發行個股型認購權證對標的股票影響之實證研究

The Effect of Issuing Call Warrants on Underlying Stocks: An Empirical Analysis

黃宗明(Tsung-Ming Huang)

指導教授 ： 楊葉承

中原大學/商學院/會計研究所/碩士(2007年)

https://doi.org/10.6840/cycu200700153

摘要

以交易所10年的樣本進行研究，個股型認購權證發行前，其標的股票之SAR呈現正的價格效果；而權證發行後，SAR呈現負的價格效果。其檢定結果皆達顯著水準。
若區分其標的股為電子類股與非電子類股時。標的股為電子類股之權證發行前，其標的股票之SAR呈現正的價格效果；而權證發行後，SAR呈現負的價格效果。其檢定結果皆達顯著水準。標的股為非電子類股之權證發行前，其標的股票之SAR呈現正的價格效果；而權證發行後，SAR呈現負的價格效果。惟其價格效果檢定結果則較不顯著。
發行時之大盤走勢為牛市及熊市之權證發行前，其標的股票之SAR呈現正的價格效果；而權證發行後，SAR呈現負的價格效果。其檢定結果皆達顯著水準。發行時之大盤走勢為盤整期之權證，發行前之價格效果正負各半，且檢定結果較不顯著；而權證發行後，其標的股票之SAR則呈現顯著負的價格效果。
當以全體樣本進行分析時，個股型認購權證上市日前後，其標的股票之SAR呈現負的價格效果、SCAR亦持續呈現負的價格效果。其檢定結果皆達顯著水準。
若區分其標的股為電子類股與非電子類股。標的股為電子類股或非電子類股之權證上市日前後，其標的股票之SAR皆呈現負的價格效果、SCAR亦持續呈現負的價格效果。其檢定結果皆達顯著水準。
發行時之大盤走勢不論為牛市、熊市及盤整期之權證上市日前後，其標的股票之SAR呈現負的價格效果、SCAR亦持續呈現負的價格效果。其檢定結果皆達顯著水準。惟在發行時之大盤走勢為牛市時，權證在上市日後出現2個正SAR的交易日，本研究推論應係認購權證之助漲助跌效果所致。

關鍵字

異常報酬 ； 事件研究法 ； 認購權證

並列摘要

According to the 10-year samples on the TSEC market, it is found that before the issue of the call warrants, the average standardized abnormal returns (SAR) of their underlying stocks showed positive price effect, whereas it showed negative price effect after the issue of the warrants.
By dividing the underlying stocks into electronic stocks and non-electronic stock, it is found that before the issue of the warrants, the SAR of their electronic underlying stocks showed positive price effect, whereas after the issue of the warrants, it showed negative price effect. The test results all reached a significant level. For the non-electronic underlying stocks, their SAR showed positive price effect during the pre-issue period, and showed negative price effect in the post-issue period. However, the price effect test results showed less significance.
In a bull or bear market, the SAR of the underlying stocks shows positive price effect before the issue of the warrants and shows negative price effect after the issue of the warrants; the test results all reached a significant level. When the market is in the consolidation phase, the positive and negative price effect before the issue of the warrants is equally split and the test results show less significance. However, after their issue, the SAR of the underlying stocks shows significant negative price effect.
By analyzing all the samples, it is found that before and after the listing of the call warrants, the SAR of their underlying stocks showed negative price effect while their average standardized cumulative abnormal returns (SCAR) also continued to present negative price effect. The test results all reached a significant level.
By dividing the underlying stocks into electronic stocks and non-electronic stocks, it is found that before and after the listing of the warrants, the SAR of their underlying stocks, which are either electronic or non-electronic stocks, all showed negative price effect, and their SCAR also continued to present negative price effect. The test results all reached a significant level.
Whether it is in a bull market or bear market or in the consolidation phase, the SAR of the underlying stocks shows negative price effect, and the SCAR also continues to present negative price effect before or after the listing of the warrants. The test results all reached a significant level. However, when the market is bull, two transaction dates will show positive SAR after the listing of the warrant. The study suggests that it could be the result of reinforcing the gaining or losing effect from the warrants.

並列關鍵字

Abnormal Return ； Event Study Analysis ； Call Warrants

參考文獻

沈中華、李建然，2000，一版，事件研究法：財務與會計實證研究必備，台北市，華泰文化事業股份有限公司。

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