海外母公司与存托凭证连动效应及投资策略——以台湾地区存托凭证为例

公司海外募集资金发行存托凭证（ DR）是否因市场效率性差异而有不同外溢效果，并衍生不同的套利空间，国际间股价是否具有连动效应，通常都是左右投资决策的重要因素。文章以台湾地区存托凭证为例，针对母公司与DR之间相互股价比值，将准套利操作和ARMA预测模型用于母公司与DR套利平均年报酬进行分析比较。结果表明：准套利操作模式的平均年报酬率均为正，准套利操作策略可在期间内获得高额的报酬且交易次数少，使交易成本降低。

The Linkage Effect and the Investment Strategy between the Overseas Parent Company and the Depositary Receipts---Taking the Depositary Receipts in Taiwan as an Example

Whether a company raising funds by issuing depositary receipts (DR) at abroad has different spillover effects due to the disparity of market efficiency and drives different arbitrage space and whether the stock prices between different countries have linkage effect are always the important factors to affect the decision making of the investors. Taking the depositary receipts in Taiwan as an example, this paper makes analysis and comparison of average annual wages of the arbitrage between a parent company and depositary receipts by the application of quasi arbitrage operation and ARMA Prediction Model according to the stock price ratio of a parent company to depositary receipts, and the results show that the average annual wage ratio is all positive by quasi arbitrage operation mode and that quasi arbitrage strategy can harvest high wage and have less transaction times in the duration to decrease the transaction cost.