| Summary: | 碩士 === 國立暨南國際大學 === 國際企業學系 === 90 === In order to rise the economic competition of Taiwan, our government devotes to the international and liberalization of financial market and the corporation endeavor to improve the international reputation and financial structure. Under the same consideration, the government adjusts the policy and the enterprises use a lot of financial instruments to raise the capital. Because of rapid and popular of information., more and more focus is on the relation of issuing derivation products in international market and domestic corporations. Of its own characteristics, the true value of American Depositary Receipts related to its underlying stocks and effects of ADR listing on the volatility of underlying stocks are the objectives of this thesis. Followed are several conclusions：First of all, this results show that the close prices of ADRs and underlying stocks are processes of unit root. The returns do not have significant autocorrelation, and the conditional variance is time-varying. Secondly, the return of underlying stocks, are influenced by its lagged return. Finally, the volatility of stock return are influenced by day-of-the-week effect, leverage effect, and the volatility of ADR return.
In summary, the volatility of stock return is significantly influenced by the day-of-the-week effect, which means that the day-of-the-week effect will accumulation and reflect on Monday, the leverage effect, and the returns of ADR. And the return of underlying stocks only influenced by the lagged return. The change of trading volume does not have signification influence though.
|
|---|
