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題名 權證Gamma曝險與現貨市場報酬之實證研究
An Empirical Study on the between Warrant Gamma Exposure and Spot Market Returns作者 林嵩傑
Lin, Song-Jie貢獻者 廖四郎
Liao, Szu-Lang
林嵩傑
Lin, Song-Jie關鍵詞 權證市場
淨gamma曝險
Delta動態避險
股票報酬之可預測性
私人訊息
Warrants market
Net gamma exposure
Dynamic delta hedging
Stock return predictability
Private information日期 2024 上傳時間 3-三月-2025 13:50:25 (UTC+8) 摘要 在台灣權證市場中，淨gamma曝險(net gamma exposure)能正向預測股票報酬，擁有低淨gamma曝險的股票在表現上遜色於高淨gamma曝險的股票，並且結果具有穩健性。在這個環境背景下，並非是因為避險行為所驅動，而是來自於私人訊息所引生出的投機性交易，以及台灣權證市場不具效率性，劵商發行的合約無法提供良好的避險功能。
In the Taiwan warrants market, net gamma exposure positively predicts stock returns, with stocks exhibiting low net gamma exposure underperforming those with high net gamma exposure, and the results prove robust. In this market context, the observed phenomenon is not driven by hedging activities, but rather stems from speculative trading induced by private information and the inefficiency of the Taiwan warrants market, where the contracts issued by securities firms fail to provide effective hedging functionality.參考文獻 網站 「權證前10月發行檔數 亞洲第一」，工商時報， https://www.chinatimes.com/newspapers/20231222000274-260206?chdtv。2023/12/22。 中文譯著 Damodar N.GuJarati(著)，費劍平、孫春霞等(譯)(2009)，《計量經濟學(下)（第 4 版）》，出版社:McGraw Hill。 中文文獻 趙倫晤(2012)，《以權證溢價比與價內外程度檢測台灣權證市場之效率性》，逢甲大學統計與精算所碩士論文。 劉文讓 (2010)，《備兌型權證的避險策略對現貨市場之影響》，國立臺灣大學財務金融學研究所碩士論文。 英文書籍 Badi H. Baltagi , Econometric Analysis of Panel Data(3th ed. 2005) 英文文獻 Amihud, Y., 2002. Illiquidity and stock returns: cross-section and time-series effects. J. Financ. Mark. 5 (1), 31–56. Bali, T.G., Hovakimian, A., 2009. Volatility spreads and expected stock returns. Manage. Sci. 55 (11), 1797–1812. Ball, R., Gerakos, J., Linnainmaa, J.T., Nikolaev, V., 2016. Accruals, cash flows, and operating profitability in the cross section of stock returns. J. Financ. Econ. 121 (1), 28–45. Baltussen, G., Da, Z., Lammers, S., Martens, M., 2021. Hedging demand and market intraday momentum. J. Financ. Econ.. Barbon, A., Buraschi, A., 2020. Gamma fragility. Daniel, K., Titman, S., 2006. Market reactions to tangible and intangible information. J. Finance 61 (4), 1605–1643. Fama, E.F., French, K.R., 1992. The cross-section of expected stock returns. J. Finance 47 (2), 427–465. Fama, E.F., French, K.R., 1993. Common risk factors in the returns on stocks and bonds. J. Financ. Econom. 33 (1), 3–56. Fama, E.F., French, K.R., 2015. A five-factor asset pricing model. J. Financ. Econom. 116 (1), 1–22. Fama, E.F., French, K.R., 2018. Choosing factors. J. Financ. Econom. 128 (2), 234–252. Fama, E.F., MacBeth, J.D., 1973. Risk, return, and equilibrium: Empirical tests. J. Polit. Econ. 81 (3), 607–636. Goyal, A., Saretto, A., 2009. Cross-section of option returns and volatility. J. Financ. Econ. 94 (2), 310–326. Hendershott, T., Seasholes, M.S., 2007. Market maker inventories and stock prices. Amer. Econ. Rev. 97 (2), 210–214. Hou, K., Xue, C., Zhang, L., 2015. Digesting anomalies: An investment approach. Rev. Financ. Stud. 28 (3), 650–705. Hu, J., 2014. Does option trading convey stock price information? J. Financ. Econ. 111 (3), 625–645. Jegadeesh, N., 1990. Evidence of predictable behavior of security returns. J. Finance 45 (3), 881–898. Jegadeesh, N., Titman, S., 1993. Returns to buying winners and selling losers: Implications for stock market efficiency. J. Finance 48 (1), 65–91. Lewellen, J. (2014). The cross section of expected stock returns. Critical Finance Review. Llorente, G., Michaely, R., Saar, G., Wang, J., 2002. Dynamic volume-return relation of individual stocks. Rev. Financ. Stud. 15 (4), 1005–1047. Ni, S.X., Pearson, N.D., Poteshman, A.M., White, J., 2021. Does option trading have a pervasive impact on underlying stock prices? Rev. Financ. Stud. 34 (4), 1952–1986. Pontiff, J., Woodgate, A., 2008. Share issuance and cross-sectional returns. J. Finance 63 (2), 921–945. Roll, R., Schwartz, E., Subrahmanyam, A., 2010. O/S: The relative trading activity in options and stock. J. Financ. Econ. 96 (1), 1–17. 描述 碩士
國立政治大學
金融學系
111352033資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111352033 資料類型 thesis dc.contributor.advisor 廖四郎 zh_TW dc.contributor.advisor Liao, Szu-Lang en_US dc.contributor.author (作者) 林嵩傑 zh_TW dc.contributor.author (作者) Lin, Song-Jie en_US dc.creator (作者) 林嵩傑 zh_TW dc.creator (作者) Lin, Song-Jie en_US dc.date (日期) 2024 en_US dc.date.accessioned 3-三月-2025 13:50:25 (UTC+8) - dc.date.available 3-三月-2025 13:50:25 (UTC+8) - dc.date.issued (上傳時間) 3-三月-2025 13:50:25 (UTC+8) - dc.identifier (其他 識別碼) G0111352033 en_US dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/155932 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融學系 zh_TW dc.description (描述) 111352033 zh_TW dc.description.abstract (摘要) 在台灣權證市場中，淨gamma曝險(net gamma exposure)能正向預測股票報酬，擁有低淨gamma曝險的股票在表現上遜色於高淨gamma曝險的股票，並且結果具有穩健性。在這個環境背景下，並非是因為避險行為所驅動，而是來自於私人訊息所引生出的投機性交易，以及台灣權證市場不具效率性，劵商發行的合約無法提供良好的避險功能。 zh_TW dc.description.abstract (摘要) In the Taiwan warrants market, net gamma exposure positively predicts stock returns, with stocks exhibiting low net gamma exposure underperforming those with high net gamma exposure, and the results prove robust. In this market context, the observed phenomenon is not driven by hedging activities, but rather stems from speculative trading induced by private information and the inefficiency of the Taiwan warrants market, where the contracts issued by securities firms fail to provide effective hedging functionality. en_US dc.description.tableofcontents 摘要 i ABSTRACT ii 表次 iv 圖次 v 第一章 緒論 1 第一節 研究動機 1 第二節 研究目的 2 第三節 研究流程 2 第二章 文獻探討 4 第三章 研究方法與架構 6 第一節 研究方法之模型 6 第二節 實證架構 11 第四章 數據與變數定義 14 第一節 數據來源 14 第二節 變數定義 14 第五章 實證結果 20 第一節 𝛤 與股票報酬之關係 20 第二節 𝛤與報酬之關係背後原因探討 27 第三節 穩健性(Robustness)檢驗 39 第六章 台灣市場與美國市場之結果差異 45 第七章 結論 47 參考文獻 52 zh_TW dc.format.extent 2450215 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111352033 en_US dc.subject (關鍵詞) 權證市場 zh_TW dc.subject (關鍵詞) 淨gamma曝險 zh_TW dc.subject (關鍵詞) Delta動態避險 zh_TW dc.subject (關鍵詞) 股票報酬之可預測性 zh_TW dc.subject (關鍵詞) 私人訊息 zh_TW dc.subject (關鍵詞) Warrants market en_US dc.subject (關鍵詞) Net gamma exposure en_US dc.subject (關鍵詞) Dynamic delta hedging en_US dc.subject (關鍵詞) Stock return predictability en_US dc.subject (關鍵詞) Private information en_US dc.title (題名) 權證Gamma曝險與現貨市場報酬之實證研究 zh_TW dc.title (題名) An Empirical Study on the between Warrant Gamma Exposure and Spot Market Returns en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 網站 「權證前10月發行檔數 亞洲第一」，工商時報， https://www.chinatimes.com/newspapers/20231222000274-260206?chdtv。2023/12/22。 中文譯著 Damodar N.GuJarati(著)，費劍平、孫春霞等(譯)(2009)，《計量經濟學(下)（第 4 版）》，出版社:McGraw Hill。 中文文獻 趙倫晤(2012)，《以權證溢價比與價內外程度檢測台灣權證市場之效率性》，逢甲大學統計與精算所碩士論文。 劉文讓 (2010)，《備兌型權證的避險策略對現貨市場之影響》，國立臺灣大學財務金融學研究所碩士論文。 英文書籍 Badi H. Baltagi , Econometric Analysis of Panel Data(3th ed. 2005) 英文文獻 Amihud, Y., 2002. Illiquidity and stock returns: cross-section and time-series effects. J. Financ. Mark. 5 (1), 31–56. Bali, T.G., Hovakimian, A., 2009. Volatility spreads and expected stock returns. Manage. Sci. 55 (11), 1797–1812. Ball, R., Gerakos, J., Linnainmaa, J.T., Nikolaev, V., 2016. Accruals, cash flows, and operating profitability in the cross section of stock returns. J. Financ. Econ. 121 (1), 28–45. Baltussen, G., Da, Z., Lammers, S., Martens, M., 2021. Hedging demand and market intraday momentum. J. Financ. Econ.. Barbon, A., Buraschi, A., 2020. Gamma fragility. Daniel, K., Titman, S., 2006. Market reactions to tangible and intangible information. J. Finance 61 (4), 1605–1643. Fama, E.F., French, K.R., 1992. The cross-section of expected stock returns. J. Finance 47 (2), 427–465. Fama, E.F., French, K.R., 1993. Common risk factors in the returns on stocks and bonds. J. Financ. Econom. 33 (1), 3–56. Fama, E.F., French, K.R., 2015. A five-factor asset pricing model. J. Financ. Econom. 116 (1), 1–22. Fama, E.F., French, K.R., 2018. Choosing factors. J. Financ. Econom. 128 (2), 234–252. Fama, E.F., MacBeth, J.D., 1973. Risk, return, and equilibrium: Empirical tests. J. Polit. Econ. 81 (3), 607–636. Goyal, A., Saretto, A., 2009. Cross-section of option returns and volatility. J. Financ. Econ. 94 (2), 310–326. Hendershott, T., Seasholes, M.S., 2007. Market maker inventories and stock prices. Amer. Econ. Rev. 97 (2), 210–214. Hou, K., Xue, C., Zhang, L., 2015. Digesting anomalies: An investment approach. Rev. Financ. Stud. 28 (3), 650–705. Hu, J., 2014. Does option trading convey stock price information? J. Financ. Econ. 111 (3), 625–645. Jegadeesh, N., 1990. Evidence of predictable behavior of security returns. J. Finance 45 (3), 881–898. Jegadeesh, N., Titman, S., 1993. Returns to buying winners and selling losers: Implications for stock market efficiency. J. Finance 48 (1), 65–91. Lewellen, J. (2014). The cross section of expected stock returns. Critical Finance Review. Llorente, G., Michaely, R., Saar, G., Wang, J., 2002. Dynamic volume-return relation of individual stocks. Rev. Financ. Stud. 15 (4), 1005–1047. Ni, S.X., Pearson, N.D., Poteshman, A.M., White, J., 2021. Does option trading have a pervasive impact on underlying stock prices? Rev. Financ. Stud. 34 (4), 1952–1986. Pontiff, J., Woodgate, A., 2008. Share issuance and cross-sectional returns. J. Finance 63 (2), 921–945. Roll, R., Schwartz, E., Subrahmanyam, A., 2010. O/S: The relative trading activity in options and stock. J. Financ. Econ. 96 (1), 1–17. zh_TW
