股利宣告與選擇權策略之探討

A study on dividend announcement and stock-option strategies

林彥良(YEN-LIANG LIN)

指導教授 ： 劉立倫

中原大學/商學院/會計研究所/碩士(2006年)

https://doi.org/10.6840/cycu200600523

摘要

本研究主要探討股利宣告期間投資人是否能夠運用股票選擇權策略來獲利。本文共選取28個樣本公司，分別為台積電、聯電、南亞、中鋼、富邦金等有發行股票選擇權之公司。股票選擇權價格樣本選取期間為2003 年1 月21 日至2005 年12 月31 日；標的股票價格選取期間亦為2003 年1 月21 日至2005 年12 月31 日。本研究在股票選擇權策略獲利性方面和標的股票波動性部份，都使用了T檢定來測試。

實證結果顯示，不管在買進跨式交易策略或買進勒式交易策略，金融公司都沒有證據顯示會獲利；在剔除金融公司後，總括來說買進跨式交易策略會獲利，而買進勒式交易策略則沒有證據顯示會獲利。股票選擇權的標的個股波動性方面，在股利宣告期間股價平均價格波動幅度會大於非股利宣告期間之股價平均價格波動幅度；再與股票選擇權個股獲利性相比較，結果顯示標的個股的波動性跟股票選擇權交易策略獲利性有某種程度的相關連，尤其是在買進跨式交易策略方面尤其明顯。

關鍵字

股票選擇權 ； 波動性

並列摘要

The main purpose for this research is to investigate whether investors could make money out of stock options during the dividend declaration period. We picked up 28 sample companies that issue stock options for this research. They are TSMC, UMC, NAN YA, CHINA STEEL, FUBON FINANCIAL. The stock option prices sample period starts from January 21st, 2003 to December 31st, 2005.。We use T statistics to test stock option exist arbitrage opportunity and stock volatility.

Studies shown that no matter it is a long straddle or bottom strangle, there is no evidence showing that finance corporations make profit out of it. If we exclude finance corporations, normally companies can make profits using long straddle. However, no evidence shows that companies can make profits using bottom strangle. As to stock option target volatility, the volatility of average stock price is greater in the dividend declaration period than that in the non-dividend declaration period. In terms of profitability, research shows that the volatility of target stock is related to stock option exist arbitrage opportunity. The relationship is stronger for long straddle.

並列關鍵字

stock option ； volatility