本研究以台灣與日本ADR為研究標的，以標的股股價、S&P 500指數與匯率為影響ADR價格的相關變數，探討台灣、日本ADR與相關變數間報酬與風險的動態傳遞過程，並比較二國之間的差異。本文以向量自我迴歸模型或誤差修正模型分析ADR與相關變數間報酬之動態傳遞過程，並以殘差交叉相關函數檢定ADR與相關變數在報酬上是否具有領先、落後關係與報酬波動外溢效果。 研究結果發現，台灣、日本ADR與相關變數在報酬的傳遞上，標的股報酬最能解釋台灣與日本ADR報酬的變動。S&P 500報酬對ADR報酬的解釋能力則台灣明顯高於日本，可能的原因是台灣ADR皆為電子業，因此受美國景氣影響較大。二國ADR報酬與標的股報酬之間具有雙向回饋關係，但仍顯示標的股報酬領先ADR報酬；匯率報酬與ADR報酬也具有雙向回饋關係；S&P 500報酬與ADR報酬間則不存在領先落後關係。 波動外溢效果上，台灣ADR與標的股間具有雙向的波動外溢效果，日本則是當天標的股報酬波動會影響較晚開盤的ADR報酬波動，日本波動外溢效果期間較台灣為短，顯示日本的資訊反應時間較為迅速，原因可能是日本市場較具效率。台灣ADR與S&P 500間僅在當天具有波動外溢效果，日本ADR與S&P 500間的波動外溢效果不明顯。二國ADR與匯率間的波動外溢效果皆不明顯。 This thesis explores the ADRs in Taiwan and Japan and examines their return and volatility transmission dynamics with vector autoregressive (VAR) and vector error correction (VEC) models. We find some major differences between Taiwanese and Japanese ADRs Furthermore, the cross-correlation function (CCF) is used to test the causality in variance. The results show that the transmission of the underlying stock return is the strongest reason for the variance of ADRs returns. Compared to Japan, S&P 500 index return has a stronger impact on the Taiwanese ADRs. Besides, there is a two-way feedback relation between ADRs returns and underlying stock returns. However, the latter generally leads the former. Also, exchange rate returns have another two-way feedback with ADRs, but S&P 500 index returns do not exist lead-lag relation with ADR returns. There is volatility spillover effect between Taiwanese ADRs and their underlying stock, and so are Japanese ADRs and their underlying stock. The duration of the spillover effect of Japanese ADRs is not as long as that of Taiwanese ADRs, and the reason might be that the Japanese market is more efficient. Taiwanese ADRs and S&P 500 index have volatility spillover effect on the same calendar day only, and they are not as significant in Japan. Finally, the volatility spillover effects between ADRs and exchange rates are not significant.
