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標題: | 認購權證資訊揭露平台對認購權證隱含波動度之影響 The Effects of Warrant Information Disclosure Platform on Warrant Implied Volatility |
作者: | Yun-Wen Lo 駱韻文 |
指導教授: | 李存修(Tsun-Siou Lee) |
關鍵字: | 認購權證,隱含波動度,資訊揭露, Warrant,Implied Volatility,Information Disclosure, |
出版年 : | 2014 |
學位: | 碩士 |
摘要: | 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。 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. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/16961 |
全文授權: | 未授權 |
顯示於系所單位: | 財務金融學系 |
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