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    題名: 備兌型認購權證的價格發現功能(2/2)
    其他題名: An Empirical Study of the Price Discovery Function of Covered Warrants (II)
    作者: 周行一
    關鍵詞: 認購權證;交易行為;流動性;搶帽者
    Derivative warrant;Trading behavior;Liquidity;Scalper
    日期: 2000
    上傳時間: 2007-04-18 16:42:01 (UTC+8)
    出版者: 臺北市：國立政治大學財務管理學系
    摘要: 本論文探討認購權證發行券商的次級市場交易行為，本文的特殊資料庫讓本文有機會探討這個過去無法研究的問題，本文發現發行券商是認購權證次級市場的主要流動性供給者，也對標的股票的流動性有重要的幫助。發行券商的交易行為比較像搶帽者，而非部位交易者或指定造市者。發行券商的主要獲利來源為發行期間收取的權利金，但是在次級市場的交易卻賠錢，因此，雖然一般人認為發行券商收取的權利金過高，但是卻可增加券商在次級市場提供流動性的意願。本文亦發現勸商的次級市場交易對權證及標的股票的價格有顯著的影響。
    This paper studies the trading behavior of derivative warrant issuers on the Taiwan Stock Exchange. We use a unique dataset that allows us to explore this issue. The issuers are the major liquidity providers on the warrant market. In addition, the issue of warrant also helps increase the liquidity of the underlying. The issuers trade mainly like scalpers rather than position traders or designated market makers. The premium the warrant issuers collect before the start of secondary market trading is the main source of their profits. In general, they lose money from trading on the secondary market. Our finding provides a new insight on the regulation of market maker`s (underwriter`s) profit. If we allow liquidity providers to charge a high price for their services, the market liquidity could enhance. The trading of the warrant issuers have significant impacts on the price of warrants and the underlying.
    描述: 核定金額：566300元
    資料類型: report
    顯示於類別:[財務管理學系] 國科會研究計畫

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