| Summary: | 碩士 === 國立東華大學 === 國際經濟研究所 === 95 === With increasing of capital demand and globalized investment, scholars start to focus
on analyzing the connection of the financial markets. The article uses the daily stock
prices for fifteen Chinese companies which are dually listed in the HKSE as H-shares and
in the NYSE as ADR. We use ARCH test and CCC test to verify the applicability of the
Engle’s GARCH-DCC model. Our empirical results find the return series for dual-listed
stocks exhibit autocorrelation, conditional heteroscedaticity and the conditional correlation
is not constant over time. The article employs the bivariate GARCH model with
dynamic conditional correlation, proposed by Engle (2002), to analyze price transmission
between common share listed in Chinese stock marekt and its ADR. The evidence find
most companies exist the bidirectional transmission in terms of returns, the information
transmission from underlying market to the ADR market exists only for few companies.
The impact of underlying market is positive but the impact of ADR market is negative
for all dual-listed stocks. Therefore, the impact of underlying market on ADR market is
more significant. In terms of volatility spillover, there exits a bidirectional spillover effect
for all dual-listed stocks. This implies that the volatility in ADR or underlying markets
have a significant impact on each market, but there exists a less influence from market
self. No matter what the impact from underlying market or ADR market are positive.
However the volatility in the ADR market have more significant influence on the volatility
in the underlying market. Finally, concerning the market correlation, the dynamic conditional
correlation between the dual-listed stocks between the adjacent periods is mutually
influence significantly, but have no significant impact on standardized residuals. And the
dynamic conditional correlation coefficients between underlying market and ADR market
are highly volatile.
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