認購權證與其標的股波動關連性之實證研究

由於認購權證的特性是屬於高財務槓桿的衍生性金融投資商品，且台灣股票市場投資戶大多都是非專業投資機構的自然人，習慣於根據市場訊息，漲時追漲、跌時殺跌，認為認購權證的成本較低，可以以小博大，期望能在較短的時間內獲取超額報酬，但若對於認購權証的基本概念不清楚，在尚未了解清楚前就盲目投入的話，很容易就血本無歸。有鑒於此，故本研究以認購權證與標的股為研究對象，利用時間序列的波動性模型來比較各個模型間的解釋能力，經實證結果發現： (1)認購權證的波動同時受到其標的股的衝擊和影響，且認購權證的發行，降低了股票的波動性。 (2)直向分析--以各類股的比較而言，電子類股相對於其它類股的模型配適度更為合適，能有較佳的解釋能力。 (3)橫向分析--以波動性模型而言，認購權證市場，以EGARCH模型預測，能相較於ARCH、GARCH、GJR這三種模型有較佳的解釋能力。

關鍵字

認購權證；波動性模型；解釋能力；模型配適度

並列摘要

The warrants’ high leverage of the financial derivatives is attributed to the investment behavior of Non-qualified Institutional natural persons in Taiwan. Based on the market information: buy-as-the-price-goes-up-and-sell-as-the-price-goes-down strategy and the lower cost of the warrants, they risk to bet against longer odds and expect to gain excess returns in a short time. However, with little knowledge about the basics of warrants, they may suffer great loss. This study intends to analyze warrants and stocks by using the volatility model of time-series. Further, a comparison between this model and others will be made. The result can be listed as follows: (1)The Warrants volatility is influenced by stocks. That is, the issued warrants reduce the stock volatility. (2)Vertical analysis—in comparison with other stock models fitness, this model provides better explanation in that the electronic stock is more suitable. (3)Horizontal analysis—compared with ARCH, GARCH, GJR, the volatility model has better explanation when warrants market is forecasted by EGARCH model.

並列關鍵字

Warrants ； Volatility Model ； Explanation ability ； model fitness

參考文獻

王毓敏(2002)。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。管理評論，21(1)，115-136。

鄭天德(2002)。ARMA-TGARCH模型之建立，國立交通大學經營管理研究所。新竹市：未出版碩士論文。

周志隆(1991)。股票風險波動之研究_異質條件變異數分析法，國立台灣大學商學研究所。高雄市：未出版碩土論文。

余尚武、吳嘉欽(2000)。股價指數期貨對股票市場波動性的影響。企業管理學報，47，135-160。

Akgiray, V. (1989). Conditional Heteroscedasticity in time Series of Stock Return :Evidence and Forecasts. Journal of Business, 62(1), 55-80.

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認購權證與其標的股波動關連性之實證研究

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