臺灣博碩士論文加值系統

　　本研究探討在臺灣股票市場中，南亞、中鋼、台積電、聯電與富邦金等五家公司的股票選擇權上市對現貨股價的波動性與市場風險的影響。各種檢定結果顯示：股票選擇權上市，台積電之系統風險並沒有顯著的改變；富邦金之系統風險則顯著地增加；其於三家公司股票在各種檢定下結果並不相互一致。對於股價波動性，臺灣股票選擇權上市顯著地使現貨股價的波動性減少，支持衍生性金融商品上市具有現貨股價發現的功能和增加市場效率的理論論點。

　　This study investigates the effects of option listing on the underlying stocks’ volatility and market risk for 5 listed firms, NAN YA Plastics corporation, CHINA STEEL, TSMC, UMC, and Fubon Financial Holding in Taiwan stock market. For the abnormal return, out test results that non-significantly .For the market risk, our test results reveal that TSMC ‘market risk did not change significantly, the market risk of Fubon Financial Holding increased significantly. For the rest of other three stocks, our tests did not show consistent results. Our tests showed that the volatility of all the 5 firms decreased significantly after the option listing. Our empirical results support the market efficiency hypothesis and the price discovery function of derivatives.

目　錄
目錄 i
表目錄 ii
圖目錄 iv
第一章　緒論 1
第一節　研究背景與動機 1
第二節　研究目的 2
第三節　研究流程 3
第二章　選擇權的特性與文獻回顧 7
第一節　選擇權基本概念 7
第二節　國外實証研究 13
第三節　國內實証研究 17
第四節　國內外文獻彚整 19
第三章　研究方法 27
第一節　資料選取 27
第二節　單根檢定 29
第三節　ARCH、GARCH模型 34
第四節　事件研究法 37
第四章　實証分析與討論 43
第一節　個股選擇權上市對現貨市場報酬率的影響 43
第二節　選擇權上市對股票報酬率波動及市場風險之影響 58
第五章　結論與建議 85
參考文獻 86
表 目 錄
表2.1-1　台灣期貨交易所股票選擇權契約規格 10
表2.1-2　股票選擇權、認購權證之比較 12
表2.4-1　股票選擇權上市對現貨市場造成顯著之影響 20
表2.4-2　股票選擇權上市對現貨市場無顯著影響 23
表2.4-3　股票選擇權上市對現貨市場造成顯著之影響 26
表3.3-1　研究樣本資料 30
表4.1-1　股票選擇權標的股與加權股價報酬率基本統計量 44
表4.1-2　股票選擇權標的股日報酬率ADF單根檢定 46
表4.1-3　股票選擇權標的股日報酬率PP單根檢定 46
表4.1-4　股票選擇權標的股日報酬率GARCH效果檢定 47
表4.1-5　股票選擇權標的股OLS法估計係數 48
表4.1-6　股票選擇權標的股OLS+GARH(1,1) 係數估計 48
表4.1-7　事件期OLS估計法下之AR,CAR及其t統計值 51
表4.1-8　事件期OLS+GARCH估計法下之AR,CAR及其t統計值 54
表4.1-9 不同事件窗口之累積異常報酬(CAR) 57
表4.2-1　股票選擇權標的股與加權股價報酬率基本統計量(全期) 59
表4.2-2　股票選擇權標的股全期日報酬率ADF單根檢定 61
表4.2-3　股票選擇權標的股全期日報酬率PP單根檢定 61
表4.2-4　股票選擇權標的股全期日報酬率GARCH 效果檢定 62
表4.2-5　股票選擇權標的股全期日報酬率OLS係數估計 63
表4.2-6　股票選擇權標的股全期日報酬率GARCH(1,1)估計係數 63
表4.2-7　股票選擇權標的股與加權股價指數報酬率基本統計量(上市前) 65
表4.2-8　股票選擇權標的股上市前報酬率ADF單根檢定 67
表4.2-9　股票選擇權標的股上市前報酬率PP單根檢定 67
表4.2-10　股票選擇權標的股上市前報酬率GARCH效果檢定 68
表4.2-11　股票選擇權標的股上市前報酬率OLS係數估計 69
表4.2-12　股票選擇權標的股上市前報酬率GARCH(1,1)係數估計 69
表4.2-13　股票選擇權標的股與加權股價指數報酬率基本統計量(上市後) 71
表4.2-14　股票選擇權標的股上市後報酬率ADF單根檢定 73
表4.2-15股票選擇權標的股上市後報酬率PP單根檢定 73
表4.2-16　股票選擇權標的股上市後報酬率GARCH效果檢定 74
表4.2-17　股票選擇權標的股上市後報酬率OLS係數估計 75
表4.2-18 　選擇權上市前後現貨股價值之變化 79
表4.2-19　選擇權上市對股票b值影響之虛擬變數迴歸分析 82
表4.2-20　選擇權上市現貨股價報酬率波動性(s2)之變化 83
表4.2-21　股票選擇權上市對現貨股價波動性影響之虛擬變數GARCH分析 84
圖 目 錄
圖1.3-1　 研究流程 4
圖1.3-2　 ARCH效果檢定流程 5
圖1.3-3　 波動性及風險係數檢定流程 6
圖3.1-1 事件研究之係數估計期與觀察期 28
圖3.1-2 股票波動與市場風險研究期間 28
圖3.2-1 單根檢定流程圖 33
圖4.1-1　 五檔股票選擇權標的股及加權股價指數日報酬率散佈圖 45
圖4.1-2　 OLS法下全體樣本之平均異常報酬率 53
圖4.1-3 　OLS法下全體樣本之累積平均異常報酬 53
圖4.1-4 　OLS+GARCH(1,1)法下全體樣本之平均異常報酬率 56
圖4.1-5 　OLS+GARCH(1,1)法下全體樣本之累積平均異常報酬率 56
圖4.2-1 　五檔股票選擇權標的股及加權股價指數日報酬率散佈圖(全期) 60
圖4.2-2　 五檔股票選擇權標的股及加權股價指數日報酬率散佈圖(上市前) 66
圖4.2-3　 五檔股票選擇權標的股及加權股價指數日報酬率散佈圖(上市後) 72
圖4.2-4 　南亞CUSUMSQ 76
圖4.2-5 　中鋼CUSUMSQ 77
圖4.2-6 　聯電CUSUMSQ 77
圖4.2-7 　台積電CUSUMSQ 78
圖4.2-8 富邦金CUSUMSQ 78

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