献详情 >金融风暴与货币风险对国际市场連结之影响效果 以美国存托凭证与... 收藏
金融风暴与货币风险对国际市场連结之影响效果 以美国存托凭证与...

金融风暴与货币风险对国际市场連结之影响效果 以美国存托凭证与原股为例

The Effects of Financial Crisis and Currency Risk on International Market Linkage:Some Evidence from ADRs and Their Underlying Stocks

作     者:凌維君 

作者单位:中兴大学 

作者专业:财务金融学系所

授予单位:中兴大学

授予年度:2007年

页      码:P1-59页

主      题:國際市場連結 美國存託憑證 共整合 金融風暴 匯率波動性 

摘      要:Long-run convergence evidenced by cointegration suggests that if price movement of ADR and the underlying share diverges, market forces will act to eliminate the gap. The dynamics of the ADR portfolios can well be influenced by the deviation from the long-run relationship, or specifically, the error terms in the cointegration equation. Therefore, we examine the long run relationship of stock price between ADRs and their respective underlying securities particularly in emerging markets, especially those countries experience the financial crisis in this decade. We employ the EC terms as proxies for the amount of information generated by individual equity markets and add dummy variables to capture the effect of financial crisis and exchange rate volatility to the long-run equilibrium relationship between ADRs market and underlying stocks market. Resolving the value discrepancies by adjustment in prices of foreign equities become stronger during the financial crisis period, however, become weaker by adjustment in prices of ADRs. The results also demonstrate that high exchange rate volatility will improve the market forces to eliminate the gap of same-day price movement of ADR and the underlying share diverges by adjustment in prices of foreign equities. On the contrary, low exchange rate volatility will improve the market forces to eliminate the gap of one-day lag price movement of ADR and the underlying share diverges by adjustment in prices of ADRs.

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