臺灣博碩士論文加值系統

　　本文乃是針對三大法人買賣超對認購權證隱含波動率與其標的股票股價影響進行研究。本研究採用摩根史坦利資本國際(MSCI)台灣指數成份股前10檔，採用日資料進行分析，建立起Black-Scholes模式，接著使用誤差修正模型、衝擊反應函數及預測變異數分解進行實證。由實證結果我們可以歸納出以下結論：
　
1.5個變數間存在共整合關係，意味著在長期趨勢之下，具有長期穩定之均衡關係。
　
2.5個變數當中，隱含波動率領先三大法人買賣超及標的股價，而在三大法人關聯性中，投信的領先地位比外資及自營商強烈且投信影響隱含波動率最明顯。
　
3.三大法人買賣超與標的股價及隱含波動率會呈現持續性負相關的現象，亦即隱含波動率愈高的話，標的股價也愈高，因此三大法人可能會認為股價隨時會反轉，而出現反向操作的現象。由此我們可以給投資人建議如下：當隱含波動率處於相對高點時，代表標的股票的市價處於較高的價位，則未來股價有可能會下跌，反之，當隱含波動率處於相對低點時，代表標的股票的市價處於較低的價位，未來股價可能會上漲。

　　This article investigates effect of three primary institutional net buy-and-sell on warrants implied volatilities and underlying stocks pricing. The article investigates use morgan stanley capital international taiwan index advanced ten sample, use daily data analysis, establish Black-Scholes model, use error correction model, impulse response, variance decomposition to argue.
　
　　In this paper, the conclusions can be summarized as follows: (1)Three primary institutional net buy-and-sell, implied volatilities and underlying stocks pricing exist a cointegration relationship and long run equilibrium; (2)Three primary institutional net buy-and-sell and underlying stocks pricing becomes followers, that follow implied volatilities, of the relationship in three primary institutional, foreign and security dealer becomes followers, that follow trust and trust affect implied volatilities emphatically; (3)Three primary institutional net buy-and-sell, underlying stocks pricing and warrants implied volatilities can appear continuity negative correlation, represent implied volatilities in the culmination and underlying stocks pricing in the more culmination, thus three primary institutional can appear contrarian investing while underlying stocks pricing countermarch, thus we can suggest for investors as follows: Implied volatilities in the relative culmination, representatives underlying stocks pricing in the more relative culmination, the stocks price will drop probably in the future. On the other hand, implied volatilities in the relative low point, representatives underlying stocks pricing in the more relative low point, the stocks price will rise probably in the future.

準碩士推薦函 ii
論文口試委員審定書 iii
版權宣告 iv
中文摘要 v
英文摘要 vi
目錄 vii
表目錄 ix
圖目錄 x
　
第一章 緒論 第一節 研究背景 1
第二節 研究動機 1
第三節 研究目的 3
第四節 論文架構 4
　
第二章 文獻回顧 6
第一節 三大法人買賣超對標的股價影響相關文獻 6
第二節 認購權證與標的股價關聯性相關文獻 9
第三節 隱含波動率相關文獻 12
　
第三章 研究設計 16
第一節 理論基礎 16
第二節 研究流程 21
第三節 樣本與變數選取 23
第四節 Black–Schole 模型六大參數代入標準 25
第五節 單根檢定 27
第六節 共整合檢定 28
第七節 誤差修正模型 29
第八節 衝擊反應函數 30
第九節 預測誤差變異數分解 32
　
第四章 實證分析 34
第一節 資料的基本統計量分析 34
第二節 實證模型分析 37
　
第五章 結論與建議 52
第一節 建論 52
第二節 後續研究建議 54
　
參考文獻 55
　
附錄一 所有樣本誤差修正模型 59
附錄二 所有樣本衝擊反應函數圖 69
附錄三 所有樣本預測變異數分解 79

一、中文部分　
　
王誌聰(1998)，「台灣認購權證與標的股票互動關係之探討」，中央大學財務金融研究所碩士論文。　
　
田慧琦(1997)，「外資買賣短期市場衝擊與長期績效之研究」，國立政治大學國際貿易研究所碩士論文。　
　
何桂隆(1998)，「不同波動性估計方法下，台灣認購權證評價績效之比較」，國立成功大學企業管理研究所碩士論文。　
　
周行一、李怡宗、李志宏、劉玉珍及陳麗雯(2000)，「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」，證券市場發展，第十二卷第一期，109-146頁。　
　
胡家麒(1999)，「外資、投信法人投資機構買賣超與證券股股價報酬率之互動關係之實證研究」，國立中興大學企業管理研究所碩士論文。　
　
陳煒朋(1998)，「GARCH 模型與隱含波動性模型預測能力之比較」，淡江大學金融所未出版碩士論文。　
　
張皇輝(1995)，「外資與自營商的買賣策略對台灣股市報酬率與波動性影響之研究」，國立台灣大學商學研究所碩士論文。　
　
莊益源、張鐘霖及王祝三(2003)，「波動率模型預測能力的比較－以台指選擇權為例」，臺灣金融財務季刊，第四卷第二期，41-63頁。　
　
許瓊方(2001)，「認購權證與股票市場價格變動因果關係之因素分析」，中正大學會計學研究所碩士論文。　
　
許美滿、蘇聖泓及鍾惠民(2004)，「波動性模型預測能力之比較：臺指選擇權市場實證」，亞太社會科技學報，第三卷第二期，19-37頁。　
　
楊踐為(1999)，「臺灣認購權證與標的股間價格因果關係之探討」，臺灣土地金融季刊，第三十六卷第三期，51-68頁。　
廖世魁(1996)，「國內、國外法人機構對國內股市影響」，淡江大學管理科學研究所碩士論文。　
　
趙其琳、李命志(1999)，「波動性預測能力比較－台灣認購權證之實證研究」，臺灣銀行季刊，第五十二卷第二期，101-127頁。　
　
二、英文部分　
　
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Beckers, S. (1981), "Standard Deviations Implied in Option Prices as Predictors of Futures Stock Price Variability," Journal of Banking and Finance, Vol.5, pp.363-381.　
　
Black, F. and M. Scholes (1975), "Fact and Fantasy in the Use of Options," Financial Analysts Journal, Vol.31, pp.36-41.　
　
Bollerslev, T. (1986), "Generalized Autoregressive Conditional Heteroscedasticity," Journal of Econometrics, Vol.48, pp.307-327.　
　
Canina, L. and S. Figlewski (1993), "The Informational Content of Implied Volatility," The Review of Financial Studies, Vol.6, No.3, pp.659-681.　
　
Chan, L. K. C. and J. Lakonisho(1993), "Institutional Trades and Intraday Stock Price Behavior," Journal of Financial Economics, Vol.33, pp.173-199.　
　
Chiras, D. P. and S. Manaster (1978), "The Information Content of Option Prices and a Test of Market Efficiency," Journal of Financial Economics, Vol.6, pp.213-234.　
　
Christensen, B. J. and N. R. Prabhala (1998), "The Relation between Implied and Realized Volatililty," Journal of Financial Economics, Vol.50, pp.125-150.　
　
Close, N. (1975), "Price Reaction to Large Transactional in the Canadian Equity Market," Financial Analyst Journal, Vol.31, pp.50-57.　
　
Dilta, J. D. and K. Suhkyong(1996), "The relationship between stock and option price changes," The Financial Review, Vol.31, pp.499-519.　
　
Fleming, J. (1998), "The Quality of Market Volatility Forecasts Implied by S&P 100 Index Option Prices," Journal of Empirical Finance, Vol.5, pp.317-345.　
　
Garman, Mark B. and Michael J. Klass (1980), "On the Estimation of Security Price Volatilities from Historical Data, " The Journal of Business, Vol.53, pp.67-78.　
　
Gemmill, G. (1986), "The Forecasting Performance of Stock Options on the London Traded Options Market," Journal of Business Financeand Accounting, Vol.13, pp.535-546.　
　
Gwilym, O. A. and M. Buckle (1999), "Volatility Forecasting in the Framework of the Option Expiry Circle," European Journal of Finance, Vol.5, pp.73-94.　
　
Kraus, A. and H.R. Stoll (1972), "Price Impact of Block on the New York Stock Exchange,"Journal of Finance, Vol.27, pp.569-588.　
　
Lamoureux, C. G. and W. D. Lastrapes(1993), "Forecasting Stock Return Variance: Understanding Stochastic Implied Volatility," Review of Financial Studies, Vol.6, pp.293-326.　
　
Latane, H. and R. J. Rendleman (1976), "Standard Deviation of Stock Price RaionsImplied by Option Premia," Journal of Finance, Vol.31, pp.29-58.　
　
Manaster, S. and R. J. Rendleman(1982), "Option prices as predictors of equilibrium stock prices," Journal of Finance, 37, pp.1035-1048.　
　
Parkinson, M. (1980), "The Extreme Value Method for Estimating the Variance of the Rateof Return," Journal Business, Vol.53, pp.61-66.　
　
Petri, S.(2001), "Impact of stock option listings on return and risk characteristics in Finland," International Review of Financial Analysis, Vol.10, pp.19-36.　
　
Reilly, F. K. and D.J. Wright(1984), "Block Trading and Aggregate Stock Volatility," Financial Analyst Journal, Vol.40, pp.54-60.　
　
Schmalense, R., R. R. Trippi (1978), "Common Stock Volatility Expectation by Option　Premia," Journal of Finance, Vol.33, pp.129-147.　

Scholes, M. S. (1972), "The markets for securities: substitution versus price pressure and the effects of information on share price,'' Journal of Business, Vol.4, pp.179-211.　
　
Vasilellis, G. A. and N. Meade(1996), "Forecasting Volatility for Portfolio Selection," Journal of Business Finance & Accounting, Vol.23, pp.125-143.　
　
Wiggins, J.B. (1987), "Option Values Under Stochastic Volatility Theory and Empirical Estimates," Journal of Financial Economics, Vol.19, pp.351-372.