The transmission of pricing information on the ADRs and their underlying stocks

[[abstract]]本研究以台灣、日本、南韓和香港四個國家的標的股和ADR為研究標的，探討ADR與標的股之間，價格與報酬率和相關變數間的關係，以及各國美國存託憑證是否有價格傳遞的存在，並比較各國間的差異。 本論文使用WPC及OLS模型分析，經由研究結果發現台灣發行之美國存託憑證當日的日內價格漲跌幅，對標的股隔日開盤價格漲跌的貢獻，不論是在全期間或宣告日及落後一期，皆高於標的股當日的日內價格漲跌幅，對美國存託憑證隔日開盤時價格漲跌幅的貢獻；就台灣而言，實證結果發現台灣發行的美國存託憑證對於標的股而言具有價格發現的能力，此結論與其他三個國家相反。在影響價格發現因素中，台灣在溢價率及相對交易量兩變數為全顯著和部分顯著，且係數皆為正值，表示此兩因素有助於提高ADR的價格發現，其餘三個國家則較不顯著。[[abstract]]This thesis uses the Weighted price contribution and ordinary least squares model. The results indicate that day price fluctuation of Taiwan ADRs affect on specific next day opening stock prices, and the fluctuation of full, declared and backward day are higher than the current day of stock price. There exists the transmission of pricing information on the ADRs and their underlying stocks in Taiwan contrary to the other countries. The rate of premium and relative trading volume had significantly and positive coefficient in Taiwan . It’s means that this two factors raising the transmission of pricing information on the ADRs in Taiwan rather than the other countries.[[note]]碩