每日累加避險量對標的股票波動性的影響－以台灣權證市場為例

The Effect of Daily Cumulative Hedge Volume on the Volatility of the Underlying Stocks: An Empirical Study of Taiwan Call Warrants Market

楊雪蘭(Hsueh-Lan Yang) ； 古永嘉(Yeong-Jia James Goo)

《管理評論》 22卷3期 (2003/07) Pp. 1-23

https://doi.org/10.6656/MR.2003.22.3.CHI.1

摘要

民國87至90年，券商發行之已下市權證有41檔標的集中於六家公司，本文檢視多重發行認購權證的避險需求，對標的股票的波動性可能產生的衝擊。所有41檔認購權證及其標的股票資料列為實驗組，而相同產業中只發行單檔權證者則視為對照組。由Delta值加減碼計算每日累加避險量，是操控性變數，視為資訊流的代理變數，放入Volume-GARCH(1,1)模式，由此測度發行相同標的股票多檔權證對該股票波動性所產生的影響力。
研究發現摘要如下：無論每日累加避險量是否具有顯著影響，多重發行之實驗組，其三種模式之估計參數一致為負；而單一發行之對照組，其估計參數則或正或負。實證結果顯示，相同標的股票若發行多檔權證，或許能穩定並降低標的股票之波動性。主管機關可以考慮不介入管制相同標的股票多檔權證之發行。

關鍵字

認購權證 ； Delta值加減碼 ； 每日累加避險量 ； Volume-GARCH 1,1模式 ； 波動性

並列摘要

There were 41 warrants specifically listed for six companies by securities firms from 1998 to 2001, and all the warrants have now been executed. This paper examines the impact of the hedging demand of multiple listed warrants might have on the volatility of the underlying stocks. All 41 warrants and underlying stocks data were used as experimental groups. 5 ingle issued warrants on underlying stocks in the same industries were used as contrast groups. Daily cumulative hedge volume, a control variable, was calculated by using the enlarged or reduced value of Delta as a proxy for the information flow. The Volume-GARCH (1,1) model is adopted for analyzing the effects on underlying stocks' volatility created by multiple issued warrants on the underlying stocks. The findings are summarized as follows. For the multiple listed experimental groups, whether daily cumulative hedge volumes are statistically significant, the estimated parameters are all negative for the three models used in this paper. For the single listed groups (the contrast groups), the estimated parameters are either positive or negative. These results suggest that multiple listed warrants may be an important factor for stabilizing and decreasing volatility on the underlying stocks, and government agency responsible for approving the listed warrants might not need to control multiple listed warrants.

並列關鍵字

Warrants ； The Enlarged or Reduced Value of Delta ； Daily Cumulative Hedge Volume ； Volume-GARCH 1,1 Model ； Volatility

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