融資券效果對TDR與原股市場的不對稱效果-Threshold-GARCH模型之應用

This study targeted the Taiwan depositary receipts (TDR) and primary listing in HK. The sample period was from May 14, 2009 to December 31, 2010. We applied the Threshold-GARCH model and identified the periods of pre-margin trading and post-margin trading. We would like to evaluate whether the margin trading affects asymmetric relationship to the TDR underlying stocks and primary listing in HK, the two capital markets in terms of return pass effect application, volatility spillovers, bad news vs. good news, and leverage effect. Based on the findings, the chosen Threshold-GARCH model is supported. After margin trading, the effect of pre-TDR significantly increased as well as the unexpected factor of bad news affected the volatility for seven TDRs. There are five TDRs for good news effect increases. Finally, there are five TDRs increases for post margin trading and prior bad news period and seven TDRs increases for prior good news period volatility.