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研究生:楊青
研究生(外文):Yang, Ching
論文名稱:非完全競爭下之認購權證評價:台灣之實證
論文名稱(外文):Warrant Pricing in a Noncompetitive Market: An Empirical Study
指導教授:李存修李存修引用關係
指導教授(外文):Lee, Tsun-Siou
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:財務金融學研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2000
畢業學年度:88
語文別:中文
論文頁數:37
中文關鍵詞:認購權證獨占力順序執行Herfindahl index
外文關鍵詞:WarrantMonopoly powerSequential exerciseHerfindahl index
相關次數:
  • 被引用被引用:18
  • 點閱點閱:169
  • 評分評分:
  • 下載下載:31
  • 收藏至我的研究室書目清單書目收藏:1
  本研究以三種評價模式(即Black-Scholes模式、Constant Elasticity of Variance模式及Jump-Diffusion模式)搭配三種波動性估計法(即歷史資料法、Parkinson法、Garman and Klass法),共七種方式來評估台灣認購權證之價格,並探討影響市價偏離理論價格之因素。
實證結果顯示,市價高於理論價格的情形相當明顯,在研究期間的2,350筆資料中,無論使用何種模式計算理論價格,正誤差(市價高於理論價格)比率均超過80%,我們認為,由於認購權證之發行量有限,容易集中於少數人之手,產生獨占力,使市價偏離完全競爭之價格而偏高。本文以Herfindahl Index來衡量權證之持有集中度,檢定認購權證市場是否為一完全競爭市場,並驗證其對誤差程度之解釋能力。結果顯示,市場已偏離完全競爭,且市價高估之幅度與持有集中度呈正向關係,即持有集中度愈高,市價高估的情況愈嚴重。
此一市場結構對認購權證價格之影響在文獻中已有理論之證明,本文則在實證研究上首開先河。
  We apply three types of pricing models (Black-Scholes model, Constant Elasticity of Variance model, and Jump-Diffusion model) and three types of volatility estimation (historical, Parkinson, and Garman and Klass) to evaluate covered warrants of Taiwan and then investigate the factors which influence the degree of price deviation.
As the empirical results show, it is prevalent that market prices are higher than model prices in Taiwan warrant market. The proportion of positive deviations in our sample of 2,350 data is more than 80%. Due to the limited supply, warrants possibly possessed in few holders which leads the market to deviate from a competitive market to a monopoly one. Monopoly power tends to raise warrant prices above what they would otherwise be in a competitive market. Our research detects the warrant market of Taiwan to be a noncompetitive one and demonstrates the degree of concentration of warrant holding, measured by Herfindahl index, have a positive correlation with warrant overpricing.
While this has been shown theoretically in the literature, it has never been empirically tested. Our research, aiming to detect the relationship between warrant mispricing and its holding concentration, will be the first one on this frontier.
表次 ix
第一章 前言 1
第一節 研究背景 1
第二節 認購權證的價格探討 2
第三節 認購權證與選擇權之差異 3
第四節 研究目的 4
第二章 文獻回顧 5
第一節 認購權證評價模式 5
第二節 認購權證履約策略 9
第三節 持有集中度衡量指標 11
第三章 認購權證持有分配之均勻度檢定 14
第一節 Herfindahl index之計算 14
第二節 檢定市場是否為完全競爭 16
第四章 認購權證誤差比率與持有集中度之關係 19
第一節 研究方法 19
第二節 資料描述 21
第三節 全樣本之迴歸分析 23
第四節 時間序列分析 26
第五節 橫斷面分析 29
第五章 結論 33
參考文獻 35
1. 李存修暨台大財金所,台灣認購權證個案集,智勝出版社,1999年。
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3. 陳苑欽,台股認購權證之評價與其發行對股價波動之影響研究,中原大學碩士論文,1998年。
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6. Brauer, G. A. “Using Jump-Diffusion Return Models to Measure Differential Information by Firm Size.” Journal of Financial and Quantitative Analysis 21, 1986, 447-458.
7. Chen A. “A Model of Warrant Pricing in a Dynamic Market.” Journal of Finance 25, 1975, 1041-1060.
8. Constantinides, G. “Warrant Exercise and Bond Conversion in Competitive Markets.” Journal of Financial Economics 13, 1984, 371-397.
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11. Dickson, V. “Aggregate Industry Cost Functions and the Herfindahl Index.” Southern Economic Journal 61, 1994, 445-452.
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