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研究生:李靜怡
研究生(外文):Ching-Yi Lee
論文名稱:台灣權證對標的股票價量及波動之影響
論文名稱(外文):Price Volume and Volatility Effects on Taiwan Warrants for underlying Assets
指導教授:劉淑鶯劉淑鶯引用關係
指導教授(外文):Su-ln Liu
學位類別:碩士
校院名稱:世新大學
系所名稱:財務金融學研究所(含碩專班)
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:2009
畢業學年度:97
語文別:中文
論文頁數:52
中文關鍵詞:CAPM市場模型市場深度市場流動性威克遜符號等級檢定法
外文關鍵詞:CAPM modelMarket DepthMarket liquidityWilcoxon signed-rank test
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  • 被引用被引用:2
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  • 下載下載:174
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本研究就273檔認購權證,探討其標的股票發行前後各90個交易日,其標的股票價、交易量和波動的改變,分別以市場風險、市場深度及市場流動性來驗證。先以CAPM市場模型估計樣本之總風險及系統風險有無結構性改變,再以Kely模式及最佳五檔未成交價格資訊估計市場深度,最後以週轉率變異數及周轉率平均檢驗市場波動性及流動性。若前項檢驗結果有改變,再將樣本分為電子業、金融業及其它產業,檢定市場風險、市場深度及市場流動性有無增大,其中,CAPM市場模式輔以威克遜符號等級檢定法。
實證發現,有部分樣本以CAPM市場模式估計結果有結構性改變,以最佳五檔估計的市場深度有改變的樣本較Kely模式較高,流動性有改變的樣本則占半數。再檢定市場風險、市場深度及市場流動性有增大,金融業系統風險增大的樣本較電子業高,且輔以威克遜符號等級檢定法有相同結果。不管以Kely模式及最佳五檔模型衡量市場深度,電子業市場深度變深的樣本較金融業稍高。最後,金融業的流動性增加的樣本較電子業高。
This study investigated empirically the price volume and volatility effects on 273 Taiwan warrants for underlying stocks, compare 90 working days before and after the warrant issuing date; using CAPM model to estimate market risk, to see whether the underlying stock market has the structure changed, than, using Kely(1985) model also Best Five price information to see whether market dept has changed, finally, using stock turnover rate and stock turnover variance rate to see whether market liquidity has changed. If results the underlying stocks have changed, classified sample stocks into groups of Electricity, Financial and Others, than, test whether the stock sample by using these models to see whether it have increased, also, using Wilcoxon signed-rank test to support the stock sample’s market risk has been increased.
This research results that some of warrants underlying stock had the structure changed by using CAPM model, for the change of market dept, the sample stocks has changed is more by using Best Five model than using Kely(1985) model, for the change of market liquidity, the results indicate that half of the stock samples has been changed. Than, when test the stock sample’s market risk had increased, we find the group of Financial is more than Electricity, it has the same results by using Wilcoxon signed-rank test. To see the market depth has increased, both Kely(1985) model and Best Five models have the same results; it’s the group of Electricity results more than the group Financial. Finally, the stock sample of Financial is more than the stock samples of Electricity, when testing the market liquidity.
目次
緒論 7
第一節 研究動機與目的 7
第二節 研究架構與流程 8
第二章 文獻回顧 10
第三章 研究方法 13
第一節 研究設計 13
第二節 實證模型 14
第四章 實證結果與分析 23
第一節 資料敘述 23
第二節 資料基本檢定 23
第三節 實證結果 25
第四節 實證結果小結 39
參考文獻 43
一、 中文部份 43
二、 英文部份 43
附錄 46
一、 常態分配檢定統計過程 46
二、 威克遜符號等級檢定法(Wilcoxon signed-rank test)統計過程 46
三、 權證樣本標的股票基本資料 47
一、中文部份
1.台灣經濟新報資料庫資料說明使用手冊,台灣經濟新報股份有限公司。
2.台灣證券交易所/認購權證專區/認購售權證基本資料彙總,http://mops.tse.com.tw/server-java/t90sb01,2008/08/02。
3.陳柏如(1997),「備兌型認購權證之宣告發行與到期效果研究」,國立中央大學碩士論文。
4.陳志忠(1999),「台灣認購權證宣告效果之研究」,國立交通大學碩士論文。
5.柯美珠、蕭慧玲、邱敬貿(2006),「市場深度、價差與委託單不均衡之關聯分析」,「績效策略研究」,第三卷第二期,頁129-156。
6.彭美苓(1997),「備兌型認購權證的發行對台灣現貨股票市場績效之影響」,國立中山大學財務管理碩士論文。
二、英文部份
1.Admati, A. and P. Pfleiderer, (1998), “A theory of intraday patterns: volume and proce volatility,” Review of Financial Studies, 1, 3-40.
2.Bagella, M. and L. Becchetti, (1998), “The optimal financing strategy of a high-tech firm: The Role of warrants,” Journal of Economic Behavior & Organization, 35, 1-23.
3.Biais, B. P. Hillion. and C. Spatt, (1995), “An empirical analysis of the limit order book and the order flow in the Paris Bourse,” Journal of Finance, 50, 1655-1689.
4.Black, F. and M. Scholes, (1973), “The price of option and corporate liabilities,” Journal of Political Economy, 81, 637~659.
5.Bollerslev, M. and L. Becchetti, (1998), “The optimal financing strategy of a high-tech firm: The role of warrants,” Journal of Economic Behavior & Organization, 35, 1-23.
6.Bollerslev, T. (1986), “Generalized autoregressive conditional heteroskedasticity,” Journal of Econometrics, 31, 307-327.
7.Brennan, M. J. and A. Subrahmanyam, (1995), “Investment analysis and price formation in securities markets,” Journal of Financial Economics, 38, 361-381.
8.Brockman, P. and D. Chung, (1999), “Bid-ask spread components in an order driven environment,” Journal of Financial Research, 22, 227-246.
9.Copeland, T. E. and D. Galai, (1983), “Information effects of the bid-ask spread,” Journal of Finance, 38, 1457-1469.
10.Conrad, J.(1989),“The Price Effect of Option Introduction,”Journal of Finance, 44, 487-498.
11.Foster, F. D. and S. Viswanathan, (1993), “Variations in trading volume, return volatility and trading Costs: Evidence on recent price formation models,”Journal of Finance, 48, 187-211.
12.Harris, L. (2003), “Trading and exchanges,” Oxford University Press, Inc., NY.
13.Hernandez-Trillo, F. (1999), “Financial derivatives introduction and stock return volatility in an emerging market without clearinghouse: The Mexican experience,” Journal of Empirical Finance, 6, 153-176.
14.Haddad, M. M. and F. L. Voorheis, 1991, “Initial Option Trading and
Security Risk and Return,” Journal of Business Finance and Accounting,
903-913.
15.Kumar, R. A. Sarin. and K. Shastri, (1998), “The impact of options trading on the market quality on the underlying security: An empirical analysis,” Journal of Finance, 53, 717-733.
16.Lee, C. M. C. and M. J. Ready, (1991), “Inferring trade direction from intraday day,” Journal of Finance, 46, 733-746.
17.Jorge L. Urrutia and Joseph D. Vu, (2000), “The Impact of Primes and Scores on the Price, Volatility, and Trading Volume of Underlying Stocks,”
Financial practice and Education, spring 2002, 41-51
18.Kely, A. S. (1985), “Continuous auctions and insider trading,” Econometrica, 53, 1315-1335.
19.Kumar, R. A. Sarin, and K. Shastri, (1998), “The impact of options trading on the market equality on the underlying security: An empirical analysis,”Journal of Finance, 53, 717-733.
20.Lee, C. M. C. and M. J. Ready, (1991), “Inferring trade direction from intraday day,” Journal of Finance, 46, 733-746.
21.Lee, C. M.C. B. Mucklow. and M. J. Ready, (1993), “Spreads, depths and impact of earnings information: An intraday analysis,”Reviews of Financial Studies, 6, 345-374.
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