台灣存託憑股價指數異常報酬之研究

Study on the Abnormal Return Rates for the TDRs

本研究以台灣存託憑證為研究對象，利用迴歸模式分析存託憑證股價指數是否有異常報酬的現象存在。根據分析結果得知，台灣存託憑證股價指數具有異常報酬的公司有精熙、歐聖、明輝、揚子江、聯環、中泰山、美德醫、泰金寶、新焦點、神州、僑威、華豐泰、超級、巨騰及萬宇科等公司；股價指數無異常報酬的公司有康師傅、聖馬丁、滬安、真明麗、越南控、金衛及偉恩Z－Obee等公司。研究結果發現台灣存託憑證發行上市時，其股價指數有68.18％會發生異常報酬，顯示台灣存託憑證股價指數與半強式的有效市場假說符合。

In this study, we using the regression model analysis the abnormal return rates for the TDRs. The empirical result shows that some companies have abnormal return, such as Yorkey, Oceanus, BHGlobal, Yangzijiang, United Envirotech, China Taisan, Medtecs, Cal-Comp, New Focus Auto Tech, Digital China, Kith, HWA Fong Rubber, Super Group, Ju Teng, Wanyu and so on. Conversely some companies have no abnormal returns, such as Tingyi (Cayman Islands), SandMartin, China Hu An Cable, Neo-Neon, Vietnam Manufacturing and Export Processing, Golden Meditech and Z-OBEE and so on. The result show that the stock price index of TDRs have 68.18% abnormal returns, it's also verify semi-strong form of the efficient market hypothesis.