近幾年台灣存託憑證在台灣蓬勃發展，而使得存託憑證相關之議題受到了市場投資人的關注，由於存託憑證與原標的資產代表著相同企業的價值，所以先探討台灣存託憑證與其所表彰之原標的股票之間的價格關係是否穩定。
另外，目前台灣證券市場所流通的存託憑證皆與原股存在著價差，以市場區隔的角度切入來討論造成價格差異的原因，其中包含了流動性因素、供需差異因素、資訊不對稱、股價操縱因素皆對折溢價幅度有影響性，而在市場走勢這部份，台灣指數的影響力較顯著，甚至散戶參與台灣存託憑證的程度也顯著地影響折溢價幅度。
最後，在考慮交易成本的情況下，分別探討目前市場上流通的台灣存託憑證折價或溢價發生時，市場是否會存在套利機會；而研究結果發現，當台灣存託憑證處於折價時，市場確實存在套利機會；若改以隔日開盤價格來作為交易價格時，雖然市場上仍會存在超額報酬，只是其套利報酬明顯低於以當日收盤價來作為交易價格之報酬。

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.

論文審定書
中文摘要 i
英文摘要 ii
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究問題 6
第三節 研究目的 6
第四節 研究架構 7
第二章 文獻探討 8
第一節 股票價格傳遞波動效果 8
第二節 市場區隔概論與相關文獻 9
第三節 存託憑證價差存在之因素 11
第四節 存託憑證價差套利之實證 14
第五節 文獻總結 15
第三章 研究方法 16
第一節 台灣存託憑證與原股價格相關性分析 16
第二節 折溢價幅度影響因素之探討 17
第三節 存託憑證折溢價之套利策略 25
第四章 實證結果 30
第一節 台灣存託憑證與原股價格相關性分析 30
第二節 折溢價因素分析 34
第三節 折溢價套利策略 38
第四節 價差交易策略之探討 51
第五章 結論與建議 61
第一節 研究結論與限制 61
第二節 研究建議 64
參考文獻 66

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