本研究使用賣權買權未平倉量比(PCO)、賣權買權成交量比(PCV)以及波動率指數(VIX)代理投資人情緒指標。以迴歸模型檢測是否此三項情緒指標對權證與選擇權的價差有顯著影響,分析投資人情緒對權證評價的效果。 研究結果顯示,對大多數的樣本來說,PCO對認售權證跟賣權的價差呈現正向顯著的關係,對認購權證跟買權的價差呈現負向顯著的關係,PCO若升高,市場出現偏空的訊息,投資人情緒偏向悲觀,使得認售權證增加了相異於賣權的價值,認購權證減少了相異於買權的價值,反之,PCO降低,則認售權證減少了價值,認購權證增加了價值。而PCV與VIX對認售權證與賣權價差呈現負向顯著影響,但對認購權證與買權價差則呈現正負不一的顯著影響。
In this study, we use the put/call ratio of open interest of TAIEX options(PCO), the put/call ratio of trading volume of TAIEX options(PCV), and volatility index(VIX) as investor sentiment indexes to investigate that these investor sentiment indexes have significant impacts on price differences between warrants and options. The empirical research shows that PCO has significantly positive effects on price differences between put warrants and put options, but significantly negative effects on price differences of call pairs. If PCO rises, the value of put warrants rises, and the value of put warrants would reduce when PCO reduces. PCV and VIX have significantly negative effects on price differences of put pairs. However, they have uncertainly significant effects on price differences of call pairs.