作者
張光亮^* (國立嘉義大學應用經濟學系)
黃宗佑 (國立中央大學財務金融學系)

Authors
Kuang-Liang Chang^* (Department of Applied Economics, National Chiayi University)
Tsung-Yu Huang (Department of Finance, National Central University)

中文摘要
本文的主要目的是透過很多不同型式之 copula 設定 (包含 Normal、Student’s t、Gumbel、Clayton、Frank 以及三種混合型 copula 模型) 來調查台灣高科技廠商 (台積電、矽品、聯電、日月光、友達) 股票與其美國存託憑證 (American Depositary Recipts, ADRs) 之動態相依性。兩市場間之關聯性是透過尾部相依以及 Kendall’s tau 測度來衡量。實證結果發現，對矽品以及聯電公司而 言，Student’s t copula 函數最適合用來描述美國存託憑證與母公司 股票報酬之動態關聯性。此一結果隱含同一種資產在台灣與美國上市之報酬具有對稱之動態相依性。另外一方面，由 Normal 、 Gumbel、Gumbel-Survival copulas 所構成之混合型設定適合於台積 電、日月光以及友達，顯示現貨與 ADRs 存在非對稱相依結構。不論公司為何，本文發現相依性結構並非固定不變而是隨著時間經過而有所不同。在 2008 年金融海嘯發生期間，Kendall’s tau 以及尾部相依性指標透露出它們之間的相依性出現下跌傾向，此一現象可能與政府對股票市場之干預與管制有關。

Abstract
This paper examines the dynamics interdependence between stock returns of Taiwanese high-technology firms and their American Depository Receipts (ADRs) using a variety of copula specifications. The empirical results find that the Kendall's tau and the tail-dependence measures vary across time, supporting that time-varying specification as being important in describing interdependence between asset returns. The Student's t copula which emphasizes the symmetric dependence is suitable for Siliconware Precision Industries Company (SPIL) and United Microelectronics Corporation (UMC). The mixture copula which emphasizes the asymmetric dependence is suitable for Taiwan Semiconductor Manufacturing Company (TSM), Advanced Semiconductor Engineering Incorporation (ASX) and AU Optronics Corporation (AUO). Furthermore, during the 2008 financial tsunami, the decrease in interdependence can be attributed to the government intervention and control in the stock market.

中文關鍵字
Copula 函數；尾部相依性；Kendall's tau；GARCH 模型；美國存託憑證

Keywords
Copula; Tail-Dependence; Kendall's tau; GARCH; American Depository Receipts