臺灣博碩士論文加值系統

此篇論文想要探討放空限制和認售權證之間的關係，我們以台灣權證市場來做實證研究，用認售權證的買賣價差、交易量和隱含波動率等三個面向來做切入，由實證的結果可知，當有放空限制存在的時候，認售權證的價差和交易量會比較大，為了考慮內生性而用兩階段最小平方法做出來的結果也是維持一致，我們認為在有放空限制的情況下，權證市場和現貨市場之間存在一個替代關係，但當股票經歷了從可以平盤以下放空到不可以平盤下放空或從不可以平盤下放空到可以平盤以下放空後的短時間內，此一替代關係並沒有那麼明顯。

We will examine the relationship between short sales ban and put warrants from Taiwan’s warrant market. Our results show that put warrants trading volume and bid-ask spreads are higher when short sales are banned. We also run 2sls regressions to examine the endogeneity problem that arises. However, we find that warrant market can be substituted for underlying market with short sales ban, but this relationship does not hold strong in the short term when the market switches between banning and not banning short selling.

論文審定書……………………………………………………………. i
中文摘要………………………………………………………….….. ....ii
Abstract ………………………………………..……………………… .iii
1. Introduction ………………………………………………………......1
2. Methodology………………………………………………………….4
2.1Calculating Abnormal Returns and Cumulative Abnormal Returns ………...4
2.2How to Calculate Bid-Ask Spreads of Put Warrants………………………5
3. Data Description………...……………………………………………6
4. Empirical……………………………………………………………...8
4.1 The Effect of Short Sales Ban on Put Warrants Trading Volume……………8
4.2 The Effect of Short Sales Ban on Put Warrants Bid-Ask Spreads …………12
4.3 The Effect of Short Sales Ban on Implied Volatility……………………..16
4.4 Simultaneous Determination of Put Warrants Volume and Spreads ……….19
5. Conclusion …………………………………………………………...20
References...…….……………………………………………………....32
Appendix ……………………………………………………………….34

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