Title page for etd-0724112-225322


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URN etd-0724112-225322
Author Yueh-Chin Chou
Author's Email Address No Public.
Statistics This thesis had been viewed 5571 times. Download 646 times.
Department Finance
Year 2011
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title The Arbitrage Opportunities between Taiwan Depositary Receipt and Underlying Stocks.
Date of Defense 2012-06-13
Page Count 75
Keyword
  • TDR
  • transaction cost
  • arbitrage opportunity
  • information asymmetry
  • price spread
  • Abstract The issue of depositary receipt gets more attention in investors in recent year because of the explosion of Taiwan Depositary Receipt (hereafter, TDR) in Taiwan. The depositary receipts should equal to the value of primary listing stocks because they are represent the same value to a company. Therefore, we would discuss the price relationship between TDR and the primary listing stock it represents at first.
    In addition, because all the TDRs in Taiwan have the price spread (i.e. the price difference between TDRs and the primary listing stocks) with its original stocks, we discuss what the reasons to cause the price spread from a point of market segment. And we find it is because of liquidity, demand, information asymmetry, and stock price manipulation to lead to the price spread. After we takes market emotion into account, the market index has significant influence on price spread and individual investors also have a large influence on price spread.
    Finally, we try to find that whether the market has the arbitrage opportunity from the price spread after we consider the transaction cost. And the result shows that when TDR is in discount, it really has the arbitrage opportunity in market after we use the close price as the transaction price. Furthermore, if we use the open price in the next day as the transaction price, it still has excess return in market, but the profit will be lower than the strategy using the close price as the transaction price.
    Advisory Committee
  • none - chair
  • none - co-chair
  • none - advisor
  • Files
  • etd-0724112-225322.pdf
  • Indicate in-campus at 5 year and off-campus access at 5 year.
    Date of Submission 2012-07-24

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