存託憑證操作模式之個案分析

Abstract

在全球資訊發達的自由經濟體中，熱錢的流竄幾乎是無所遁形的，所以2008年由美國次級房貸所引發的金融海嘯影響了全世界的經濟體，與其說金融業受創最深，倒不如說投資人才是最大的受害者。當時很多衍生性商品及共同基金因為流動性不足或資金抽離太快而導致商品被強迫清算甚至失去價值；更有許多歐美的金融業公司債因此付不出債券利息，而有違約的危機，造成債券價格非常低落。經歷此金融海嘯的風暴後，投資人更了解投資金融商品不再只是重視可能的報酬，對於商品本身的風險更應該多加重視。 因此，本文想要研究的方向是針對海外存託證這項商品，討論如何可以在風險極小的的情況下，利用存託憑證與現股的套利交易，賺取兩者間的價差。並以個案分析的方式，分別討論臺股台積電普通股與其ADR間的套利機會、臺股綠能普通股與其GDR間的套利機會，以及港股康師傅普通股與其TDR間的套利機會。 研究結果發現，即使普通股與其海外存託憑證兩者間存在價差，也不一定能夠操作套利交易，原因在於兩者在不同的國家掛牌即有兩邊不同的法令限制或其他條件限制，都會導致套利交易無法實現；但只要套利交易的限制解除了，現股及海外存託憑證的價差也會逐漸趨近，進而失去套利空間。

It is apparent that Hot Money has been moving around free economies in the developed world nowadays. Besides, the subprime mortgage meltdown in the U.S. led to the global financial crisis in 2008. For both aforementioned matters, the victims are actually the investors rather than financial institutions. During the crisis, many derivative financial products and mutual funds were settled or even led to enormous loss because of illiquidity or prompt redemption. Vast financial corporations in America and Europe therefore could not afford to pay their bond interest and hence faced the default crisis which resulted in the extremely low value of the bonds. After the Financial Tsunami, the investors have realized that risks should be taken into account in addition to the rewards of financial products. This paper will study how to profit from the price spread between the depository receipts and common stock via the practice of arbitrage with minimum risk with a focus on the depository receipt in particular. Then three case studies will be conducted about the arbitrage opportunity between the Depository Receipt and the Common Stock, including Taiwan common stock Taiwan Semiconductor Manufacturing Company (TSMC) and ADR, Taiwan common stock green energy technology and GDR, as well as Tingyi (Cayman Islands) Holding Corp., a Hong Kong invested corporation, and TDR. The conclusion of this paper is that even if the common stock and the depository receipt have a spread, arbitrage trading is not always workable due to the differences in laws and regulations between two different countries. Once the differences are settled, the common stock’s price is close to that of the depository receipt, Therefore there will be no arbitrage opportunities anyway.