臺灣博碩士論文加值系統

本研究主要探討券商權證避險時的買賣股票行為對標的股股價之影響，並以2012年至2014年台灣證券交易所（TWSE）交易的台灣積體電路製造公司(2330)跟鴻海科技集團(2317)為樣本，探討權證發行日之避險行為對股價造成的影響。權證經紀公司發行認購權證(認售權證)，依法規定，必須買進(賣出)標的資產對價格進行避險，並在期間內依照delta變化調整避險部位數量，來維持風險部位的平衡，直至到期日將持有部位全部平倉。
投資者預期認購權證股價將上漲，因為權證發行日認購權證發行商需要購買相關股票。 認售權證的標的物價預期將會下跌。投資者能利用這機會來賺取超額報酬。 結果顯示，當認股權證在公佈日時，股價上漲和交易量增加, 如果投資者在權證發行日之前購買相關股份並在公佈日期後出售，則可能正超額報酬。

We use covered warrants with underlying assets of Taiwan Semiconductor and Hon Hai Precisions traded in the Taiwan Stock Exchange (TWSE) from 2012 to 2014, and examine whether hedging activity of short warrants impacts the underlying stock in the introduction period. Investors expect an increase in stock price in the introduction period of warrants because hedging call warrants need to buy underlying shares. However, a decrease in stock price is expected when hedging put warrants in the same period. If the hedging phenomenon really impacts on underlying asset prices, investors simply can exploit the opportunity to obtain abnormal returns. Results indicate that the stock price and trading volumes increase when warrants are announced. Significant positive abnormal returns can be generated if investors purchase the underlying shares before and sell after the announcement date.

Table of Content
Chinese Abstract..........................vi
English Abstract……………………………………………………………………………….v
1. Introduction …………………………………………………………….…….……....01
1.1. Background of warrant market in Taiwan 01
1.2. Mechanisms of warrants 02
1.3. Warrants and stock price 04
1.4. Research objective………………………………………………………….……04
2. Literature Review 06
3. Data……………………………………………………………………………………08
4. Methodology / Research Design………………………………………………………10
4.1. Variable Explanation……………………………………………………………10
4.2. Calculating abnormal stock returns………………………………………………..11
4.3. Methodology………………………………………………………………………12
5. Results…………………………………………………………………………………16
5.1. Statistic Results……………………………………………………………………..16
5.2. Results for introduction effect due to hedging……………………………………20
5.3. Regression Result…………………………………………………………………25
6. Conclusion……………………………………………………………………………..28

List of Tables
Table 1. Summary statistics of the average price, average maturity and average volatility…………………………………………………………………………………...….09
Table 2. Summary statistics of Hon Hai Precisions and Taiwan Semiconductor…………..17
Table 3. Summary statistics of the price, average delta hedged position, net delta, average standardized delta hedge position, and standardized net delta ………………………………19
Table 4. Abnormal returns and cumulative abnormal returns around the announcement date……………………………………………………………………………………………21
Table 5. Vector Autoregressive Model……………………………………………………….24
Table 6. Granger Causality in VAR Model…………………………………………………26
 
List of Figures
Figure 1. Abnormal return and Cumulative abnormal return………………………………..23

References
1.Bansal, V. K., Pruitt, S. W., & Wei, K. C. (1989). An empirical reexamination of the impact of CBOE option initiation on the volatility and trading volume of the underlying equities: 1973–1986. Financial Review, 24(1), 19-29.
2.Bollen, N. P. (1998). A note on the impact of options on stock return volatility. Journal of banking & Finance, 22(9), 1181-1191.
3.Chen, K. C., & Wu, L. (2001). Introduction and expiration effects of derivative equity warrants in Hong Kong. International Review of Financial Analysis, 10(1), 37-52.
4.Chen, Y., Rangarajan, G., Feng, J., & Ding, M. (2004). Analyzing multiple nonlinear time series with extended Granger causality. Physics Letters A, 324(1), 26-35.
5.Chicago Board Options Exchange. (1975). Analysis of volume and price patterns in stocks underlying CBOE options from December 30, 1974 to April 30, 1975. Chicago Board Options Exchange.
6.Chung, S. L., Liu, W. R., & Tsai, W. C. (2014). The impact of derivatives hedging on the stock market: Evidence from Taiwan’s covered warrants market. Journal of Banking & Finance, 42, 123-133.
7.Cinar, E. M., and J. Vu. (1987). Evidence on the effect of option expirations on stock prices. Financial Analysts Journal, 43, 55-57.
8.Conrad, J. (1989). The price effect of option introduction. The Journal of Finance, 44(2), 487-498.
9.Detemple, J, and P. Jorion. (1990). Option listing and stock returns: An empirical analysis. Journal of Banking and Finance, 14, 781–801.
10.Florianová, H. (2015). Delta-hedging of Warrants: Evidence from Frankfurt Stock Exchange. Economics and Finance, 30, 239-244.
11.Freund, S., and P. D. McCann, and G. P. Webb. (1994). A regression analysis of the effects of option introductions on stock variances. Journal of Derivatives, 1, 25–38.
12.Ho, L. C. J. and C. S. Liu. (1997). A reexamination of price behavior surrounding option introduction. Quarterly Journal of Business and Economics, 36, 39–50.
13.Klemkosky, R. C. (1978). The impact of option expirations on stock prices. Journal of Financial and Quantitative Analysis, 13, 507–518.
14.Lamoureux, C., & Panikkath, S. K. (1994). Variations in stock returns: Asymmetries and other patterns. Unpublished working paper. University of Arizona.
15.Lundstrum, L. L., & Walker, M. D. (2006). LEAPS introductions and the value of the underlying stocks. Journal of Financial Intermediation, 15(4), 494-510.
16.Mayhew, S., & Mihov, V. T. (2005). Short sale constraints, overvaluation, and the introduction of options.
17.Ni, S. X., Pearson, N. D., & Poteshman, A. M. (2005). Stock price clustering on option expiration dates. Journal of Financial Economics, 78(1), 49-87.
18.Ni, S. X., Pearson, N. D., Poteshman, A. M., & White, J. S. (2016). Does Option Trading Have a Pervasive Impact on Underlying Stock Prices?.
19.Skinner, D. J. (1989). Options markets and stock return volatility. Journal of Financial Economics, 23(1), 61-78.
20.Sorescu, S. M. (2000). The effect of options on stock prices: 1973 to 1995. The Journal of Finance, 55(1), 487-514.