美國存託憑證報酬與風險傳遞之研究

Return and Volatility Transmissions between ADRs and the Underlying Factors

本文研究臺灣與日本的美國存託憑證（American Depositary Receipts, ADR）與其相關變數，如標的股股價、S&P 500指數（Standard and Poor’s 500 index）與匯率間報酬與風險的動態傳遞過程，利用向量自我迴歸模型（Vector Autoregression, VAR）、誤差修正模型（Vector Error Correction, VEC）及殘差交叉相關函數（Cross－Correlation Function, CCF）等不同方法進行分析，並比較兩國之間的差異。研究結果發現，臺灣、日本ADR與相關變數在報酬的傳遞上，標的股報酬最能解釋臺灣ADR報酬的變動，而日本則是標的股與ADR自身解釋ADR報酬變動的能力相當。S&P 500報酬對臺灣ADR報酬的解釋能力則明顯高於對日本ADR的解釋能力。在波動外溢效果方面，臺灣ADR與標的股間具有雙向波動外溢效果，日本則是只有標的股報酬波動會影響ADR的報酬波動。日本波動外溢效果期間較臺灣為短，因此日本ADR對資訊反應時間較為迅速。此外，S&P 500與臺灣ADR間的報酬波動關係較S&P 500與日本ADR間密切，顯示日本ADR與美國股市的跨市場避險效果較佳。

We study the process of information transmissions between ADRs (American Depositary Receipts), issued by Taiwanese and Japanese firms, and their underlying factors, which include stock prices, S&P 500 (Standard and Poor’s 500 index) returns , and exchange rates. We employ various empirical methods, such as VAR (Vector Autoregression), VEC (Vector Error Correction), and CCF (Cross-Correlations Function), to examine the process. It is found that returns of the underlying stocks re the most important factors in explaining returns of ADRs and there is a lead-lag relation between them. Returns of S&P 500 are more important in explaining returns of the Taiwanese ADRs than they are in explaining those of the Japanese ADRs. Furthermore, there is a two-way volatility spillover between the Taiwanese ADRS and their underlying stocks, while for the Japanese ADRs, only the changes in volatility of the underlying stocks will transmit to ADRs. The duration of volatility spillovers is shorter in Japan. This shows that information transmissions are faster in the Japanese markerts.