臺灣博碩士論文加值系統

本研究探討在台灣發行的認購(售)權證的價格誤差之原因，資料期間為2010年到2016年，並使用台灣加權股票指數作為標的股票。我們發現誤價的現象符合Shleifer and Vishny (1997)的套利限制理論與Hong, Scheinkman and Xiong (2006)的資產浮動理論，所以本研究使用流動性與週轉率當作控制變數。Li and Zhang(2011)解釋香港的權證和選擇權價格之差，是基於流動性的不同。而本研究使用台灣加權股價指數的權證和選擇權資料，發現其價格之差是由於權證存在著放空的限制，在不同的看法(Different in opinion)下，投資人心中的價格都不相同，且權證有賣空限制，想要悲觀的投資人無法放空，所以將使得權證價格高於合理價格，造成權證價格的波動，使得誤價擴大。本研究觀察隱含波動、成交量、剩餘期間與權證收盤價在不同的情況下，影響誤價之效果。結果發現在投資人不同的看法下，隱含波動率與價格誤差呈現正相關，使得價格有所波動，而導致價格誤差。剩餘期間與收盤價也大致與誤價呈現正相關，唯有在認售權證的剩餘期間一到三個月時，收盤價呈負相關，在五個月以上時剩餘期間呈現負相關。而成交量大的時候，價格能較快反應在權證價格上，使得誤差效果降低，而本研究的結果發現認購權證成交量與誤價呈現負相關，符合此預期。

This paper explores the reasons for the mispricing of warrant traded in Taiwan market. The data period is from 2010 to 2016, and we use Taiwan exchange stock index as the underlying stock. We found mispricing phenomenon is consistent with the theory of arbitrage (Shleifer and Vishny, 1997) and the theory of asset float (Hong.Scheinkman and Xiong, 2006), so we use liquidity and turnover in this study as the control of independent variables. Li and Zhang (2011) explain that the difference between the price of warrants and options in Hong Kong is based on the difference in liquidity. The data of paper uses Taiwan stock exchange index warrants and options. We found that the mispricing is partly due to the short sales constraint of warrants. Since difference in opinion and short sales constraint can make warrants prices higher than the fundamental price, the level of mispricing increases in volatility and warrants maturity. This study observes the effect of implied volatility, trading volume, maturity and the closing price of warrants with mispricing. The implied volatility is negatively correlated with the mispricing, increase which shows that when the difference in option of the investors make the price derivate. The time to maturity and the closing price are also positively correlated with the mispricing. We also found that the closing price was negatively correlated with the mispricing when the time to maturity of the put warrants are one to three months, and time to maturity is negative correlation with mispricing in more than five months. When the trading volume is high, the price can react quickly on the price of warrants, reduced the mispricing, and the results of this study found that the warrants trading volume was negatively correlated with this expectation.

第一章、 緒論 1
第一節、 研究動機 1
第二節、 研究目的 4
第二章、 文獻探討 6
第一節、 放空限制 6
第二節、 權證誤價 6
第三節、 流動性 7
第四節、 週轉率 7
第三章、 研究方法 8
第一節、 資料篩選 8
第二節、 變數選取與定義 9
第三節、 模型設定 11
第四章、 實證研究 12
第一節、 研究樣本與資料來源 12
第二節、 敘述統計 12
第三節、 相關性檢定 13
第四節、 認購權證的價格誤差(簡單迴歸) 15
第五節、 認購權證的價格誤差(剩餘期間分組) 16
第六節、 認售權證的價格誤差(簡單迴歸) 17
第七節、 認售權證的價格誤差(剩餘期間分組) 18
第八節、 認購與認售權證的價格誤差(價內外) 19
第五章、 結論 21
第六章、 參考文獻 22

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