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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 李存修(Tsun-Siou Lee) | |
dc.contributor.author | Yun-Wen Lo | en |
dc.contributor.author | 駱韻文 | zh_TW |
dc.date.accessioned | 2021-06-07T23:51:02Z | - |
dc.date.copyright | 2014-03-08 | |
dc.date.issued | 2014 | |
dc.date.submitted | 2014-01-23 | |
dc.identifier.citation | 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學系碩士論文。
林敦舜(2002),「台灣認購權證評價之研究-探討二項式及三項式樹狀模型之評價差異」,交通大學經營管理研究所碩士論文。 曹金泉(1999),「隨機波動度下選擇權評價理論的應用-以台灣認購權證為例」,政治大學金融學系研究所碩士論文。 楊玉菁(2000),「台灣個股型認購權證評價之研究」,國立彰化師範大學商業教育研究所碩士論文。 趙其琳(1999),「波動性預測能力比較—台灣認購權證之實證研究」,淡江大學財務金融研究所碩士論文。 Beckers, S. (1981). 'Standard Deviations Implied in Option Prices as Predictors of Future Stock Price Variability.' Journal of Banking & Finance 5(3): 363-381. Black, F. and M. Scholes (1973). 'The Pricing of Options and Corporate Liabilities.' Journal of Political Economy 81(3): 637-654. Bloomfield, R., and O'Hara, M. (2000). 'Can transparent markets survive?.' Journal of financial Economics, 55(3), 425-459. Canina, L. and S. Figlewski (1993). 'The informational content of implied volatility.' Review of Financial Studies 6(3): 659-681. Chiras, D. P. and S. Manaster (1978). 'The Information Content of Option Prices and a Test of Market Efficiency.' Journal of Financial Economics 6(2/3): 213-234. Christensen, B. J. and N. R. Prabhala (1998). 'The relation between implied and realized volatility.' Journal of Financial Economics 50(2): 125-150. Cox, J. C., S. A. Ross and M. Rubinstein (1979). 'Option Pricing: A Simplified Approach.' Journal of Financial Economics 7(3): 229-263. Day, T. E. and C. M. Lewis (1992). 'Stock market volatility and the information content of stock index options.' Journal of Econometrics 52(1/2): 267-287. Fleming, J. (1998). 'The Quality of Market Volatility Forecasts Implied by S&P 100 Index Option Prices.' Journal of Empirical Finance 5: 317-345. Gemmill, G. (1986). 'The Forecasting Performance of Stock Options on the London Traded Options Market.' Journal of Business Finance & Accounting 13(4): 535-546. Jorion, P. (1995). 'Predicting Volatility in the Foreign Exchange Market.' Journal of Finance 50(2): 507-528. Lamoureux, C. G. and W. D. Lastrapes (1993). 'Forecasting stock-return variance: toward an understanding of stochastic implied volatilities.' Review of Financial Studies 6(2): 293-326. Latane, H. A. and R. J. Rendleman (1976). 'Standard Deviations of Stock Price Ratios Implied in Option Prices.' Journal of Finance 31 369-381 Lauterbach, B. and P. Schultz (1990). 'Pricing Warrants: An Empirical Study of the Black-Scholes Model and Its Alternatives.' Journal of Finance 45(4): 1181-1209. Long, D. M. and D. T. Officer (1997). 'The Relations between Option Mispricing and Volume in the Black-Scholes Option Model.' Journal of Financial Research 20(1): 1-12. Macbeth, J. D. and L. J. Merville (1979). 'An Empirical Examination of the Black-Scholes Call Option Pricing Model.' Journal of Finance 34(5): 1173-1186. Madhavan, A. (1996). 'Security prices and market transparency.' Journal of Financial Intermediation, 5(3), 255-283. Madhavan, A., Porter, D., & Weaver, D. (2005). 'Should securities markets be transparent?.' Journal of Financial Markets, 8(3), 265-287. Merton, R. C. (1973). 'Theory of rational option pricing.' Bell Journal of Economics & Management Science 4(1): 141-183. Merton, R. C. (1976). 'Option Pricing When the Underlying Stock Returns are Discontinuous.' Journal of Financial Economics 3(1/2): 125-144. Noreen, E. and M. Wolfson (1981). 'Equilibrium Warrant Pricing Models and Accounting for Executive Stock Options.' Journal of Accounting Research 19(2): 384-398. Rubinstein, M. (1985). 'Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 through August 31, 1978.' Journal of Finance 40(2): 455-480. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/16961 | - |
dc.description.abstract | 本研究以Black-Scholes評價模型,從權證市價反求認購權證之隱含波動度,並以權證資訊揭露平台推出之時間點為分界,探討波動度資訊公開後,對台灣權證市場隱含波動度平均數與變異數之影響。
實證結果顯示,權證資訊揭露平台推出後,在不考慮大盤的影響時,2012年下半年的隱含波動度變異數在上市日、上市後四週、上市後八週、上市後十二週顯著較上半年小;然而,以大盤對應期間之報酬標準差平減後,在發行日和上市日是下半年顯著較大,在上市後八週和上市後十二週則是下半年顯著較小,顯示資訊在市場上的揭露有時間差,在權證上市後一段時間,資訊相對透明,使得權證市場之波動度變化有集中化趨勢。至於隱含波動度平均數在平減前,發行日、上市後八週和上市後十二週為下半年顯著較小;平減後,每個觀察日都是下半年顯著較大,顯示權證資訊揭露平台揭露資訊之功效並未帶來降低波動度之效果。 因此,本研究認為除了提供資訊揭露平台,更重要的是教育投資人,如何善加運用資訊,才能使權證市場更加完善健全。 | zh_TW |
dc.description.abstract | We apply the Black-Scholes pricing model to evaluate the covered warrants implied volatility and then investigate the effects of warrants information disclosure on the changes in mean and variance of implied volatility.
As the empirical results show, after the information disclosure, the variances of implied volatility are significantly smaller in second half of 2012 on the dates of listing, four weeks after listing, eight weeks after listing, and twelve weeks after listing. However, after taking into consideration the effect of return index, the variances of implied volatility are significantly larger in second half of 2012 on the dates of issuing and listing, and smaller on the dates of eight weeks after listing and twelve weeks after listing, which indicates that there is time lag in information disclosure. We can tell that the information transparency centralize the fluctuation of warrants market in a period of time after the listing. On the other hand, the means of implied volatility are significantly smaller in second half of 2012 on the dates of listing, eight weeks after listing, and twelve weeks after listing, but become significantly larger in second half of 2012 on all observation dates after taking return index into account, which means that the information disclosure doesn’t reduce the market fluctuation. As a result, we believe that in addition to providing sufficient information disclosure, it is important to educate investors how to make good use of information in order to make the market robust. | en |
dc.description.provenance | Made available in DSpace on 2021-06-07T23:51:02Z (GMT). No. of bitstreams: 1 ntu-103-R00723022-1.pdf: 3455894 bytes, checksum: f338d757dcb1c9e77f3f264accecf6bf (MD5) Previous issue date: 2014 | en |
dc.description.tableofcontents | 表目錄 ii
圖目錄 vi 第一章 前言 1 第一節 研究背景 1 第二節 權證資訊揭露平台簡介 2 第三節 研究目的 3 第二章 文獻回顧 5 第一節 權證評價模型 5 第二節 隱含波動度 8 第三章 研究方法 12 第一節 隱含波動度估計 12 第二節 隱含波動度之變異數和平均數檢定 13 第三節 報酬指數日報酬波動度平減法 17 第四章 實證結果與分析 18 第一節 樣本敘述 18 第二節 認購權證隱含波動度統計檢定分析 19 第三節 相較大盤之認購權證隱含波動度統計檢定分析 20 第四節 不同產業之認購權證隱含波動度統計檢定分析 25 第五節 個別公司之認購權證隱含波動度統計檢定分析 33 第六節 不同券商之認購權證隱含波動度統計檢定分析 43 第五章 結論與建議 54 參考文獻 56 | |
dc.language.iso | zh-TW | |
dc.title | 認購權證資訊揭露平台對認購權證隱含波動度之影響 | zh_TW |
dc.title | The Effects of Warrant Information Disclosure Platform on Warrant Implied Volatility | en |
dc.type | Thesis | |
dc.date.schoolyear | 102-1 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 王耀輝(Yaw-Huei Wang),廖咸興(Hsien-Hsing Liao) | |
dc.subject.keyword | 認購權證,隱含波動度,資訊揭露, | zh_TW |
dc.subject.keyword | Warrant,Implied Volatility,Information Disclosure, | en |
dc.relation.page | 58 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2014-01-24 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
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