本研究探討台灣上市母公司與其於中國 A 股市場掛牌子公司之間是否存在違反單一價格法則（Law of One Price）之價格偏離現象。本文依據 Owen A. Lamont 與 Richard H. Thaler（2003）提出之剝離後剩餘價值（stub value）分析架構，以 26 組台灣上市母公司與中國上市子公司配對為研究對象，衡量跨市場價格偏離程度。研究結果顯示，其中 11 組樣本於觀察期間出現負剝離後剩餘價值，顯示母公司市值低於其持有之中國上市子公司股權價值，明顯違反單一價格法則。但依據負剝離後剩餘價值建立之傳統套利策略（買進母公司並放空中國上市子公司）未能產生正向報酬。其中，中國 A 股市場之限售股解禁所造成之股本供給衝擊可解釋部分價格偏離。實證結果也顯示，台灣市場報酬、中國市場報酬及匯率變動皆對母子公司相對報酬具有顯著影響，支持市場所在地效果與跨市場分割之存在。此外，負剝離後剩餘價值較常出現在中國上市子公司價值相對於母公司市值較高之樣本中。

This study investigates whether price deviations that violate the Law of One Price exist between Taiwanese listed parent companies and their subsidiaries listed on China's A-share market. Using the stub value framework proposed by Owen A. Lamont and Richard H. Thaler (2003), this study examines 26 pairs of Taiwanese listed parent companies and Chinese listed subsidiaries to measure the extent of cross-market price deviations. The empirical results show that 11 of the 26 sample pairs exhibit negative stub values during the sample period, indicating that the market capitalization of the Taiwanese parent company is lower than the value of its ownership stake in the Chinese listed subsidiary. This finding represents a clear violation of the Law of One Price. However, the conventional arbitrage strategy based on negative stub values—buying the parent company and short selling the Chinese listed subsidiary—fails to generate positive returns. Part of the observed price deviation can be explained by share supply shocks resulting from the expiration of lock-up restrictions in China's A-share market. In addition, the empirical results indicate that returns in the Taiwanese market, returns in the Chinese market, and exchange rate fluctuations all have statistically significant effects on the relative returns between parent and subsidiary companies, supporting the existence of the location-of-trade effect and cross-market segmentation. Furthermore, negative stub values are more likely to occur when the value of the Chinese listed subsidiary is large relative to the market capitalization of the Taiwanese parent company.

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