台灣牛熊證市場之券商定價行為與觸價強制收回事件

Abstract

牛熊證的特性與一般權證最大的不同即在於契約中所規定的觸價強制收回機制，一般認為，觸價收回機制是對投資人的一種保護機制；然而，由於牛熊證的定價中，財務費用包含預收的時間價值，如果提早觸價，將造成損失投資人，且財務費用越高，投資人損失也越多。本研究動機主要在探討，券商是否能藉由將牛(熊)證的觸價訂的高(低)一點，讓強制回收事件更容易發生，因此增加報酬。本研究利用迴歸模型分析的實證發現：一、券商於牛熊證契約訂定上，傾向讓高財務費用牛熊證的限制價貼近市價，使MCE事件較易發生。二、高財務費用的牛熊證較易發生MCE事件。三、牛熊證市場上有主導優勢的券商傾向於使牛熊證較易發生MCE事件。

Callable bull/bear contract is different from warrant with the mandatory call mechanism. It is generally recognized that the mandatory call mechanism is a kind of protection to investors. However, when the callable bull/bear contract expired early, investors also lose the time value of the funding cost. Moreover, if the funding cost is higher, investors will lose more. Thus, the thesis aims to find if the securities companies really set the call price close to price of the underlying asset, so the MCE will occur easily, and the securities companies increase their profits. The empirical results show that the callable bull/bear contract with higher funding cost tends to have a call price close to price of the underlying asset. Second, the callable bull/bear contract of higher funding cost is more likely to have MCE. Third, the dominant securities companies tend to set a call price close to price of the underlying asset, which means the MCE may occur more easily.