臺灣博碩士論文加值系統

本篇論文研究股票市場流動性以及權證到期後在不同的投資人情緒程度時之間的關係。我們使用臺灣期貨交易所的VIX指數作為投資人情緒的指標，研究在深度價內的權證到期後對股票市場造成的交易集中效果。整體而言，當投資人情緒相對較低時，權證到期後對股票市場流動性的增強效果較為明顯。另一方面，當投資人情緒相對較高時，交易集中對股票市場流動性的改善效果較不明顯。在價格方面，股票流動性的增加對價格帶來的正面影響，其效果在投資人情緒較低時較為明顯。當投資人情緒愈來愈高時，其效果愈不顯著。此現象可歸因於投資人在套利與避險等操作上的行為有所改變所致。

This paper examines the relation between the stock liquidity and warrants expiration in different extent of investor sentiment which is represented by VIX in Taiwan. We study the effect of trading consolidation by examining the response of liquidity and stock prices to the exercise of deep in-the-money call warrants. In general, the results indicate that the stock liquidity is improved apparently by market consolidation since warrants expired when investor sentiment is relatively low. On the other hand, the effect is insignificant when VIX is relatively high. Further, the price increase is positively related to post-exercise improvement in the stock liquidity when VIX is relatively low. While VIX rises, the relation gets feeble gradually. This phenomenon might be due to investors’ buying behavior such as arbitrage or hedge trading varying with different kinds of market situation.

Abstract I
I. Introduction 1
II. Data 3
III. Methodology 4
A. Trading Volume 4
B. Implicit Spread, Turnover, and Market Depth 4
C. The Relation of Liquidity Changes to Fragmentation 5
D. The Effect of Warrant Exercise on Stock Values 6
E. Investor Sentiment 7
IV. Empirical Results 8
A. Hypothesis 8
B. The Analysis of Abnormal Returns 9
C. Liquidity Change and Cumulative Abnormal Returns 15
D. Investor Sentiment 21
E. The Change in Investor Sentiment 28
V. Conclusions and Discussion 40
References 42
Appendix 44

1. 張啟容，「發行認購權證對標的股票股價影響之實證研究」，國立政治大學企業管理研究所碩士論文，民國八十七年六月。
2. 王佩甄，「認購權證發行券商避險操作損益分析」，國立政治大學財務管理研究所碩士論文，民國八十九年六月。
3. Aitken, M.; and R. Segara. “Impact of Warrant Introductions on the Behavior of Underlying Stocks: Australian Evidence.” Accounting and Finance, 45 (2005), 127-144.
4. Amihud, Y.; B. Lauterbach; and H. Mendelson. “The Value of Trading Consolidation: Evidence from the Exercise of Warrants.” Journal of Financial and Quantitative Analysis, 38, 4 (2003), 829-846.
5. Amihud, Y.; and H. Mendelson. “Asset Pricing and the Bid-Ask Spread.” Journal of Financial Economics, 17 (1986), 223-249.
6. Amihud, Y.; H. Mendelson; and B. Lauterbach. “Market Microstructure and Securities Values: Evidence from the Tel Aviv Stock Exchange.” Journal of Financial Economics, 45 (1997), 365-390.
7. Baker, M.; and J. Wurgler. “Investor Sentiment and the Cross-Section of Stock Returns.” The Journal of Finance, 4 (2006), 1645-1680.
8. Barber, B. M.; Y. Lee; Y. Liu; and T. Odean. “Just How Much Do Individual Investors Lose by Trading?” The Review of Financial Studies, 22 (2009), 609-632.
9. Brennan, M. J.; and A. Subrahmanyam. “Market Microstructure and Asset Pricing: On the Compensation for Illiquidity in Stock Returns.” Journal of Financial Economics, 41 (1996), 441-464.
10. Brown, S. J.; and J. B. Warner. “Measuring Security Price Performance.” Journal of Financial Economics, 8 (1980), 205-258.
11. Brown, S. J.; and J. B. Warner. “Using Daily Stock Returns: The Case of Event Studies.” Journal of Financial Economics, 14 (1985), 3-31.
12. Chan, Y.; and K.C. John Wei. “Price and Volume Effects Associated with Derivative Warrant Issuance on the Stock Exchange of Hong Kong.” Journal of Banking & Finance, 25 (2001), 1401-1426.
13. Conrad, J. “The Price Effect of Option Introduction.” The Journal of Finance, 2 (1989), 487-498.
14. Bliss, R. R.; and N. Panigirtzoglou. “Option-Implied Risk Aversion Estimates.” The Journal of Finance, 1 (2004), 407-446.

15. Roll, R. “A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market.”The Journal of Finance, 39 (1984), 1127-1139.
16. White, H. “A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity.” Econometrica, 48 (1980), 817-838.