| Summary: | 碩士 === 國立暨南國際大學 === 財務金融學系 === 95 === There is a large number of studies on the dynamic interaction between the prices of American depository receipts(ADR) and their underlying stocks, but only few focus on the implication of the information of their trading volume. This paper extends the prior researches to examine the dynamic price-volume relationship of, and spillover effect on, ADR and underlying stocks in five emerging countries and four developed countries. Evidence shows that trading volume possesses leading position of a certain degree, especially ADR trading volume. The arrival of information of trading volume takes place during the overnight in ADR market, which is the overnight and daytime in underlying market. Return of daytime and overnight possess leading position of trading volume of cross market.
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