備兌型權證的避險策略對現貨市場之影響

Abstract

本篇論文是第一篇探討在存續期間內權證的交易行為是否會影響現貨的價格走勢，尤其是針對權證的避險操作。過去的文獻只有一篇針對美國市場的選擇權發行後至到期間此交易期間去探討選擇權交易對現貨價格的影響，所以針對發行後至到期前期效果的相關文獻還相當缺乏。特別是台灣證券交易所對於認購權證的發行券商訂有相關的風險控管要求，發行商在發行日之前必須先提出風險沖銷策略書，並且在整個契約期間內亦要持續地作動態避險。所以相對於一般的選擇權，備兌型權證更能提供我們一個更好的環境去檢驗在存續期間內衍生性商品的避險操作對現貨市場的影響。檢驗結果發現在整個契約期間內，現貨的波動率與劵商的賣出部位呈顯著的負相關。而我們除了檢驗存續期間內的避險效果外，我們又額外去測試發行及到期的效果。我們發現在權證宣告日之前標的股票存在顯著正的異常報酬。價內到期的權證其現貨亦存在正的異常報酬；但是價外到期的權證在到期日之前卻是呈現負的異常報酬。總結來說，權證的交易行為確實會造成標的股價在發行日及到期日的短期結構性改變；但在權證存續期間內卻會造成標的股價長期性的影響。

Due to the scanty researches about the effects of option trading on underlying assets over the life of options and the special mechanism of trading warrants in Taiwan, this is the first research examining whether warrant trading impacts underlying stock price over the life of warrant, especially focusing on the hedging behavior. Taiwan Security Exchange (TWSE) requires the warrant issuers to submit a hedging plan before the warrant issuing, and need to conduct dynamic hedging over the life of warrant. Hence, relative to option, covered warrant in Taiwan is a natural candidate to examine whether derivatives trading activities affect the underlying assets during the life of derivatives. We test this effect and find that there is a significantly negative relationship between stock return volatility and net written positions of issuers over the life of warrants. In addition to examining the effects of duration of warrants, we also provide additional evidence about the effects of introduction and expiration. Our results show that the introduction of warrants leads to a positive price effect. The expiration of in-the-money (out-of-the-money) warrants causes a positive (negative) price effect prior to expiration day. In sum, it indeed reveals that the trading activities of warrants have pervasive impacts on underlying stock prices over the life of warrants and one time change impacts during the periods of introduction and expiration.