權證發行商使用指數股票型基金做為股票認購權證替代避險標的之總合效益分析─以台灣50指數股票型基金為例

Aggregate effectiveness analysis for a warrant issuer on taking exchange traded funds as alternative hedging object of stock call warrants- Evidences from Taiwan 50 ETF

黃明官(Ming-Guan Huang) ； 李俐萱(Li-Hsuan Lee)

《風險管理學報》 16卷2期 (2014/12) Pp. 145-178

摘要

ETF替代避險策略具有三項優勢，其一，可大幅降低流動性風險與摩擦成本；其次，價格不易出現大漲大跌或漲跌停情況；其三，交易稅率較低可節省交易費用。本研究中除了再次驗證ETF替代避險策略理論模型外，更重要的是，本研究認知到同一權證發行商所發行之未到期股票權證中，由於各檔權證之delta值增減變動方向不同，使得需買進與賣出的ETF避險調整部位可相互抵消，在較少之淨買賣數量下，可進一步降低個別權證發行商的避險交易成本支出，因而大幅提升總合避險效益。本研究並選取臺灣50 ETF及五家券商所發行之300檔股票認購權證做為研究樣本進行實證研究。實證結果顯示，在考量抵消效果下，採用ETF替代避險策略為個別發行商所節省的交易成本可再增加一倍有餘，因此，透過本研究成果將更確認與強化股票權證ETF替代避險策略之實務應用價值。

關鍵字

股票認購權證 ； 權證避險策略 ； 指數股票型基金

並列摘要

There are three advantages when using the alternative ETF hedging strategy. Firstly, the liquidity risk and frictional costs can be substantially reduced. Secondly, the steep movements in price or price-limit events are rarely found. Last, the tradecost could be saved as a result of the lower tax rate. Besides validating the theorymodel of alternative ETF hedging strategy once again, more importantly, this studyrecognizes that because the differing changes exist in delta values for outstandingstock warrants issued by the same issuer so that the ETF hedging adjustmentpositions of which some warrants require buying and others require selling can beoffset each other. Consequently, the expense of hedging transaction cost forindividual issuer can be further cut down under lesser net trading volume, and thusthe aggregate hedging effectiveness would greatly heighten. Finally, this study takesTaiwan 50 ETF and 300 warrants, which are randomly selected from five issuers, asthe sample to conduct an empirical study. The empirical results show that the savingtransaction cost can increase again more than one time for individual issuer viausing alternative ETF hedging strategy provided that the offset effect is taken intoaccount. In sum, the study works found here can further identify and strengthen thepractical application value of alternative ETF hedging strategy.

並列關鍵字

Stock Warrants ； Warrant Hedging Strategy ； Exchange Traded Funds

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