| dc.contributor.advisor | 姜堯民 | zh_TW |
| dc.contributor.advisor | Chiang, Yao-ming | en_US |
| dc.contributor.author (Authors) | 林宣君 | zh_TW |
| dc.contributor.author (Authors) | Lin, Hsuan-chun | en_US |
| dc.creator (作者) | 林宣君 | zh_TW |
| dc.creator (作者) | Lin, Hsuan-chun | en_US |
| dc.date (日期) | 2003 | en_US |
| dc.date.accessioned | 17-Sep-2009 19:13:59 (UTC+8) | - |
| dc.date.available | 17-Sep-2009 19:13:59 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-Sep-2009 19:13:59 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0091357010 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/34045 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 財務管理研究所 | zh_TW |
| dc.description (描述) | 91357010 | zh_TW |
| dc.description (描述) | 92 | zh_TW |
| dc.description.abstract (摘要) | 認購權證已在台灣發行與交易已接近七年的歷史，提供了更多套利、投機與避險交易的機會給市場參與者，也同時增加資本市場之完整性。而由於認購權證提供持有者在一段期間內依照特定價格購買特定數量標的股票之權利，投資人可以根據其意願與看法於到期日前來決定是否進行履約。而權證投資人購買權證之權利金即是包含內含價值與投資人願意支付的時間價值兩部分。時間價值的多寡反應出投資人對於未來權證履約價格是否可以無限增加的看法。而在其他條件不變之下，距到期時間越久之權證的價值應是越高。不過，是否時間越接近到期日時，投資人對於時間價值的看法就會呈現單純線性下降的狀態，還是另外有其他的資訊內涵會影響投資人對於價值的看法，即為本研究所欲探討之主題。 本研究針對台灣市場中個股型認購權證不同時點之時間價值變化程度，與可能影響時間價值變化的因素進行分析，其研究結果如下：1.研究樣本並非完全符合越接近到期日時間價值減少的現象越明顯的狀態，顯示時間價值的變化隱含著會有其他之因素影響投資願意支付金額的多寡。且部分權證的確曾發生短期內時間價值大幅衰減的現象。2.權證之價內外程度、距到期日之遠近、相對交易量的多寡與標的股票是否為電子業，對時間價值減少均有顯著的影響。另外，距到期日之天數、權證相對成交量、標的股票所屬產業與市場是否處於多頭與否均顯著影響短期內發生時間價值大幅衰退之現象。3.本研究發現目前無法利用權證發行條件的差異，來判斷此權證是否會在存續期間當中發生時間價值急速衰退的現象。 | zh_TW |
| dc.description.abstract (摘要) | Warrants has been traded in Taiwan for seven years, and provides more opportunities for participants to arbitrage, hedge and speculate in capital market. Warrant gives holders the right to buy stocks at certain price during a period of time. The premium (price) to long warrants is contained intrinsic value and time value. Other things being equal, the longer the time to expiration day, the higher the value of warrants, since there is larger probability for investors to get more return. However, would any other terms expect time to expiration affect the variations of time value, or if we can find some variables could provide other content of information and result the change of time value. This is what the study focus on. Followings are the results of this study:1. There are not all thetas of warrants in this sample decreasing simply by the time to expiration. It seems to be other variables would cause the change of theta. Besides, some warrants had serious time-decay in a short period of time.2. Intrinsic value, time to expiration, trading volume, whether underlying stock in electronic industry or not and the market condition all have obvious effects on decrease of time value and serious time-decay.3. It is still impossible to use issue information to identify if this warrant will have time-decay in its life. | en_US |
| dc.description.tableofcontents | 第一章 緒論………………………………………………………………1 第一節 研究背景與動機………………………………………………1 第二節 研究目的 ………………………………………………………3 第三節 研究對象與範圍………………………………………………5 第四節 研究架構………………………………………………………6第二章 認購權證簡介與台灣市場介紹…………………………………9 第一節 認購（售）權證簡介…………………………………………9 第二節 台灣地區權證市場之描述 …………………………………11第三章 文獻回顧與探討 ………………………………………………13 第一節 選擇權與認購權證評價模型 ………………………………14 第二節 選擇權時間價值相關文獻 …………………………………20 第三節 影響訂價誤差相關文獻 ……………………………………23第四章 研究方法 ………………………………………………………26 第一節 研究議題探討與假設 ………………………………………27 第二節 研究流程 ……………………………………………………33 第三節 研究樣本、相關變數與使用資料說明 ……………………34 第四節 研究方法說明 ………………………………………………40 第五節 研究方法限制 ………………………………………………45第五章 實證結果與分析 ………………………………………………46 第一節 台灣認購權證市場時間價值遞減現象描述 ………………46 第二節 影響時間價值衰退變化模型分析………………………… 48第六章 結論與建議 ……………………………………………………57 第一節 研究結論 ……………………………………………………57 第二節 後續研究建議 ………………………………………………59參考文獻 …………………………………………………………………60 英文部分 ………………………………………………………………60 中文部份 ………………………………………………………………62附錄：權證基本資料表與迴歸結果彙總表 ……………………………63圖表目錄圖1-1 研究流程圖 ……………………………………………………8表2-1 認購權證交易量值統計 ………………………………………12表3-1 不同條件下對選擇權價格變化之影響 ………………………15表3-2 選擇權相關理論彙總 …………………………………………16圖4-1 研究方法流程圖 ………………………………………………33表4-1 各變數對於theta與時間價值急速衰退現象之預期影響……31表5-1 Theta相對於距到期天數T迴歸結果之彙總整理表 …………46表5-3 Theta影響因素之迴歸模型結果………………………………49表5-4 迴歸模型預期與實際變數方向彙整表 ………………………51表5-5 時間價值大幅衰退影響因素之Logit模型分析………………53表5-6 Logit模型預期與實際影響方向彙整表………………………55附表 I 本研究所使用個股型認購權證基本資料表…………………63附表 II 認購權證時間價值變化迴歸結果……………………………69 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0091357010 | en_US |
| dc.subject (關鍵詞) | 選擇權 | zh_TW |
| dc.subject (關鍵詞) | 認購權證 | zh_TW |
| dc.subject (關鍵詞) | B/S模式 | zh_TW |
| dc.subject (關鍵詞) | 時間價值 | zh_TW |
| dc.subject (關鍵詞) | 時間價值衰退 | zh_TW |
| dc.subject (關鍵詞) | options | en_US |
| dc.subject (關鍵詞) | warrants | en_US |
| dc.subject (關鍵詞) | B/S model | en_US |
| dc.subject (關鍵詞) | time value | en_US |
| dc.subject (關鍵詞) | time decay | en_US |
| dc.title (題名) | 台灣集中交易市場個股型認購權證時間價值衰退現象探討 | zh_TW |
| dc.title (題名) | Time value of Covered Warrants in Taiwan Stock Market | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | 英文部分 | zh_TW |
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| dc.relation.reference (參考文獻) | 9. Ferri, M. G., S. B. Morre and D. C. Schirm, 1989, “The listing, Size, Value of Equity Warrants,” Financial Review 24, 135-146. | zh_TW |
| dc.relation.reference (參考文獻) | 10. Figlewski, S., 1989, “Options Arbitrage in Imperfect Market,” Journal of Finance 44.1289-1311. | zh_TW |
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| dc.relation.reference (參考文獻) | 12. Hull, J. H., Options Futures and Other Derivatives, 5th edition, Prentice Hall, Inc., 168-252, 309-311. | zh_TW |
| dc.relation.reference (參考文獻) | 13. Leland, H. E., 1985, “Option Pricing and Replication with of transaction costs,” Journal of Finance 40, 1283-1301. | zh_TW |
| dc.relation.reference (參考文獻) | 14. Long, D. M. and D.T. Officer, 1997, “The Relation between Option Mispricing and Volume in the Black-Scholes Option Model,” The Journal of Financial Research 20, 1-12. | zh_TW |
| dc.relation.reference (參考文獻) | 15. Longstaff, F., 1990, “Pricing Options with Extendible Maturities: Analysis and Applications,” Journal of Finance 45, 937-957. | zh_TW |
| dc.relation.reference (參考文獻) | 16. Ncube, M., 1996, “ Modelling Implied Volatility with OLS and Panel data Models,” Journal of Banking & Finance 20, 71-84. | zh_TW |
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| dc.relation.reference (參考文獻) | 中文部份 | zh_TW |
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