政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/136330

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/136330

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政大典藏 > College of Commerce > Department of Finance > Theses > Item 140.119/136330

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/136330

Title:	不同權證特性影響認購權證報酬之實證研究 An Empirical Study on How Different Warrant Characteristics Affect the Return of Call Warrants
Authors:	葉融 Yeh, Rong
Contributors:	岳夢蘭葉融 Yeh, Rong
Keywords:	認購權證權證特性券商推薦條件特性篩選權證報酬 Call warrant Warrant characteristics Warrant return Selection criteria
Date:	2021
Issue Date:	2021-08-04 14:44:28 (UTC+8)
Abstract:	本篇論文之研究主體為台灣權證市場之認購權證，選取近五年交易金額前10大個股權證，以及加權指數之指數權證等共11檔標的證券進行研究，主要探討權證所具備之各種特性，參考過往文獻所得之相關結論與券商所推薦之相關因素，研究涵蓋隱含波動溢價比率、溢價比率、當日成交量、到期天數、有效槓桿、價內外程度、流通在外比例和造市商發行量規模等考量因素，分析是否能藉由選取特定券商屬性以及具備相關特性之權證，以此獲得相對較好之報酬，以及研究不同造市商推薦之共同篩選條件，是否也能提供投資人相對較好之報酬。實證結果顯示，透過選取特定的權證特性，確實能獲取相對較好之報酬，並針對原始的造市商推薦條件進行改良，以此提升投資人之認購權證報酬。 The paper empirically examines the impact of selecting different warrant characteristics for the return of call warrants. For a sample of firms whose call warrants listed on TWSE had a host of volume from 2016 to 2020, the empirical evidence indicates that considering several factors such as premium volatility, premium, volume, maturity, leverage, moneyness, outstanding ratio, and maker size, it’s possible to obtain relatively better return by selecting specific warrant’s characteristics. Also, the findings show that the mutual selection criteria recommended by different market makers couldn’t effectively provide better return for investors. Therefore, the paper provides the revised version for recommended criteria for the investors to enhance their call warrant’s return, and serve as a guide for further research in this field.
Reference:	一、中文文獻王毓敏(2002)，交易量及波動性之關聯性－台股認購權證與標的股票之探討，管理評論，第 21卷1期，pp.115 – 136 方錫勇(2007)，個股權證隱含波動率指標之投資決策-以台灣電子股認購權證為例，銘傳大學，資訊管理學系碩士在職專班碩士論文李怡宗、劉玉珍與李健瑋(1999)，Black-Scholes評價模式在台灣認購權證市場之實證，管理評論，第18卷3期，pp.83 - 104 吳岳學(2009)，發行券商差異對權證價值影響之探討，國立中正大學，財務金融所碩士論文林祈安(2014)，權證篩選之實證研究-以指數標的及台灣50的權證為例，國立政治大學，金融研究所碩士論文徐清俊與廖哲毅(2005)，證券自營商買賣超對認購權證隱含波動率及標的股票股價之影響，運籌研究集刊，8期，pp.19 – 41 詹場、池祥麟(2014)，台灣券商發行之權證市場品質及造市績效評比，台大管理論叢，第24卷S1期，pp.29-60 詹場、陳業寧、柯文乾和黃尚傑(2020)，臺灣權證市場的贏家與輸家，臺大管理論叢，第30卷1期，pp.163 – 200 趙倫晤(2012)，以權證溢價比與價內外程度檢測台灣權證市場之效率性，逢甲大學，統計與精算所碩士論文鄧佳青(2016)，台灣權證市場及權證價格分析與探討，國立中央大學，財務金融學系碩士論文二、英文文獻 Barber, B. M., Lee, Y., Liu, Y., and Odean, T. (2009), “Just How Much Do Individual Investors Lose by Trading?” The Review of Financial Studies, Volume 22, Issue 2, pp. 609–632. Bauer, R., Cosemans, M., and Eichholtz, P. (2009), “Option trading and individual investor performance.” Journal of Banking & Finance, Vol. 33, Issue 4, pp. 731-746. Li, G., and Zhang, C. (2011), “Why Are Derivative Warrants More Expensive Than Options? An Empirical Study.” The Journal of Financial and Quantitative Analysis, Vol. 46, No. 1, pp. 275-297. Poon, P. (1994), “An Empirical Examination of the Return Volatility-Volume Relation in Related Markets: The Case of Stock and Options.” The Financial Review, Vol. 29, pp. 473-496. Pan, J., and Poteshman, A. M. (2006), “The Information in Option Volume for Future Stock Prices.” The Review of Financial Studies, Vol. 19, Issue 3, pp. 871–908. Wong, K. M., and Chong, T. T. (2008), “A threshold model for the Hong Kong warrant prices.” Applied Financial Economics Letters, Vol. 4, Issue 5, pp. 337-339.
Description:	碩士國立政治大學財務管理學系 108357016
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0108357016
Data Type:	thesis
DOI:	10.6814/NCCU202101130
Appears in Collections:	[Department of Finance] Theses

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