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

本文乃是針對證券自營商買賣超對認購權證隱含波動率與其標的股價影響進行研究，由於一般的文獻中，常以週轉率、交易量、價格來探討證券自營商的買賣超行為，而沒有使用隱含波動率來探討之，正因為隱含波動率能反應真實市場的波動率，所以採用隱含波動率來探討之。由實證結果我們可以歸納出以下結論：(1)在短期時，證券自營商買賣超會領先隱含波動率與標的股價；(2)在中期時，隱含波動率會領先標的股價與證券自營商買賣超，由此我們可以給投資人建議如下：當隱含波動率處於相對高點時，代表標的股票的市價處於較高的價位，則未來股價有可能會下跌，反之，當隱含波動率處於相對低點時，代表標的股票的市價處於較低的價位，財未來股價可能會上漲。

關鍵字

標的股價；隱含波動率；誤差修正模型；衝擊反應函數；預測誤差變異數分解

並列摘要

The article investigates effect of security dealer net buy-and-sell on warrants implied volatilities and underlying stocks pricing, because in generally documents, no used implied volatilities, often used tumover rate, volume of trade and price to investigates security dealer net buy-and-sell, because of implied volatilities can reaction real market volatilities, therefore we use implied volatilities. In this paper, the conclusions can be summarized as follows: (1) in short-term underlying stocks pricing and Implied volatilities becomes followers, that follow security dealer net buy-and-sell; (2) in medium-term security dealer net buy-and-sell and underlying stocks pricing becomes followers, that follow Implied volatilities; thus we can suggestion for investors as follows: Implied volatilities in the relative culmination, representatives underlying stocks pricing in the more relative culmination, the stacks price will drop probably in the future. On the other band, hnpiledvohl4litis in the relative low point representatives underlying stacks pricing in the more relative low point, the stacks price will rise probably in the future.