請用此 Handle URI 來引用此文件:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/54579
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 | Yung-Kai Hung | en |
dc.contributor.author | 洪勇凱 | zh_TW |
dc.date.accessioned | 2021-06-16T03:05:36Z | - |
dc.date.available | 2025-12-31 | |
dc.date.copyright | 2015-08-11 | |
dc.date.issued | 2015 | |
dc.date.submitted | 2015-06-27 | |
dc.identifier.citation | 英文文獻
1. Chang, Jui-Jane and Liao, Szu-Lang, 'Warrant introduction effects on stock return processes.' Applied Financial Economics 20.17 (2010): 1377-1395. 2. Conrad, J., 'The price effect of option introduction.' The Journal of Finance 44.2 (1989): 487-498. 3. Damodaran, A. and Lim, J., 1991, “The Effects of Option Listing on the Underlying Stocks.” Journal of Banking and Finance, vol. 15, pp.647-664 4. Detemple, J. and Jorion, P., 'Option listing and stock returns: An empirical analysis.' Journal of Banking & Finance 14.4 (1990): 781-801. 5. Draper, P., Mak, B. S. and Tang, G. Y., 'The derivative warrant market in Hong Kong: relationships with underlying assets.' The Journal of Derivatives 8.4 (2001): 72-84. 6. Elfakhani, S. and Chaudhury, M., 'The volatility effect of option listing: Some Canadian evidence.' The Quarterly Review of Economics and Finance 35.1 (1995): 97-116. 7. Fama, E. F. and French, K. R., 'The cross‐section of expected stock returns.' the Journal of Finance 47.2 (1992): 427-465. 8. Fama, E. F. and French, K. R., 'Common risk factors in the returns on stocks and bonds.' Journal of financial economics 33.1 (1993): 3-56. 9. Fama, E. F. and French, K. R., 'The capital asset pricing model: Theory and evidence.' Journal of Economic Perspectives 18 (2004): 25-46. 10. Haddad, M. M. and Voorheis, F. L., 1991, “Initial Option Trading and Security Risk and Return” Journal of Business Finance and Accounting, pp. 903-913. 11. Hasan, M. K. and Chowdhury, S., “The impact of the Introduction of index options on volatility and liquidity on the underlying stocks : Empirical evidence from the Asian stock markets.” Umeå School of Business, 2011, 2-114. 12. Maheu, J. M. and McCurdy, T. H., 'Identifying bull and bear markets in stock returns.' Journal of Business & Economic Statistics 18.1 (2000): 100-112. 13. Rojanaporn, V., “Impact of warrant introduction on characteristics of underlying stock. Diss.” Faculty of Commerce and Accountancy Thammasat University, 2006. 14. Sahlström, P., 'Impact of stock option listings on return and risk characteristics in Finland.' International Review of Financial Analysis 10.1 (2001): 19-36. 15. Skinner, D.J., 1989, “Options Markets and Stock Return Volatility.” Journal of Financial Economics, vol. 23, pp.61-78. 16. St Pierre, E. F, 1998, 'The impact of option introduction on the conditional return distribution of underlying securities.' Financial Review 33.1: 105-118. 17. Whiteside, M. M., Dukes, W. P. and Dunne, P. M. 'Short term impact of option trading on underlying securities.' Journal of Financial Research 6.4 (1983): 313-321. 18. Zhang, A. L. and Wu., C. F., 'Impact of warrant introduction on trade behavior of underlying stocks.' Journal of Industrial Engineering/Engineering Management 22.4 (2008): 137-139. 中文文獻 1. 方智強與姚明慶, '臺灣上市公司的淨值市價比現象.' 管理學報 15.3 (1998): 367-391. 2. 王錦瑩與林晏竹, '散戶情緒與股票報酬-臺灣股市實證研究.' 中華科技大學學報 50 (2012): 147-167. 3. 周賓凰、張宇志與林美珍, '投資人情緒與股票報酬互動關係.' 證券市場發展季刊, 第十九卷第二期 (2007): 153-190. 4. 洪培均, “Underlying Price Effect of Warrant Issuance.” Department of Finance and International Business, Fu Jen Catholic University, 2014, 2-44. 5. 紀文欽, “認購權證相對於當日沖銷對市場效率之影響.” 國立政治大學企業管理研究所碩士班碩士論文, 2002. 6. 許溪南、郭玟秀與李依靜, '反向策略的績效與獲利因子:臺灣股市之實證.' 中華管理評論國際學報, 2008. 7. 許溪南、王耀斌與洪銓, “臺灣股票市場成分波動性之分解, 趨勢與影響因素.” 中華管理評論國際學報, 2011. 8. 游舜德與林詩榕. '臺灣上市櫃建設公司股票報酬率影響因素之研究.' 臺灣土地研究 14.2 (2011): 1-38. 9. 黃宗明, “發行個股型認購權證對標的股票影響之實證研究.” 中國中原大學碩士班碩士論文, 2007. 10. 葉子賢, “個股型認購權證上市對標的股票之影響.” 國立雲林科技大學財務金融系碩士班碩士論文, 2003 11. 劉煥彥(2015 1月26日), “去年權證市場夯 貢獻券商10~20%獲利” 蘋果日報 12. 鄭高輯與林泉源, '投資人情緒對投機型股票報酬之影響.' International Journal 2.1 (2010): 021 | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/54579 | - |
dc.description.abstract | 本論文研究2010年第一季至2015年第一季臺灣券商所發行的480檔個股認購權證及認售權證對於標的股票之影響。分別對股票報酬率、股票報酬率波動度、股票融資、股票融券、股票當日沖銷進行複回歸分析。
過去的文獻主要都是利用事件研究法,觀察權證上市日前後有無發行對於標的股票市場之影響,但實際上權證發行的數目對於標的股票會有一定的影響,因此本研究是以權證可行使之約當股數作為變數。此外,因為並不是所有權證到期都會行使,只有價內或價平權證有機會行使,因此必須再考慮權證的delta值。 根據實證的結果可歸納出以下幾點結論:(1)認購權證因子對標的股票報酬率有顯著的正向效果,而認售權證則對標的股票報酬率有顯著的反向效果,符合券商權證避險所產生的追漲殺跌的現象。(2) 認購權證與認售權證也因為券商權證進行避險而助長了股票報酬率波動度。(3) 認購權證對於股票融資變動並未產生排擠效果。可能的解釋原因是操作股票融資與操作權證的年齡層不同,兩市場有所區隔。(4) 認售權證對於股票融券變動並未產生排擠效果。可能的解釋原因是操作股票融資與操作權證的年齡層不同,兩市場有所區隔。(5)權證與當日沖銷交易呈現反向關係,可能的解釋原因是投資人將槓桿倍數視為更重要的考慮因素,因此會選擇槓桿倍數較高的當沖交易。 | zh_TW |
dc.description.abstract | By using multiple regression analysis, this research attempts to look into the impacts of warrant market on the return, volatility, margin trading and day trade of the underlying stocks. We collected 480 samples for 21 seasons (first quarter 2010 to first quarter 2015) to investigate the impacts of warrants on underlying stocks market.
Previously, researchers using event study to look into the impacts of the single warrants listing on the underlying stocks. However, the numbers of warrants listing would have certain influences on underlying stock markets. We determine stock equivalents of warrants exercised as an independent variable to accurately estimate the impacts of warrants. Because there is no reason to exercise warrants when the strike price is out-of-money, we would consider the delta of warrants. Empirical results show : (1) the call warrants factor has significant positive effect on stocks returns and the put warrants factor has significant negative effect on stocks returns. These phenomena are in line with the brokers’ warrants hedging actions. (2) the call warrants factor and the put warrants factor have significant influence on stock return volatility. (3) There is no crowding out effect between call warrants and margin purchase. The possible reason would be that there is different disparity age between call warrants investors and margin purchase investors. (4) There is no crowding out effect between put warrants and margin short. The possible reason would be that there is different disparity age between put warrants investors and margin short investors. (5) the call warrants factor and the put warrants factor have negative effect on stocks day trading. The possible reason may be that investors consider financial gearing more important investment strategy. | en |
dc.description.provenance | Made available in DSpace on 2021-06-16T03:05:36Z (GMT). No. of bitstreams: 1 ntu-104-R02723063-1.pdf: 1013181 bytes, checksum: 6f701956c55acfc5346b9fc491302c49 (MD5) Previous issue date: 2015 | en |
dc.description.tableofcontents | 口試委員會審定書 i
誌謝 ii 中文摘要 iii Thesis Abstract iv 第一章 緒論 1 1.1研究動機與目的 1 第二章 文獻探討 3 2.1選擇權對股票影響之探討 3 2.2權證對股票影響之探討 4 2.3文獻中常用之模型 6 2.4研究綜合評述 7 第三章 研究方法與實證模型 8 3.1研究方法 8 3.2實證模型 8 3.3資料來源與變數之操作性定義 10 第四章 實證結果 23 4.1相關統計資料分析 23 4.2實證結果 24 第五章 結論 37 5.1認購權證調整後相對發行量對標的股票之影響 37 5.2認售權證調整後相對發行量對標的股票之影響 38 參考文獻 39 附錄 42 權證規定法規與規定 42 權證發行人資格 42 標的權證規定 42 | |
dc.language.iso | zh-TW | |
dc.title | 臺灣認購(售)權證對標的股票報酬率、波動率、融資融券及當日沖銷之影響 | zh_TW |
dc.title | The Impacts of Warrant Market on the Return, Volatility, Margin Trading and Day Trade of the Underlying Stocks | en |
dc.type | Thesis | |
dc.date.schoolyear | 103-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 張森林(San-Lin Chung),張景宏(Ching-Hung Chung) | |
dc.subject.keyword | 認購權證,認售權證,股票報酬率,股票報酬率波動度,股票融資,股票融券,股票當日沖銷, | zh_TW |
dc.subject.keyword | Call Warrant,Put Warrant,Stock Return, Stock Return Volatility,Margin Purchase,Margin Short,Stock Day Trading, | en |
dc.relation.page | 42 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2015-06-28 | |
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 |
文件中的檔案:
檔案 | 大小 | 格式 | |
---|---|---|---|
ntu-104-1.pdf 目前未授權公開取用 | 989.43 kB | Adobe PDF |
系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。