金融海嘯時期台灣認購證之發行與到期對標的股價格影響研究

The Impacts of Financial Tsunami on the Taiwan Call Warrants’ Issuing and Expiration on Underlying Stocks

詹席銘(Hsi-Ming Chan)

指導教授 ： 陳德釗 ； 張東生

國立中央大學/管理學院/企業管理學系/碩士(2012年)

摘要

本研究針對台灣認購權證從2007年到2010年在台灣19檔標的股，共3365檔認購權證樣本，以2008年為分界線，將認購權證樣本依全體與產業別分類，探討認購權證金融海嘯期間與金融海嘯後對認購權證之發行與到期對標的股票股價帶來資訊效果是否有所差異。本研究首先針對標的股票之報酬率進行單根檢定，確保資料為穩定情形，再以事件研究法配合GARCH模型計算估計市場模型，並計算出標的股票之平均異常報酬率(AAR)與累積平均異常報酬率(CARR)。
實證結果顯示，發行效果方面，無論全體標的股或分類為電子業、金融業與傳產業，因金融海嘯的影響，使得券商更積極買入標的現貨避險造成正的上市效果，而金融海嘯時期影響提早顯著於金融海嘯後。到期效果方面，全體標的股因金融海嘯的影響，導致券商更提早積極出脫避險部位造成負的價格效果；依產業類別分類只有電子業，到期負價格效果影響在金融海嘯相較金融海嘯後提早。有無履約價值之到期效果方面，無論有無金融海嘯的影響，全體標的股或產業類別之認購權證都為負價格效果，但t檢定不顯著。

關鍵字

台灣 ； 金融海嘯 ； 累積異常報酬 ； 認購權證 ； 事件研究法

並列摘要

This study aims to explore the price relationships between call warrants’ issuing and expiration on their underlying stocks in Taiwan. There were 19 individual stock type call warrants from 2007 to 2010. We divide these call warrants into two groups: whole vs industry and 2008 as a defining period of the financial tsunam .We mainly study the impacts of financial tsunami on the Taiwan call warrants’ issuing and expiration on underlying stock prices. This study takes unit-root test to ensure stationary data, and using GARCH model, accompanied by event study analysis to the cumulative abnormal returns and the average abnormal returns. The empirical result shows:
First, we found the issuing of whole and industries call warrants objects produce postive significant effect of the underlying stocks by tempting investors to buy the underlying stocks of the call warrants in financial tsunam, the traded the higher price of the stocks. And during the financial tsunami, the entire period early more positive significant effect than after the financial tsunami.
Second, the expiration of whole call warrants objects produce negative significant effect of the underlying stocks by tempting investors early to sell the underlying stocks of the call warrants in financial tsunam, only electronic stocks of single warrants that during the financial tsunam entire period more early negative significant effect than after the financial tsunami.
Finally, when call warrants of whole and industries have the negative abnormal return exists in underlying stocks value on the expiration date, but the t-test value is not significant.

並列關鍵字

Call warrant ； Cumulative average abnormal return

參考文獻

劉自強 (2008)美國次級房貸風暴對美國金融產業影響之實證研究。國立交通大學，管理學院碩士在職專班財務金融組碩士論文，新竹市。

鄭竹園 (2009)。金融海嘯衝擊下台灣經濟的困境與出路。海峽評論，220，13-16。

黃坤銘 (2010) 。次級房貸危機及金融海嘯下美國股市與公債期現貨市場動態連動性之研究－VEC DCC GJR-GARCH 模型與VEC Copula GJR-GARCH-skewed-t 模型之應用。國立臺北大學國際企業系碩士論文，台北市。

黃靜宜 (2002)。台灣認購權證對標的股價之長短期效果。國立成功大學企業管理學系碩士論文，台南市。

Alkeback, P. & Gahelin, N. (1998) .The Impact of Warrant Introduction on the Underlying Stocks, with a Comparison to Stock Options. Journal of Future Market.18, 307-328.