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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/155932
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/155932


    Title: 權證Gamma曝險與現貨市場報酬之實證研究
    An Empirical Study on the between Warrant Gamma Exposure and Spot Market Returns
    Authors: 林嵩傑
    Lin, Song-Jie
    Contributors: 廖四郎
    Liao, Szu-Lang
    林嵩傑
    Lin, Song-Jie
    Keywords: 權證市場
    淨gamma曝險
    Delta動態避險
    股票報酬之可預測性
    私人訊息
    Warrants market
    Net gamma exposure
    Dynamic delta hedging
    Stock return predictability
    Private information
    Date: 2024
    Issue Date: 2025-03-03 13:50:25 (UTC+8)
    Abstract: 在台灣權證市場中,淨gamma曝險(net gamma exposure)能正向預測股票報酬,擁有低淨gamma曝險的股票在表現上遜色於高淨gamma曝險的股票,並且結果具有穩健性。在這個環境背景下,並非是因為避險行為所驅動,而是來自於私人訊息所引生出的投機性交易,以及台灣權證市場不具效率性,劵商發行的合約無法提供良好的避險功能。
    In the Taiwan warrants market, net gamma exposure positively predicts stock returns, with stocks exhibiting low net gamma exposure underperforming those with high net gamma exposure, and the results prove robust. In this market context, the observed phenomenon is not driven by hedging activities, but rather stems from speculative trading induced by private information and the inefficiency of the Taiwan warrants market, where the contracts issued by securities firms fail to provide effective hedging functionality.
    Reference: 網站
    「權證前10月發行檔數 亞洲第一」,工商時報,
    https://www.chinatimes.com/newspapers/20231222000274-260206?chdtv。2023/12/22。

    中文譯著
    Damodar N.GuJarati(著),費劍平、孫春霞等(譯)(2009),《計量經濟學(下)(第 4 版)》,出版社:McGraw Hill。

    中文文獻
    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。
    劉文讓 (2010),《備兌型權證的避險策略對現貨市場之影響》,國立臺灣大學財務金融學研究所碩士論文。

    英文書籍
    Badi H. Baltagi , Econometric Analysis of Panel Data(3th ed. 2005)

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    Description: 碩士
    國立政治大學
    金融學系
    111352033
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0111352033
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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