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題名 台灣權證市場對股票市場之影響及投資人情緒
The Impact of the Warrant Market on the Stock Market and Investor Sentiment: Taiwan Evidence
作者 陳裕軒
Chen, Yu Hsuan
貢獻者 李志宏
陳裕軒
Chen, Yu Hsuan
關鍵詞 權證
股票
流動性
投資人情續
warrant
stock
liquidity
consolidation
investor sentiment
日期 2010
上傳時間 9-Sep-2013 11:29:38 (UTC+8)
摘要 本篇論文研究股票市場流動性以及權證到期後在不同的投資人情緒程度時之間的關係。我們使用臺灣期貨交易所的VIX指數作為投資人情緒的指標，研究在深度價內的權證到期後對股票市場造成的交易集中效果。整體而言，當投資人情緒相對較低時，權證到期後對股票市場流動性的增強效果較為明顯。另一方面，當投資人情緒相對較高時，交易集中對股票市場流動性的改善效果較不明顯。在價格方面，股票流動性的增加對價格帶來的正面影響，其效果在投資人情緒較低時較為明顯。當投資人情緒愈來愈高時，其效果愈不顯著。此現象可歸因於投資人在套利與避險等操作上的行為有所改變所致。
This paper examines the relation between the stock liquidity and warrants expiration in different extent of investor sentiment which is represented by VIX in Taiwan. We study the effect of trading consolidation by examining the response of liquidity and stock prices to the exercise of deep in-the-money call warrants. In general, the results indicate that the stock liquidity is improved apparently by market consolidation since warrants expired when investor sentiment is relatively low. On the other hand, the effect is insignificant when VIX is relatively high. Further, the price increase is positively related to post-exercise improvement in the stock liquidity when VIX is relatively low. While VIX rises, the relation gets feeble gradually. This phenomenon might be due to investors’ buying behavior such as arbitrage or hedge trading varying with different kinds of market situation.
參考文獻 1. 張啟容，「發行認購權證對標的股票股價影響之實證研究」，國立政治大學企業管理研究所碩士論文，民國八十七年六月。
2. 王佩甄，「認購權證發行券商避險操作損益分析」，國立政治大學財務管理研究所碩士論文，民國八十九年六月。
3. Aitken, M.; and R. Segara. “Impact of Warrant Introductions on the Behavior of Underlying Stocks: Australian Evidence.” Accounting and Finance, 45 (2005), 127-144.
4. Amihud, Y.; B. Lauterbach; and H. Mendelson. “The Value of Trading Consolidation: Evidence from the Exercise of Warrants.” Journal of Financial and Quantitative Analysis, 38, 4 (2003), 829-846.
5. Amihud, Y.; and H. Mendelson. “Asset Pricing and the Bid-Ask Spread.” Journal of Financial Economics, 17 (1986), 223-249.
6. Amihud, Y.; H. Mendelson; and B. Lauterbach. “Market Microstructure and Securities Values: Evidence from the Tel Aviv Stock Exchange.” Journal of Financial Economics, 45 (1997), 365-390.
7. Baker, M.; and J. Wurgler. “Investor Sentiment and the Cross-Section of Stock Returns.” The Journal of Finance, 4 (2006), 1645-1680.
8. Barber, B. M.; Y. Lee; Y. Liu; and T. Odean. “Just How Much Do Individual Investors Lose by Trading?” The Review of Financial Studies, 22 (2009), 609-632.
9. Brennan, M. J.; and A. Subrahmanyam. “Market Microstructure and Asset Pricing: On the Compensation for Illiquidity in Stock Returns.” Journal of Financial Economics, 41 (1996), 441-464.
10. Brown, S. J.; and J. B. Warner. “Measuring Security Price Performance.” Journal of Financial Economics, 8 (1980), 205-258.
11. Brown, S. J.; and J. B. Warner. “Using Daily Stock Returns: The Case of Event Studies.” Journal of Financial Economics, 14 (1985), 3-31.
12. Chan, Y.; and K.C. John Wei. “Price and Volume Effects Associated with Derivative Warrant Issuance on the Stock Exchange of Hong Kong.” Journal of Banking & Finance, 25 (2001), 1401-1426.
13. Conrad, J. “The Price Effect of Option Introduction.” The Journal of Finance, 2 (1989), 487-498.
14. Bliss, R. R.; and N. Panigirtzoglou. “Option-Implied Risk Aversion Estimates.” The Journal of Finance, 1 (2004), 407-446.

15. Roll, R. “A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market.”The Journal of Finance, 39 (1984), 1127-1139.
16. White, H. “A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity.” Econometrica, 48 (1980), 817-838.
描述 碩士
國立政治大學
財務管理研究所
98357030
99
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0098357030
資料類型 thesis
dc.contributor.advisor 李志宏zh_TW
dc.contributor.author (Authors) 陳裕軒zh_TW
dc.contributor.author (Authors) Chen, Yu Hsuanen_US
dc.creator (作者) 陳裕軒zh_TW
dc.creator (作者) Chen, Yu Hsuanen_US
dc.date (日期) 2010en_US
dc.date.accessioned 9-Sep-2013 11:29:38 (UTC+8)-
dc.date.available 9-Sep-2013 11:29:38 (UTC+8)-
dc.date.issued (上傳時間) 9-Sep-2013 11:29:38 (UTC+8)-
dc.identifier (Other Identifiers) G0098357030en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/60635-
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) 98357030zh_TW
dc.description (描述) 99zh_TW
dc.description.abstract (摘要) 本篇論文研究股票市場流動性以及權證到期後在不同的投資人情緒程度時之間的關係。我們使用臺灣期貨交易所的VIX指數作為投資人情緒的指標，研究在深度價內的權證到期後對股票市場造成的交易集中效果。整體而言，當投資人情緒相對較低時，權證到期後對股票市場流動性的增強效果較為明顯。另一方面，當投資人情緒相對較高時，交易集中對股票市場流動性的改善效果較不明顯。在價格方面，股票流動性的增加對價格帶來的正面影響，其效果在投資人情緒較低時較為明顯。當投資人情緒愈來愈高時，其效果愈不顯著。此現象可歸因於投資人在套利與避險等操作上的行為有所改變所致。zh_TW
dc.description.abstract (摘要) This paper examines the relation between the stock liquidity and warrants expiration in different extent of investor sentiment which is represented by VIX in Taiwan. We study the effect of trading consolidation by examining the response of liquidity and stock prices to the exercise of deep in-the-money call warrants. In general, the results indicate that the stock liquidity is improved apparently by market consolidation since warrants expired when investor sentiment is relatively low. On the other hand, the effect is insignificant when VIX is relatively high. Further, the price increase is positively related to post-exercise improvement in the stock liquidity when VIX is relatively low. While VIX rises, the relation gets feeble gradually. This phenomenon might be due to investors’ buying behavior such as arbitrage or hedge trading varying with different kinds of market situation.en_US
dc.description.tableofcontents Abstract I
I. Introduction 1
II. Data 3
III. Methodology 4
A. Trading Volume 4
B. Implicit Spread, Turnover, and Market Depth 4
C. The Relation of Liquidity Changes to Fragmentation 5
D. The Effect of Warrant Exercise on Stock Values 6
E. Investor Sentiment 7
IV. Empirical Results 8
A. Hypothesis 8
B. The Analysis of Abnormal Returns 9
C. Liquidity Change and Cumulative Abnormal Returns 15
D. Investor Sentiment 21
E. The Change in Investor Sentiment 28
V. Conclusions and Discussion 40
References 42
Appendix 44		zh_TW
dc.format.extent 545822 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0098357030en_US
dc.subject (關鍵詞) 權證zh_TW
dc.subject (關鍵詞) 股票zh_TW
dc.subject (關鍵詞) 流動性zh_TW
dc.subject (關鍵詞) 投資人情續zh_TW
dc.subject (關鍵詞) warranten_US
dc.subject (關鍵詞) stocken_US
dc.subject (關鍵詞) liquidityen_US
dc.subject (關鍵詞) consolidationen_US
dc.subject (關鍵詞) investor sentimenten_US
dc.title (題名) 台灣權證市場對股票市場之影響及投資人情緒zh_TW
dc.title (題名) The Impact of the Warrant Market on the Stock Market and Investor Sentiment: Taiwan Evidenceen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 1. 張啟容，「發行認購權證對標的股票股價影響之實證研究」，國立政治大學企業管理研究所碩士論文，民國八十七年六月。
2. 王佩甄，「認購權證發行券商避險操作損益分析」，國立政治大學財務管理研究所碩士論文，民國八十九年六月。
3. Aitken, M.; and R. Segara. “Impact of Warrant Introductions on the Behavior of Underlying Stocks: Australian Evidence.” Accounting and Finance, 45 (2005), 127-144.
4. Amihud, Y.; B. Lauterbach; and H. Mendelson. “The Value of Trading Consolidation: Evidence from the Exercise of Warrants.” Journal of Financial and Quantitative Analysis, 38, 4 (2003), 829-846.
5. Amihud, Y.; and H. Mendelson. “Asset Pricing and the Bid-Ask Spread.” Journal of Financial Economics, 17 (1986), 223-249.
6. Amihud, Y.; H. Mendelson; and B. Lauterbach. “Market Microstructure and Securities Values: Evidence from the Tel Aviv Stock Exchange.” Journal of Financial Economics, 45 (1997), 365-390.
7. Baker, M.; and J. Wurgler. “Investor Sentiment and the Cross-Section of Stock Returns.” The Journal of Finance, 4 (2006), 1645-1680.
8. Barber, B. M.; Y. Lee; Y. Liu; and T. Odean. “Just How Much Do Individual Investors Lose by Trading?” The Review of Financial Studies, 22 (2009), 609-632.
9. Brennan, M. J.; and A. Subrahmanyam. “Market Microstructure and Asset Pricing: On the Compensation for Illiquidity in Stock Returns.” Journal of Financial Economics, 41 (1996), 441-464.
10. Brown, S. J.; and J. B. Warner. “Measuring Security Price Performance.” Journal of Financial Economics, 8 (1980), 205-258.
11. Brown, S. J.; and J. B. Warner. “Using Daily Stock Returns: The Case of Event Studies.” Journal of Financial Economics, 14 (1985), 3-31.
12. Chan, Y.; and K.C. John Wei. “Price and Volume Effects Associated with Derivative Warrant Issuance on the Stock Exchange of Hong Kong.” Journal of Banking & Finance, 25 (2001), 1401-1426.
13. Conrad, J. “The Price Effect of Option Introduction.” The Journal of Finance, 2 (1989), 487-498.
14. Bliss, R. R.; and N. Panigirtzoglou. “Option-Implied Risk Aversion Estimates.” The Journal of Finance, 1 (2004), 407-446.

15. Roll, R. “A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market.”The Journal of Finance, 39 (1984), 1127-1139.
16. White, H. “A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity.” Econometrica, 48 (1980), 817-838.		zh_TW