臺灣認購(售)權證對標的股票報酬率、波動率、融資融券及當日沖銷之影響

The Impacts of Warrant Market on the Return, Volatility, Margin Trading and Day Trade of the Underlying Stocks

洪勇凱(Yung-Kai Hung)

指導教授 ： 李存修

國立臺灣大學/管理學院/財務金融學研究所/碩士(2015年)

https://doi.org/10.6342/NTU.2015.02504

摘要

本論文研究2010年第一季至2015年第一季臺灣券商所發行的480檔個股認購權證及認售權證對於標的股票之影響。分別對股票報酬率、股票報酬率波動度、股票融資、股票融券、股票當日沖銷進行複回歸分析。
過去的文獻主要都是利用事件研究法，觀察權證上市日前後有無發行對於標的股票市場之影響，但實際上權證發行的數目對於標的股票會有一定的影響，因此本研究是以權證可行使之約當股數作為變數。此外，因為並不是所有權證到期都會行使，只有價內或價平權證有機會行使，因此必須再考慮權證的delta值。
根據實證的結果可歸納出以下幾點結論：(1)認購權證因子對標的股票報酬率有顯著的正向效果，而認售權證則對標的股票報酬率有顯著的反向效果，符合券商權證避險所產生的追漲殺跌的現象。(2) 認購權證與認售權證也因為券商權證進行避險而助長了股票報酬率波動度。(3) 認購權證對於股票融資變動並未產生排擠效果。可能的解釋原因是操作股票融資與操作權證的年齡層不同，兩市場有所區隔。(4) 認售權證對於股票融券變動並未產生排擠效果。可能的解釋原因是操作股票融資與操作權證的年齡層不同，兩市場有所區隔。(5)權證與當日沖銷交易呈現反向關係，可能的解釋原因是投資人將槓桿倍數視為更重要的考慮因素，因此會選擇槓桿倍數較高的當沖交易。

關鍵字

認購權證 ； 認售權證 ； 股票報酬率 ； 股票報酬率波動度 ； 股票融資 ； 股票融券 ； 股票當日沖銷

並列摘要

By using multiple regression analysis, this research attempts to look into the impacts of warrant market on the return, volatility, margin trading and day trade of the underlying stocks. We collected 480 samples for 21 seasons (first quarter 2010 to first quarter 2015) to investigate the impacts of warrants on underlying stocks market.
Previously, researchers using event study to look into the impacts of the single warrants listing on the underlying stocks. However, the numbers of warrants listing would have certain influences on underlying stock markets. We determine stock equivalents of warrants exercised as an independent variable to accurately estimate the impacts of warrants. Because there is no reason to exercise warrants when the strike price is out-of-money, we would consider the delta of warrants.
Empirical results show : (1) the call warrants factor has significant positive effect on stocks returns and the put warrants factor has significant negative effect on stocks returns. These phenomena are in line with the brokers’ warrants hedging actions. (2) the call warrants factor and the put warrants factor have significant influence on stock return volatility. (3) There is no crowding out effect between call warrants and margin purchase. The possible reason would be that there is different disparity age between call warrants investors and margin purchase investors. (4) There is no crowding out effect between put warrants and margin short. The possible reason would be that there is different disparity age between put warrants investors and margin short investors. (5) the call warrants factor and the put warrants factor have negative effect on stocks day trading. The possible reason may be that investors consider financial gearing more important investment strategy.

並列關鍵字

Call Warrant ； Put Warrant ； Stock Return, Stock Return Volatility ； Margin Purchase ； Margin Short ； Stock Day Trading

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