臺灣博碩士論文加值系統

有關認購(售)權證的籌碼分析，國內已有諸多的市場研究與分析；不過受限資訊揭露的限制而大多著重在認購(售)權證發行是否會對標的股票價格造成影響，鮮少著重在投資人交易認購(售)權證後直接影響標的價格之關係。因此本次論文著重在2015年8月31日起，主管機關針對自營商買賣超區分自行買賣與避險買賣後，揭露之證券自營商買賣超(避險)張數所帶來的資訊傳遞效果；期望透過自營商買賣超(避險)張數所直接反映之認購(售)權證籌碼力道，進一步探討是否與連結標的之股價產生群聚效應、回饋交易、串流及群聚動量效應等行為。


本研究透過樣本期間的資料取得，將自營商買賣超(避險)張數與相對應之股價報酬率進行群聚效應模型、回饋交易及串流模型、群聚與報酬率動量模型之分析；亦運用Granger因果檢測來檢測自營商買賣超(避險)張數的改變是否會影響標的股價報酬率，抑或標的股價報酬率是否會影響自營商買賣超(避險)張數。此外透過事件研究法來檢視自營商買賣超(避險)張數出現異常交易量時，後續股價是否有平均異常報酬或平均累積異常報酬出現的可能。


實證結果發現，上櫃公司的自營商買賣超(避險)張數與標的股價報酬率之間具存在正向的群聚效應，而實證模型亦顯示整體的模型解釋力道會因上櫃公司的市值規模較小而有所提升。此外在Granger因果檢測方面，儘管部分樣本或有因果關係，但是整體性的佔比卻不高、自營商買賣超(避險)張數與標的股價報酬率之間的回饋交易行為並不明顯，但在串流交易方面，參考前日的被解釋變數來進行反向的投資行為則存在上櫃市場的認購(售)權證標的中、此外，研究顯示自營商買賣超(避險)張數與標的股價報酬率於前後期間所產生的動量效果並不明顯。有關事件研究法的研究結果顯示，在OLS標準化的分析下，自營商買賣超(避險)張數出現本研究的事件後，均會有負的平均累積異常報酬率產生。

Innumerable domestic market research and analyses on institution holdings and ownership of call (put) warrants have been conducted; nevertheless, the analyses rarely center on the posterior direct impacts of investor’s call (put) warrant transactions on prices of underlying stocks because of the limitations on information disclosure. Consequently, this study aims to the information transmission effect and influence of dealer’s net buy and net sale (hedging) shares on stock prices of call (put) warrants after the competent authorities differentiated proprietary trading from hedging trading on net buy/ net sale as of August 31st, 2016; It is expected,through institution holding and ownership of call (put) warrants reflected by dealer’s net buy and net sale (hedging) shares, to further probe into whether herding effects, feedback trading, cascading, andmomentum are generated by prices of linked underlying stocks.


This study analyzes the herding effect model, feedback trading and cascading, and the herding and rate-of-return momentum model in respect of dealer’s net buy and net sale (hedging) shares and corresponding rates of return for stock prices through acquired data of the sampling period; Furthermore, Granger Causality Test will be adopted to examine whether changes in dealer’s net buy and net sale (hedging) shares influence rates of return for prices of underlying stocks or whether rates of return for prices of underlying stocks influence dealer’s net buy and net sale (hedging) shares. In addition, Event study is employed to examine whether there is any likelihood that average abnormal returns or average cumulative abnormal returns for posterior stock prices arise after the abnormal volume of dealer’s net buy and net sale (hedging) shares appears.


The result of this empirical study indicates positive heading effects between dealer’s net buy and net sale (hedging) shares and rates of return for prices of underlying stocks of the OTC markets. The empirical model also reveals that the general explanatory power of the model strengthens when the OTC-listed company is smaller-scaled in market value. Further, Granger Causality Test shows that, despite possible causal relationships among partial samples, the general causal relationship accounts for low percentage, The feedback trading is insignificant between dealer’s net buy and net sale (hedging) shares and rates of return for prices of underlying stocks. Notwithstanding, in cascading, the reverse investment in accordance with dependent variables of antecedent dates is witnessed in the underlying call (put) warrants of the OTC markets; Furthermore, the study indicates that the momentum which dealer’s net buy and net sale (hedging) shares and rates of return for prices of underlying stocks onbetween antecedent and subsequent periods is not significant. Lastly, the result of the event study reveals that, in the OLS standard analysis, negative average cumulative abnormal returns are generated after the events specified in this study appear in dealer’s net buy and net sale (hedging) shares.

第一章 緒論.....................................................1
第一節 研究動機與背景............................................1
第二節 研究目的.................................................12
第三節 研究方法.................................................13
第四節 研究架構與流程............................................14

第二章 文獻探討..................................................16
第一節 價量關係理論與文獻.........................................16
第二節 三大法人買賣超相關理論與文獻................................18
第三節 認購(售)權證交易相關理論與文獻..............................19
第四節 認購(售)權證避險理論與文獻................................. 21

第三章 研究方法 ................................................23
第一節 資料來源與樣本期間 ........................................23
第二節 研究設計與實證模型 ........................................26

第四章 實證結果與分析.............................................34
第一節 自營商買賣超(避險)張數的群聚效應.............................34
第二節 自營商買賣超(避險)張數與標的股價報酬率之GRANGER因果檢測.......37
第三節 自營商買賣超(避險)張數的回饋交易及串流行為....................42
第四節 自營商買賣超(避險)張數的動量效果.............................45
第五節 事件研究法分析..............................................50

第五章 結論與建議.................................................67
第一節 研究結論...................................................67
第二節 後續研究之建議..............................................71

參考文獻 .........................................................72

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