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題名 權證篩選之實證研究-以指數標的及台灣50的權證為例
Empirical Study in Warrants Selection, Based on Index and Taiwan 50 Equities作者 林祈安
Lin, Chi An貢獻者 廖四郎
Liao, Szu Lang
林祈安
Lin, Chi An關鍵詞 權證 日期 2013 上傳時間 12-Aug-2014 14:02:33 (UTC+8) 摘要 本篇論文藉由研究權證基本特性，以及結合市場實際價格資料，在確定標的物前提下，篩選出在固定期間內獲取最大獲利之權證並統整其權證特性，作為一般大眾在篩選權證時可經由設定與獲利權證相同區間之價內外程度、隱含波動度、距到期日時間、實質槓桿比等條件提高自身獲利潛力。實證結果顯示， 短天期投資者可挑選隱含波動度低、剩餘天數高以及買賣價差較低之權證。而長天期或波段投資者可挑選隱含波動度低、與標的價格連動較敏感之價外認購權證，以及隱含波動度高、與標的價格連動較不敏感之價內認售權證。 參考文獻 凱基權證網權證小教室https://derivatives.kgi.com.tw/EDWebSite/EDWeb/Warrant/WarrantClass.aspx?PageID=1150統一權證網權證教室http://warrant.pscnet.com.tw/teachClass.shtml?元大權證網元大學苑權證網http://www.warrantwin.com.tw/school.aspx台灣證券交易所http://www.twse.com.tw/ch/statistics/statistics_list.php?tm=07&stm=003Bruno Dupire (1994),” "Pricing with a Smile" Risk 7, p.18-20.Chan, K., Chung, P., Fong, W.M. (2002),”The Informational Role of Stock and Option Volume”, Review of Financial Studies 15, p.1049–1075.Derman, E. and I. Kani (1994),” Riding on a Smile.” Risk 7 No 2, p.32-39.Eric C. Chang, Xingguo Luo, Lei Shi, Jin E. Zhang (2013),”Is Warrant Really a Derivative? Evidence from the Chinese Warrant Market”, Journal of Financial Markets 16, p.165-193.Fischer Black and Myron Scholes (1973),” The Pricing of Options and Corporate Liabilities”, The Journal of Political Economy, 81 (3), p.637-654.Fleming, J.,Ostdiek, B., and Whaley, R.(1996),”Trading Costs and the Relative Rates of Price Discovery in Stock,Futures, and Option Markets”, Journal of Futures Markets,16, p.353–387.George, T. and Longstaff, F. (1993), “Bid–ask Spreads and Trading Activity in the S&P 100 index Options Market”, Journal of Financial and Quantitative Analysis 28, p.381–397.Jameson, M. and Wilhelm,W.(1992),”Market Making in the Options Markets and the Costs of Discrete Hedge Rebalancing.”, Journal of Finance, 47, p.765–779.Kaul, G., Nimalendran, M. and Zhang, D.(2004),”Informed Trading and Option Spreads”,Working Paper, University of Florida.Lee, B. S., & Rui, O. M. (2002), “The Dynamic Relationship between Stock Returns and Trading Volume: Domestic and Cross-Country Evidence.” Journal of Banking and Finance, 26, p.51–78.Mark Rubinstein (1994),” Implied Binomial Trees”, Journal of Finance, 49 (3), p.771-818. Petrella, G.(2006),”Option Bid–Ask Spread and Scalping Risk: Evidence from a Covered Warrants Market”, Journal of Futures Markets,26,p.843–867.Pun, J., Poteshman, A.M., (2006), “The Information in Option Volume for Future Stock Prices.”, Reviews of Financial Studies 19 (3), p.871–908.Yue-cheong Chan, K.C.John Wei (2001),”Price and Volume Effects Associated with Derivative Warrant Issuance on the Stock Exchange of Hong Kong”, Journal of Banking and Finance 25, p.1401-1426. 描述 碩士
國立政治大學
金融研究所
101352006
102資料來源 http://thesis.lib.nccu.edu.tw/record/#G1013520061 資料類型 thesis dc.contributor.advisor 廖四郎 zh_TW dc.contributor.advisor Liao, Szu Lang en_US dc.contributor.author (Authors) 林祈安 zh_TW dc.contributor.author (Authors) Lin, Chi An en_US dc.creator (作者) 林祈安 zh_TW dc.creator (作者) Lin, Chi An en_US dc.date (日期) 2013 en_US dc.date.accessioned 12-Aug-2014 14:02:33 (UTC+8) - dc.date.available 12-Aug-2014 14:02:33 (UTC+8) - dc.date.issued (上傳時間) 12-Aug-2014 14:02:33 (UTC+8) - dc.identifier (Other Identifiers) G1013520061 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/68532 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融研究所 zh_TW dc.description (描述) 101352006 zh_TW dc.description (描述) 102 zh_TW dc.description.abstract (摘要) 本篇論文藉由研究權證基本特性，以及結合市場實際價格資料，在確定標的物前提下，篩選出在固定期間內獲取最大獲利之權證並統整其權證特性，作為一般大眾在篩選權證時可經由設定與獲利權證相同區間之價內外程度、隱含波動度、距到期日時間、實質槓桿比等條件提高自身獲利潛力。實證結果顯示， 短天期投資者可挑選隱含波動度低、剩餘天數高以及買賣價差較低之權證。而長天期或波段投資者可挑選隱含波動度低、與標的價格連動較敏感之價外認購權證，以及隱含波動度高、與標的價格連動較不敏感之價內認售權證。 zh_TW dc.description.tableofcontents 一、 研究背景與目的1-1研究背景p.41-2研究目的p.5二、 文獻探討2-1權證價格之影響因素p.62-2 權證價格與造市者行為關係p.7三、 研究方法3-1研究方法與假設p.93-2 變數定義與模型建購p.9四、 實證結果4-1 資料描述p.134-2 敘述統計p.154-3 模型配適結果p.294-4本篇研究模型結果與券商建議比較分析-p.47五、 結論與建議5-1 結論p.485-2 未來發展與建議p.48六、 參考文獻 zh_TW dc.format.extent 958141 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/#G1013520061 en_US dc.subject (關鍵詞) 權證 zh_TW dc.title (題名) 權證篩選之實證研究-以指數標的及台灣50的權證為例 zh_TW dc.title (題名) Empirical Study in Warrants Selection, Based on Index and Taiwan 50 Equities en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 凱基權證網權證小教室https://derivatives.kgi.com.tw/EDWebSite/EDWeb/Warrant/WarrantClass.aspx?PageID=1150統一權證網權證教室http://warrant.pscnet.com.tw/teachClass.shtml?元大權證網元大學苑權證網http://www.warrantwin.com.tw/school.aspx台灣證券交易所http://www.twse.com.tw/ch/statistics/statistics_list.php?tm=07&stm=003Bruno Dupire (1994),” "Pricing with a Smile" Risk 7, p.18-20.Chan, K., Chung, P., Fong, W.M. (2002),”The Informational Role of Stock and Option Volume”, Review of Financial Studies 15, p.1049–1075.Derman, E. and I. Kani (1994),” Riding on a Smile.” Risk 7 No 2, p.32-39.Eric C. Chang, Xingguo Luo, Lei Shi, Jin E. Zhang (2013),”Is Warrant Really a Derivative? Evidence from the Chinese Warrant Market”, Journal of Financial Markets 16, p.165-193.Fischer Black and Myron Scholes (1973),” The Pricing of Options and Corporate Liabilities”, The Journal of Political Economy, 81 (3), p.637-654.Fleming, J.,Ostdiek, B., and Whaley, R.(1996),”Trading Costs and the Relative Rates of Price Discovery in Stock,Futures, and Option Markets”, Journal of Futures Markets,16, p.353–387.George, T. and Longstaff, F. (1993), “Bid–ask Spreads and Trading Activity in the S&P 100 index Options Market”, Journal of Financial and Quantitative Analysis 28, p.381–397.Jameson, M. and Wilhelm,W.(1992),”Market Making in the Options Markets and the Costs of Discrete Hedge Rebalancing.”, Journal of Finance, 47, p.765–779.Kaul, G., Nimalendran, M. and Zhang, D.(2004),”Informed Trading and Option Spreads”,Working Paper, University of Florida.Lee, B. S., & Rui, O. M. (2002), “The Dynamic Relationship between Stock Returns and Trading Volume: Domestic and Cross-Country Evidence.” Journal of Banking and Finance, 26, p.51–78.Mark Rubinstein (1994),” Implied Binomial Trees”, Journal of Finance, 49 (3), p.771-818. Petrella, G.(2006),”Option Bid–Ask Spread and Scalping Risk: Evidence from a Covered Warrants Market”, Journal of Futures Markets,26,p.843–867.Pun, J., Poteshman, A.M., (2006), “The Information in Option Volume for Future Stock Prices.”, Reviews of Financial Studies 19 (3), p.871–908.Yue-cheong Chan, K.C.John Wei (2001),”Price and Volume Effects Associated with Derivative Warrant Issuance on the Stock Exchange of Hong Kong”, Journal of Banking and Finance 25, p.1401-1426. zh_TW
