探討台灣和香港權證發行行為

The Warrants Issuance Behavior in Taiwan and Hong Kong

陳谷禎(Gu-Jen Chen)

指導教授 ： 詹佳縈 ； 黃宜侯

元智大學/管理學院/財務金融學系/碩士(2008年)

摘要

本文調查台灣和香港衍生性權證發行和上市時,標的股票的交易行為.本文並進一步調查台灣和香港權證發行的規定,結果發現台灣的權證發行規定較香港嚴格是台灣的權證發行交易值遠小於香港的主因,其中重要的差別可能是香港對發行權證的標的股票占標的股票流通在外股數的比例沒有規定限制.而本文發現台灣在權證宣稱日可能因為發行商購買標的股票導致標的股票有顯著正的價格效果和顯著正的流動性效果.台灣在權證上市日可能因為投資人購買認購權証賣出標的股票和投資人將認購權証視為標的股票的替代品而賣出標的股票,導致標的股票有顯著負的價格效果和顯著正的流動性效果.香港在權證上市日有顯著負的價格效果和不顯著的流動性效果.而權證標的為電子股時,台灣的價格效果大於香港,權證的標的為全部樣本或是其他股票,台灣的流動性效果大於香港.我們發現台灣機構投資人（外資,投信,和自營商）在權證宣稱日時有異常的標的股票持股比例改變.

關鍵字

事件研究 ； 價格效果 ； 流動性效果 ； 權證上市日 ； 權證宣稱日

並列摘要

The paper investigates the underlying stocks trading behavior around announcement date and listing date in Taiwan and Hong Kong. This paper further investigates the regulations of warrants issuance in Taiwan and Hong Kong. The distinct difference in regulations of Taiwan and Hong Kong may result different abnormal trading behaviors in the event of warrant introduction. We find significant abnormal positive price effect and significant abnormal positive liquidity effect around announcement date in Taiwan, this may due to issuers’ hedging behavior. We find significant abnormal negative price effect and significant abnormal positive liquidity effect around listing date in Taiwan; this may due to investors’ hedging behavior. We find significant negative abnormal price effect and insignificant positive liquidity effect around listing date in Hong Kong. We also apply the institutional investors’ (Foreign investors, Investment Trust companies, and dealers) trading statistics in Taiwan to examine our hypothesis, and we find that all institutional investors significantly increase their holding ratio around announcement dates in Taiwan. Overall the paper contributes to the literature by conducting a comparison of institutional regulations and underlying trading in the event of warrant issuance between Taiwan and Hong Kong.

並列關鍵字

event study ； price effect ； liquidity effect ； warrant issuance

參考文獻

1. Alkebäck, P. and N. Hagelin (1998) “The Impact of Warrant Listing date on the Underlying Stocks, with a Comparison to Stock Options”, Journal of Futures Markets, 18, 307-328.

2. Aiken, M. and R. Segara (2005) “Impact of warrant listing dates on the behavior of underlying stocks: Australian evidence”, Accounging and Finance, 45, 127-144.

4. Bansal, V.K., S.W. Pruitt, and K.C.J. Wei (1989) “An Empirical Reexamination of the Impact of CBOE Option Initiation on the Volatility and Trading Volume of the Underlying Equities: 1973-1986”, Financial Review, 24, 19-29.

5. Bollen, N.P.B. (1998) “A Note on the Impact of Options on Stock Return Volatility”, Journal of Banking and Finance, 22, 1181-1191.

6. Chow, G.C. (1960) “Test of Equality Between Sets of Coefficients in Two Linear Regressions”, Econometric, 28, 591-605.