台股認購權證與標的股票交易量及資訊不對稱對於波動性之影響

The Effect of Trading Volume and Information Asymmetric On Volatility: Evidence from Taiwan Warrants and Underlying Stocks

王毓敏(Yu-Min Wang) ； 陳正佑(Cheng-Yu Cheng)

《風險管理學報》 3卷1期 (2001/05) Pp. 49-69

https://doi.org/10.30003/JRM.200105.0002

摘要

本文以ARIMA(p,0,q)模型將交易量分為預期與非預期交易量，再以GARCH(1,1)-M模型說明台股認購權證與標的股票交易量及資訊不對稱對於波動性的影響，綜合實證結果，可以歸納為以下幾點結論：（1）投資人承擔標的股票或認購權證投資風險，並未完全得到相對應的補償；（2）標的股票（認購權證）交易量愈大時，標的股票（認購權證）的波動性愈大；（3）標的股票交易量對於權證波動性有較大的影響，特別是預期的標的股票交易量愈大時，會提高權證的波動性；（4）資訊不對稱會影響波動性，但其影響程度會因標的股票與權證的不同而有所差異。

關鍵字

ARIMA模型 ； GARCH模型 ； 預期交易量 ； 非預期交易量 ； 資訊不對稱

並列摘要

This paper partitions each trading volume series into expected and unexpected components based on the parameters estimated from ARIMA(p,0,q) model. Using GARCH(1,1)-M model, we investigate the effect of trading volume and information asymmetric on volatility of Taiwan warrants and underlying stocks. In this paper, the conclusions can be summarized as follows: (1) The risk of underlying stocks and warrants has not raised the holders to require risk premium for compensation. (2) The greater trading volume of underlying stocks (warrants) is associated with greater volatility of underlying stocks (warrants). (3) The trading volume of underlying stocks in explaining the conditional volatilities of warrants is significance. We also find that expected trading volume of underlying stocks contributes to enhanced volatility of warrants. (4) The information asymmetric has different effects on volatility for different underlying stocks and warrants.

並列關鍵字

ARIMA Model ； GARCH Model ； Expected Trading Volume ； Unexpected Trading Volume ； Information Asymmetric