本研究利用非對稱門檻共整合模型來探討金磚四國公司之美國存託憑證與標的股票價格互動關係。
實證結果發現，研究樣本之美國存託憑證與標的股票價格皆存在共整合關係，顯示兩者在長期而言具有亦步亦趨之型態。在共整合關係存在門檻效果之下，當長期均衡偏離產生極端變動時，會呈現較快的偏離調整速度，即具有區間差異性調整效果。此外，本研究亦得到大部分的美國存託憑證與標的股票報酬率具有非對稱之誤差修正效果。當偏離變動情況是處於極端區間時，將會有較為快速的誤差修正過程。以上發現顯示出在考慮到交易成本與其他相關費用之下，當長期均衡關係呈現極端偏離變動時，伴隨產生之幅度較高的套利利潤將會吸引市場投資者的參與交易，並縮短偏離持續時間。
最後，存託憑證與標的股票普遍具有雙向之非預期衝擊外溢效果與波動外溢效果，而長期與短期因果關係亦存在回饋效果，顯示市場區隔現象並不顯著存在。

This study investigates the interactive relationships between American depositary receipts (ADRs) and underlying stocks of companies in BRICs by employing the asymmetric threshold co-integration model.   
The empirical results indicate that there are co-integration relationships between ADRs and their underlying stocks of all examples, and it shows that they have co-movement trends in the long term. When there are threshold effects in the co-integration relationships, the adjustment speed of deviations will be faster with radical variations of long-run equilibrium deviations. Furthermore, most return ratios of ADRs or stocks also have asymmetric error correction effects. Quicker error correction processes will operate as the variations of error correction terms are in the extreme regime. We conclude from the findings that when the transaction costs or other expenses are considered, more arbitrage profits will attract the market investors to participate in the security trade when there are radical variations of long-run equilibrium deviations, and that will shorten the persistent time of deviations.   
Finally, both ADRs and underlying stocks have bidirectional shock spillover effects and volatility spillover ones. It also shows that long-run and short-run feedback causality relationships exist between ADRs and underlying stocks which reveal the insignificant phenomenon of market segmentation.

目錄
第一章 緒論	1
第一節 研究動機	1
第二節 研究目的	3
第三節 研究流程	4
第二章 文獻探討	6
第三章 研究方法與模型設定	20
第一節 研究方法探討	20
第二節 實證模型設定	33
第四章 實證分析	37
第一節 研究資料分析	37
第二節 單根檢定	41
第三節 門檻共整合檢定	45
第四節 對稱與非對稱誤差修正模型診斷	49
第五節 非對稱誤差修正模型之估計	51
第六節 GARCH(1,1)對稱與非對稱誤差修正模型估計與診斷	53
第七節 長期與短期因果關係檢定	67
第五章 結論	69
參考文獻	71
附錄	78

表次目錄
【表 2 - 1】相關文獻分類整理	18
【表 4 - 1】樣本基本統計量	40
【表 4 - 2】巴西與俄羅斯樣本單根檢定結果	42
【表 4 - 3】印度與中國樣本單根檢定結果	43
【表 4 - 4】四國樣本KSS非線性單根檢定結果	44
【表 4 - 5】巴西與俄羅斯門檻共整合檢定結果表	47
【表 4 - 6】印度與中國門檻共整合檢定結果表	48
【表 4 - 7】殘差值之MTAR模型均數復歸區間調整速度比較	48
【表 4 - 8】對稱與非對稱誤差修正模型診斷	50
【表 4 - 9】MTL(俄羅斯)與TOM(中國)之非對稱誤差修正模型估計結果	52
【表 4 - 10】巴西GARCH(1,1)誤差修正模型估計結果—平均數方程式	55
【表 4 - 11】巴西GARCH(1,1)誤差修正模型估計結果—變異數方程式	56
【表 4 - 12】俄羅斯GARCH(1,1)誤差修正模型估計結果—平均數方程式	58
【表 4 - 13】俄羅斯GARCH(1,1)誤差修正模型估計結果—變異數方程式	59
【表 4 - 14】印度GARCH(1,1)誤差修正模型估計結果—平均數方程式	61
【表 4 - 15】印度GARCH(1,1)誤差修正模型估計結果—變異數方程式	62
【表 4 - 16】中國GARCH(1,1)誤差修正模型估計結果—平均數方程式	63
【表 4 - 17】中國GARCH(1,1)誤差修正模型估計結果—變異數方程式	64
【表 4 - 18】GARCH(1,1)對稱與非對稱誤差修正模型診斷	65
【表 4 - 19】標的股票與存託憑證報酬率區間修正調整速度比較	66
【表 4 - 20】標的股票與存託憑證長期與短期因果關係檢定	68

圖次目錄
【圖 1 - 1】美國存託憑證年度成交量與成交值	2
【圖 1 - 2】研究流程圖	5
【圖 3 - 1】實證流程圖	36
【圖 4 - 1】巴西研究樣本標的股票與美國存託憑證價格走勢圖	38
【圖 4 - 2】俄羅斯研究樣本標的股票與美國存託憑證價格走勢圖	38
【圖 4 - 3】印度研究樣本標的股票與美國存託憑證價格走勢圖	39
【圖 4 - 4】中國研究樣本標的股票與美國存託憑證價格走勢圖	39

一、	中文部份
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沈中華與陳建福，2003，「B股開放政策對中國大陸股票市場效率性有影響嗎? 不對稱門檻共整合模型的應用」，財務金融學刊，11卷3期：頁89-119。
傅楷智，2003，美國存託憑證與標的股價格之動態傳遞關係-非線性MVTAR模型之應用，國立中正大學國際經濟研究所未出版之碩士論文。
鄭茵蔓，2004，美國存託憑證與其標的股票網狀因果關係之研究，國立臺灣大學財務金融學研究所未出版之碩士論文。

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