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題名：多次發行對標的股票和認購權證之影響
作者：楊雪蘭 引用關係
作者(外文)：Yang, Hsueh-Lan
校院名稱：國立臺北大學
系所名稱：企業管理學系
指導教授：古永嘉
學位類別：博士
出版日期：2003
主題關鍵詞：認購權證；多次發行；累加避險量；Volume-GARCH單向與雙向模式；Call Warrant；Multiple-Listed Warrants；Cumulative Hedge Volume；Volume-GARCH One-Way and Two-Ways Models
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多數實證論文都認為發行選擇權，對標的股票有價格與波動性兩方面的影響。但是，研究範圍僅涉及單檔發行選擇權，並未處理多次發行相同標的股票之權證的議題，也沒有探討對同一標的股票後續發行權證之影響。
本文檢視台灣權證市場，從1997年至2003年多次發行權證，對標的股票與認購權證的影響。樣本數量佔台灣證券交易所已下市權證五成以上，採用Volume-GARCH單向與雙向模式分析，並設計多次發行權證的實驗組、和單檔發行權證的對照組。本文以Delta加減碼原則設計了累加避險量變動率、和加權累加避險量兩種操控性自變數，以降低來自多次發行權證現象的兩項困擾：發行期間重疊、以及各實驗組發行權證數量不一的問題。
本文發現摘要如下：首先，在價格和波動性的影響方向與程度上，實驗組與對照組之實證結果不相同。其次，在整段研究期間內，多次發行權證對標的股票的報酬率有顯著正向影響，且對標的股票的波動性有顯著負向影響。第三，在各權證發行期間內，對標的股票之報酬率也同樣有顯著正向的影響，但是，對其波動性僅部分有顯著負向影響。最後，在各權證發行期間內，多次發行權證對部分認購權證之報酬率有顯著正向影響，但是對認購權證之波動性的影響表現並不一致。
本文建議多次發行權證，或許是既能降低標的股票波動性，又可提高其市場價值的重要因素，但是對各權證的影響並不同。本文的貢獻是多次發行研究議題的創新，以及本文操控性變數之設計概念或許能應用於其他相關的研究。
根據本文實證結果，證期會可以考慮不介入管制多次發行權證，因為這現象能降低標的股票之波動性。這結果可供多次發行權證之券商參考，重新思索其在初級市場定價、以及後續避險策略的適當性。對投資人而言，購買多次發行權證之標的股票，可能因為賣方的避險需求而賺得異常報酬。
A number of arguments suggest the existence of options listing related effects on underlying stocks, which contains both price and volatility effects. But, the range of studies only involved single-listed option and did not deal with the effects of multiple-listed warrants on the same underlying stocks and the warrants that follow up issuing.
This article examines the effects of multiple-listed warrants on the underlying stocks and call warrants from 1997 to 2003 in Taiwan call warrants market. The number of samples includes more than fifty percent of warrants that had been executed in TAIEX on April 2003. The paper use Volume-GARCH one-way and two-ways models to analyze, and design the experimental groups of multiple-listed warrants and the contrastive groups of single-listed warrants. To reduce two troubles that contain the overlap of listed periods and do not consist with the number of listed warrants in the experimental groups from the phenomena of multiple-listed warrants, by the principles of the enlarged or reduced value of Delta, this paper design also the variation percentage of cumulative hedge volume and the weighted cumulative hedge volume as manipulated independent variables.
The findings are summarized as follows. First, the effects of price and volatility are different between the experimental groups and the contrastive groups at both direction and degree of the effects that come by the results of this evidence. Secondly, the effects of multiple-listed warrants are significant positive impact on the returns and significant negative impact on the volatility of the stocks over the research periods. The third, the same impact on the return of the stocks within each period of listed warrants are also significant positive, but there are just parts of these to be significant negative impact on their volatility. Finally, the parts of effects are significant positive impact on the returns of the warrants, but the results are not consistently on the volatilities of the warrants from multiple-listed warrants within each period of listed warrants.
These results suggest that multiple listed warrants may be an important factor for both decreasing volatility and increasing market value on the underlying stocks, but the effect on each warrant is different. The Contributions of this paper are the innovation of study issue of multiple-listed warrants and the designing construct of manipulated variables might make use of other related studies.
By these results of this paper, the Securities and Futures Commission might not need to control multiple listed warrants since the phenomena could decrease volatility on the underlying stocks. The results could make reference to the securities corporations, reconsidering accurately for pricing warrants in primary market and implementing hedging strategies follow-up on the phenomena of multiple-listed warrants. For investors, invest in the underlying stocks, which issue multiple-listed warrants will probably earn abnormal return by the hedging need of trader/ dealer for written positions.
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