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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/68532
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/68532


    Title: 權證篩選之實證研究-以指數標的及台灣50的權證為例
    Empirical Study in Warrants Selection, Based on Index and Taiwan 50 Equities
    Authors: 林祈安
    Lin, Chi An
    Contributors: 廖四郎
    Liao, Szu Lang
    林祈安
    Lin, Chi An
    Keywords: 權證
    Date: 2013
    Issue Date: 2014-08-12 14:02:33 (UTC+8)
    Abstract: 本篇論文藉由研究權證基本特性,以及結合市場實際價格資料,在確定標的物前提下,篩選出在固定期間內獲取最大獲利之權證並統整其權證特性,作為一般大眾在篩選權證時可經由設定與獲利權證相同區間之價內外程度、隱含波動度、距到期日時間、實質槓桿比等條件提高自身獲利潛力。實證結果顯示, 短天期投資者可挑選隱含波動度低、剩餘天數高以及買賣價差較低之權證。而長天期或波段投資者可挑選隱含波動度低、與標的價格連動較敏感之價外認購權證,以及隱含波動度高、與標的價格連動較不敏感之價內認售權證。
    Reference: 凱基權證網權證小教室https://derivatives.kgi.com.tw/EDWebSite/EDWeb/Warrant/WarrantClass.aspx?PageID=1150
    統一權證網權證教室http://warrant.pscnet.com.tw/teachClass.shtml?
    元大權證網元大學苑權證網http://www.warrantwin.com.tw/school.aspx
    台灣證券交易所
    http://www.twse.com.tw/ch/statistics/statistics_list.php?tm=07&stm=003
    Bruno Dupire (1994),” "Pricing with a Smile" Risk 7, p.18-20.
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    Eric C. Chang, Xingguo Luo, Lei Shi, Jin E. Zhang (2013),”Is Warrant Really a Derivative? Evidence from the Chinese Warrant Market”, Journal of Financial Markets 16, p.165-193.
    Fischer Black and Myron Scholes (1973),” The Pricing of Options and Corporate Liabilities”, The Journal of Political Economy, 81 (3), p.637-654.
    Fleming, J.,Ostdiek, B., and Whaley, R.(1996),”Trading Costs and the Relative Rates of Price Discovery in Stock,Futures, and Option Markets”, Journal of Futures Markets,16, p.353–387.
    George, T. and Longstaff, F. (1993), “Bid–ask Spreads and Trading Activity in the S&P 100 index Options Market”, Journal of Financial and Quantitative Analysis 28, p.381–397.
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    Kaul, G., Nimalendran, M. and Zhang, D.(2004),”Informed Trading and Option Spreads”,Working Paper, University of Florida.
    Lee, B. S., & Rui, O. M. (2002), “The Dynamic Relationship between Stock Returns and Trading Volume: Domestic and Cross-Country Evidence.” Journal of Banking and Finance, 26, p.51–78.
    Mark Rubinstein (1994),” Implied Binomial Trees”, Journal of Finance, 49 (3), p.771-818. Petrella, G.(2006),”Option Bid–Ask Spread and Scalping Risk: Evidence from a Covered Warrants Market”, Journal of Futures Markets,26,p.843–867.
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    Description: 碩士
    國立政治大學
    金融研究所
    101352006
    102
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G1013520061
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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