交易量及波動性之關聯性－台股認購權證與標的股票之探討

An Investigation of Trading Volume and Volatility: Evidence from Taiwan Warrants and Underlying Stocks

王毓敏(Yu-Min Wang)

《管理評論》 21卷1期 (2002/04) Pp. 115-136

https://doi.org/10.6656/MR.2002.21.1.CHI.115

摘要

本文說明台股認購權證與標的股票交易量及波動性之關聯性，同時說明是否存在資訊對於波動性不對稱之效果，由實證結果可以歸納成下列幾點結論：(1)股票報酬與權證報酬的互動關係並不密切；(2)投資人投資標的股票與權證時，所承擔的風險會得到風險貼水進行補償；(3)標的股票和權證的交易量愈大時，報酬的波動性愈大；(4)本文發現存在波動性不對稱效果。

關鍵字

認購權證 ； 標的股票 ； 交易量 ； 波動性 ； 不對稱效果 ； 異質性

並列摘要

This paper studies the interactions between trading volume and volatility of Taiwan warrants and underlying stocks, and tests the asymmetric effect of information on volatility. In this paper, the conclusions can be summarized as follows: (1) The returns of warrant and the underlying stock don't interaction close. (2) The risk of warrant and underlying stock raises the risk-averse holders to require risk premium for compensation. (3) The analysis indicates that the trading activity of warrants and underlying stocks contributes to enhanced volatility of returns. (4) There exists the asymmetric effect of information on volatility of returns.

並列關鍵字

Warrant ； Underlying Stock ； Trading Volume ； Volatility ； Asymmetric Effect ； Heteroskedasticity

參考文獻

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