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台灣認購權證市場過度反應實證研究

Does the Warrant Market in Taiwan Overreact

指導教授 : 郭文忠博士
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摘要


所謂過度反應(Overreaction)意指投資人在過度預期的情況下,過去報酬率較高與較低的股票皆會產生報酬率反轉的現象。若以事件研究的觀點解釋,則為市場對於好的訊息會產生過度樂觀、過度預期的效果,此時證券價格會超過其理論的基本價值(fundamental value),而在事件反應過後報酬率則會有向下修正的趨勢;反之,市場對於壞消息的發佈也會有過度悲觀、過度預期的效果,此時證券價格會低於理論的基本價值,而在事件反應後報酬率也會有向上調整的趨勢。 本研究旨在探討『台灣認購權證市場過度反應行為』,研究期間自民國86年9月至89年9月,研究樣本包括99支個股型認購權證與15支組合型認購權證,期望透過De Bondt and Thaler(1985)提出的輸家贏家檢定法、輸家贏家事件研究法與Lo and MacKinlay(1988)提出的變異數比例分析法,實證台灣認購權證市場短期過度反應行為與反向操作策略之可行性。 研究結果顯示台灣認購權證市場不存在過度反應現象,推論其可能原因為發行券商皆能夠善盡造市者價格發現與價格穩定之功能,在市場價格超漲超跌時,進場修正投資人不理性之過度反應行為;其次,市場不存在過度反應行為亦間接證實弱勢效率市場的存在;此外,我們在進行分組討論時亦發現,標的證券價格波動程度為影響權證市場過度反應與否的重要因素,當標的證券價格波動程度越低,則權證過度反應現象越明顯,因此『組合型權證』、『標的風險值較低之權證』與『傳統類股型權證』相對於『單一型權證』、『標的風險值較高之權證』與『電子類股型權證』而言,有較明顯的過度反應現象;最後在實證市場型態與過度反應行為時則發現,多頭市場(非金融風暴期間)相對於空頭市場而言(金融風暴期間),有較明顯的過度反應現象,此實證結果與絲文銘(1994)之實證結果一致。

並列摘要


“Overreaction” first provided by De Bondt and Thaler(1985), which suggests that stock price take temporary swing away from their fundamental values due to waves of optimism and pessimism. So investors can get abnormal return by implementing contrarian strategy ,buying the losser and selling the winner. The study was undertaken to investigate overreact behavior in Taiwan warrant market, and the research period from September, 1997 to September, 2000, including of 99 “single warrant”and 15” composite warrant”. I used the methods of “winner and losser test (De Bondt and Thaler(1985))”,“event study of winner and losser” as well as “variance ratio test(Lo and Mackinlay(1988))” to examine overreaction hypothesis and implemented the contrarian strategy searching probable arbitrage opportunity. The result revealed there is no significant evidence of overreaction in Taiwan warrant market. We thought it is because that the published company is playing an important role as market maker. When warrant price is out of fundamental value, the publisher will trade with contrarian strategy immediately to stabilize the price and earn profit, so the overreact phenomenon disappear. In addition, we also found the security volatility is a key factor to determine the overreaction of warrant market. The smaller variance of security price be, the more profit we will earn through hedge portfolio. Finally, our experience result stated in the bull market the overreact phenomenon is stronger than that in the bear market and the result was consistent with We-Ming Si(1994).

參考文獻


1. Baytas, A., and N. Cakici, “Do markets overreact: International evidence,” Journal of Banking & Finance, v(23), pp.1121-1144, 1999.
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7. Conrad, J., and G. Kaul, ”Long-term market overreaction or biases in computed return.” The Journal of Finance, v(48), pp. 39-63, 1993.

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