| dc.contributor.advisor | 杜化宇 | zh_TW |
| dc.contributor.author (Authors) | 林耿玄 | zh_TW |
| dc.creator (作者) | 林耿玄 | zh_TW |
| dc.date (日期) | 2008 | en_US |
| dc.date.accessioned | 18-Sep-2009 20:12:50 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 20:12:50 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 20:12:50 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0096357034 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/36937 | - |
| 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) | 96357034 | zh_TW |
| dc.description (描述) | 97 | zh_TW |
| dc.description.abstract (摘要) | 本研究透過研究個股選擇權在盈餘宣告日附近的價量變化關係來探討公司盈餘發佈對投資人投資決策的影響，研究對象為在LIFFE掛牌之49家個股選擇權，資料期間為2003/01/01至2007/12/31共五年，蒐集到盈餘宣佈日樣本共636筆，透過研究公司盈餘宣告日附近，個股選擇權之隱含波動度、交易量、未平倉口數之變化情形來試圖找出投資人對盈餘宣告期間的投資決策。並進一步將公司盈餘宣告分類為正面消息與負面消息，觀察不同消息類型對投資人投資決策之影響。最後採用拔靴法，在不破壞原資料結構下來擴增研究樣本數至5000筆，來消除可能因為樣本不足所造成之統計誤差。 實證結果發現：一、隱含波動度在盈餘消息公布當天，因為消息已經揭露，隱含波動度會下降。並在之後逐漸下降到長期均衡狀態。而在消息分類下，好消息同樣因為消息已經確定，所以隱含波動度下降；但在壞消息卻不是如此，當壞消息出現時，由於有消息確定造成隱含波動度下降及槓桿效應使得隱含波動度增加兩種不同方向的影響。所以，隱含波動度走向端看此兩因素的影響大小而定。二、異常交易量確實存在於盈餘宣告前後幾天，且在盈餘宣告當天異常交易量達到最大，顯示市場上存在著資訊不對稱，造成當日交易頻繁，存在許多投機客在個股選擇權市場上進行交易。也發現在盈餘公告前幾天交易量有微幅上升的現象，顯示在LIFFE中，存在些許資訊外露的現象。三、未平倉口數在實際取得樣本的檢驗中顯著天數並不多，約略有出現在盈餘宣告前未平倉口數會增加，而在盈餘宣告日後投資人逐漸結束倉位的趨勢，但這趨勢並不明顯。在利用拔靴法擴大樣本後，盈餘宣告前異常未平倉口數增量顯著的天數增加，改進原有資料顯著天數過少的結果，確實達到修正因為樣本不足所造成之統計誤差，讓本研究的結果更具可信度，更能確實捕捉到盈餘宣告對個股選擇權造成的影響 | zh_TW |
| dc.description.tableofcontents | 第壹章 緒論 1第一節 研究背景 1第二節 研究動機與目的 2第三節 研究架構與流程 4第貳章 文獻回顧 6第一節 股票市場之盈餘宣告效果 6第二節 個股選擇權市場之盈餘宣告效果 8第三節 隱含波動度、交易量以及未平倉口數相關文獻 10第參章 研究資料與研究方法 13第一節 研究資料 13第二節 變數定義與研究方法 18第三節 拔靴法 22第肆章 實證結果 25第一節 異常隱含波動度 25第二節 異常交易量 33第三節 異常未平倉口數增量 40第四節 拔靴法 47第伍章 結論 55參考文獻 58 | 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/#G0096357034 | en_US |
| dc.subject (關鍵詞) | 盈餘宣告 | zh_TW |
| dc.subject (關鍵詞) | 個股選擇權 | zh_TW |
| dc.subject (關鍵詞) | LIFFE | zh_TW |
| dc.title (題名) | 公司盈餘宣佈對個股選擇權之影響 | zh_TW |
| dc.type (資料類型) | thesis | en |
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