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| Title: | 台灣集中交易市場個股型認購權證時間價值衰退現象探討
Time value of Covered Warrants in Taiwan Stock Market |
| Authors: | 林宣君
Lin, Hsuan-chun |
| Contributors: | 姜堯民
Chiang, Yao-ming
林宣君
Lin, Hsuan-chun |
| Keywords: | 選擇權
認購權證
B/S模式
時間價值
時間價值衰退
options
warrants
B/S model
time value
time decay |
| Date: | 2003 |
| Issue Date: | 2009-09-17 19:13:59 (UTC+8) |
| Abstract: | 認購權證已在台灣發行與交易已接近七年的歷史，提供了更多套利、投機與避險交易的機會給市場參與者，也同時增加資本市場之完整性。而由於認購權證提供持有者在一段期間內依照特定價格購買特定數量標的股票之權利，投資人可以根據其意願與看法於到期日前來決定是否進行履約。而權證投資人購買權證之權利金即是包含內含價值與投資人願意支付的時間價值兩部分。時間價值的多寡反應出投資人對於未來權證履約價格是否可以無限增加的看法。而在其他條件不變之下，距到期時間越久之權證的價值應是越高。不過，是否時間越接近到期日時，投資人對於時間價值的看法就會呈現單純線性下降的狀態，還是另外有其他的資訊內涵會影響投資人對於價值的看法，即為本研究所欲探討之主題。
本研究針對台灣市場中個股型認購權證不同時點之時間價值變化程度，與可能影響時間價值變化的因素進行分析，其研究結果如下：
1.研究樣本並非完全符合越接近到期日時間價值減少的現象越明顯的狀態，顯示時間價值的變化隱含著會有其他之因素影響投資願意支付金額的多寡。且部分權證的確曾發生短期內時間價值大幅衰減的現象。
2.權證之價內外程度、距到期日之遠近、相對交易量的多寡與標的股票是否為電子業，對時間價值減少均有顯著的影響。另外，距到期日之天數、權證相對成交量、標的股票所屬產業與市場是否處於多頭與否均顯著影響短期內發生時間價值大幅衰退之現象。
3.本研究發現目前無法利用權證發行條件的差異，來判斷此權證是否會在存續期間當中發生時間價值急速衰退的現象。
Warrants has been traded in Taiwan for seven years, and provides more opportunities for participants to arbitrage, hedge and speculate in capital market. Warrant gives holders the right to buy stocks at certain price during a period of time. The premium (price) to long warrants is contained intrinsic value and time value. Other things being equal, the longer the time to expiration day, the higher the value of warrants, since there is larger probability for investors to get more return. However, would any other terms expect time to expiration affect the variations of time value, or if we can find some variables could provide other content of information and result the change of time value. This is what the study focus on. Followings are the results of this study:
1. There are not all thetas of warrants in this sample decreasing simply by the time to expiration. It seems to be other variables would cause the change of theta. Besides, some warrants had serious time-decay in a short period of time.
2. Intrinsic value, time to expiration, trading volume, whether underlying stock in electronic industry or not and the market condition all have obvious effects on decrease of time value and serious time-decay.
3. It is still impossible to use issue information to identify if this warrant will have time-decay in its life. |
| Reference: | 英文部分
1. Anthony, J.H., 1988, “The Interrelation of Stock and Options Market Trading-Volume Data,” Journal of Finance 43, 949-964.
2. Bakshi, G., C. Cao and Z. Chen, 2000, “Do Call Prices and the Underlying Stock Always Move in the Same Direction?” Review of Financial Studies 13, 549-584.
3. Black, F. and M. Scholes, 1973, “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy 81, 637-659.
4. Canina, L. and S. Figlewski, 1993, “The Information Content of Implified Volatility,” Review of Financial Studies 3, 659-681.
5. Chiras, D. P. and S. Manaster, 1978, “The Information Content of Option Prices and a Test of Market Efficiency,” Journal of Financial Economics 6, 213-234.
6. Connolly, K. B., Buying and Selling Volatility, 1997, John Wiley & Sons.
7. Cox, J.C., S.A. Ross and M. Rubinstein, 1979, “Option Pricing: A Simplified Approach,” Journal of Financial Economics 7, 229-263.
8. Easley, D., M. O. Hara and P. S. Srinivas, 1998, “Option Volume and Stock Prices: Evidence on Where Informed Trade,” Journal of Finance 53, 431-465.
9. Ferri, M. G., S. B. Morre and D. C. Schirm, 1989, “The listing, Size, Value of Equity Warrants,” Financial Review 24, 135-146.
10. Figlewski, S., 1989, “Options Arbitrage in Imperfect Market,” Journal of Finance 44.1289-1311.
11. Figlewski, S. and S. Freund, 1994, “The Pricing of Convexity Risk and time Decay in Options Markets,” Journal of Banking & Finance 18, 73-91.
12. Hull, J. H., Options Futures and Other Derivatives, 5th edition, Prentice Hall, Inc., 168-252, 309-311.
13. Leland, H. E., 1985, “Option Pricing and Replication with of transaction costs,” Journal of Finance 40, 1283-1301.
14. Long, D. M. and D.T. Officer, 1997, “The Relation between Option Mispricing and Volume in the Black-Scholes Option Model,” The Journal of Financial Research 20, 1-12.
15. Longstaff, F., 1990, “Pricing Options with Extendible Maturities: Analysis and Applications,” Journal of Finance 45, 937-957.
16. Ncube, M., 1996, “ Modelling Implied Volatility with OLS and Panel data Models,” Journal of Banking & Finance 20, 71-84.
17. Raman, K., S. Atulya and S. Kuldeep, 1990, “The Impact of Options Trading on the Market Quality of the underlying Security: A Empirical Analysis,” Journal of Finance 53, 717-732.
18. Skinner, D.J., 1988, “Options Markets and Stock Return Volatility,” Journal of Financial Economics 23, 61-78.
19. Stephen, J. A. and R. E. Whaley, 1990, “Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets,” Journal of Finance 45, 191-220.
20. Whaley, R., 1981, “On the Valuation of American Call Options on Stocks with known dividends,” Journal of Financial Economics 9, 207-211.
21. Whaley, R., 1982, “Valuation of American Call Options on Dividend-paying Stocks: Emperical tests,” Journal of Financial Economics 10, 29-58.
中文部份
1. 王誌聰，「台灣認購權證與標的股票互動關係之探討」，國立中央大學財務金融研究所。民國86年6月。
2. 許昱寰，「台灣認購權證評價之實證研究」，私立輔仁大學管理學研究所未出版碩士論文，民國86年6月。
3. 何桂隆，「不同波動性估計方法下台灣認購權證績效之比較」，國立成功大學企業管理研究所未出版碩士論文。民國87年6月。
4. 單應翔，「台灣認購權證」訂價模型選擇之研究」，私立長庚大學管理學研究所未出版碩士論文，民國87年6 月。
5. 楊坤豪，「台灣認購權證市場交易活動變數對標的股票報酬條件波動度影響之研究」，國立政治大學財務管理研究所未出版論文。民國88年6月。
6. 楊玉菁，「台灣個股型認購權證評價之研究」，彰化師範大學商業教育研究所未出版碩士論文。民國90年6月。
7. 黃靜宜，「台灣認購權證對標的股價之長短期效果」，國立成功大學企業管理研究所未出版碩士論文。民國91年6月。
8. 陳威光，「衍生性金融商品，期貨、選擇權與交換」，智勝文化事業有限公司，民國91年8月初版。 |
| Description: | 碩士
國立政治大學
財務管理研究所
91357010
92 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0091357010 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
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