A Study of the Information Content of Issuing Global Depositary Receipt on the Taiwan Stock Exchange

• Main Authors: MEN CHUN WU, 吳敏娟
• Other Authors: Chun-Mei Ma
• Format: Others
• Language: zh-TW
• Published: 1999
• Online Access: http://ndltd.ncl.edu.tw/handle/46373849439867163837

碩士 === 東吳大學 === 會計學系 === 87 === This study attempts to examine the information content of issuing Global Depositary Receipt (GDR) on the Taiwan Stock Exchange from January 1,1991 to October 31, 1998. In the first part of empirical test, utilizing event study to investigate the announcement effects; applying the method of OLS to presume the coefficients of the market model, but has to use the method of GARCH if ARCH effect is found. In order to account CAR precisely, trying to use Boehmer, Musumeci & Poulsen’s (1991) standardized cross-sectional method. This paper obtains more instructive inference in term of the announcement effects by building multiple regression model according to four variables: “company scales”, “market situation”, “company performance” and “the value of growth opportunities”. The empirical results are as follows: 1. The events of issuing GDR have positive announcement effects. 2. In the cross sectional regression analysis, “market situation” is not significant. 3. The proxy variable of “the value of growth opportunities”, the ratio of earning to price has been found positive relationship more than the proxy variables of “company performance” during non-distinguish market situation. 4. During down markets, the Taiwan Stock Exchange significantly exits negative scales outcome and positive relationship between the value of growth opportunities and the announcement effects. 5. During up markets, the proxy variables of “company performance” have been found positive relationship but the ratio of earning to price is the most significant variable in explaining the announcement effects.