臺灣博碩士論文加值系統

本研究主要目的乃在於分析認購權證發行後，以權證收盤價報酬率、標的收盤價報酬率為主要的衡量指標，利用樣本期間為2013年11月至2015年1月份的台灣50成分股所組成得以及台灣50所組合成分權證的交易資料，探討認購權證的交易活動對標的股票波動性的影響。本研究以追蹤資料線性迴歸模型進行實證分析結果發現:以標的收盤價報酬率及權證收盤價報酬率為主要衡量指標，價內外程度近、一月歷史波動率、近六月歷史波動率、近九月歷史波動率、近十二月歷史波動率、隱含波動率-委賣價、Delta值、理論價、權證漲跌幅在實證結果皆正向顯著影響標的收盤價報酬率及權證收盤價報酬率。從中可發現發行券商在每檔權證的發行條件中間接去影響股票價格之間的波動，將會是投資人投資權證重要的一環。從本文研究之實證結果，使用迴歸的分析，從權證價格與標的股價之關係，更可了解證發行條件如何影響權證價格與標的股價之關係，判斷是否投資，而間接的選擇權證來投資來擴大財務槓桿以及做多空避險操作。

This research is set out to investigate the impacts imposed by the trading of call warrants on the volatility of underlying stocks after the issuance of the former. The measurable indicators here are the warrant returns at closing price and the underlying stock returns at closing price, while the trading materials of Taiwan 50 and the call warrants of Taiwan 50 during November 2013 and January 2015 are used as the samples. According to the results of the positive analysis performed via the tracing data linear regression model, together with the warrant returns at closing price and the underlying stock returns at closing price as the measurable indicators, the degrees of in-the-money and out-of-money are proved to be closer while the positive results concerning the history volatility in January, that of the past six months, that of the last nine months and that of the last twelve months, as well as implied volatility -- ask price, delta value, theoretical price, and warrant price limits are all positively correlated to the warrant returns at closing price and the underlying stock returns at closing price. It is thus discovered that the issuers&;#39; could influence the stock price fluctuations indirectly via the warrant issuance conditions, which will play an important role in the investors&;#39; investment in warrants. With the positive results generated in this paper and an regression analysis starting from the relationship between warrant prices and underlying stocks, it will be further possible to understand the impacts of issuance conditions on the relationship between warrant prices and underlying stock prices, so as to make the investment decisions and choose to invest in warrants in an indirect manner, thus extending the financial leverage and conducting buy long and short sell operations.

摘要.......................................................... ....v
Abstract............................................................vi
第一章 緒論.........................................................1
　　第一節 研究背景.................................................1
第二節 研究動機......... .......................................2
　　第三節 研究目的與假說...........................................3
第四節 論文之架構...............................................7
第二章 文獻探討.....................................................9
第三章 樣本與研究方法..............................................16
　　第一節 樣本選取與資料來源......................................16
第二節 模型設定................................................22
　　第三節 估計流程................................................25
第四章 實證結果與分析..............................................26
　　第一節 權證與券商發行條件定義..................................23
第二節 單跟檢定................................................30
　　第三節 實證模型與變數定義......................................33
第四節 敘述性統計量............................................33
第五節 檢定資料適用之模型......................................37
第六節 權證與標的股價收盤價報酬率因素之估計....................37
第五章 結論與建議..................................................43
　　第一節 結論....................................................43
第二節 建議....................................................45
參考文獻............................................................46
　　中文部份........................................................46
英文部份........................................................46　　　 附錄................................................................49

中文文獻
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2.周行一、李怡宗、李志宏、劉玉珍及陳麗雯(1999)，「台灣證券交易所認購權證價格與標的股票價格關係之研究」，台灣證券交易所提供研究資料及經費補助。
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4.彭美苓(1997)，「備兌型認購權證的發行對台灣現貨股票市場績效之影響」，國立中山大學財務管理所，碩士論文。
5.葉子童(2003)，「個股型認購權證上市對標的股票之影響」，國立雲林科技大學財務金融系碩士班，碩士論文。
6.王毓敏(2004)，「台股認購權證交易對標的股票風險之影響」，台灣金融財務季刊，第5輯，第1期，87-103頁。

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