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題名：衍生性市場創新、交易機制與隱含波動
作者：許美滿 引用關係
作者(外文)：Mei-Maun Hseu
校院名稱：淡江大學
系所名稱：財務金融學系博士班
指導教授：鍾惠民
學位類別：博士
出版日期：2007
主題關鍵詞：權證；避險效果；初次公開發行；到期日效應；隱含波動；市場時機；台指期貨；台指選擇權；Derivative warrants；Expiration day effects；IPOs；Hedging effect；Implied volatility；Market timing；TX；TXO
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近十年來，台灣金融市場持續創新，如陸續引進權證、期貨與選擇權等衍生性金融商品，除擴增投資人避險、套利與投機管道外，由於該等商品之交易與標的現貨市場密切連動，如何建構完善之交易機制以降低對標的現貨市場之衝擊，備受證券管理當局與學術界關注。另者，如何利用選擇權市場所隱含之波動資訊，進行投資與風險管理，更為投資人所關心。本論文即以台灣認購權證引進市場與台指期貨到期結算機制不同對現貨市場之衝擊，以及台灣隱含波動性模型之相對預測績效三個子題為研究主題。
第一個子題是以事件研究法，利用1997第3季至2004年底期間券商以29支電子個股為標的所發行之318支權證交易資料，分析認購權證之發行宣告效果。實證結果發現：(1) 權證發行多數集中於市場行情處於相對高檔時，且標的股票屬高估成長股居多，充分展現投資銀行之擇時與擇股發行能力；(2) 權證發行宣告日標的股出現正的異常報酬，且累積異常報酬達到最高，其後則反轉下降。對於連續被選為權證標的股票之熱門個股而言，因避險需求所引發之股價推升效果更是顯著；(3) 權證發行宣告對標的股票之交易量與流動性雖影響不大，然而，波動性已明顯降低。目前高槓桿特性之衍生性權證已成為新興市場小額投資人之重要投資工具，上開研究發現，有助於權證投資者對權證發行宣告日前後標的股票之價量表現，能有更深一層認識，實具重大意義。
第二個子題是以1998年9月至2004年12月台股指數與台積電日內交易資料，依最後結算價變更日分為兩個子期，分析在不同結算制度下，台指期與摩台
指期到期日對台股現貨市場之影響。實證結果發現：(1) 到期日效應主要來自摩台指期到期日而非台指期到期日；(2) 摩台指期到期日，台股現貨市場有顯著價
格反轉、價格波動與異常交易量現象，且該等到期日效應於台灣證券交易所變更
收盤制度 (由連續競價制改為最後5分鐘集合競價制) 後，非但未見降低，反而
益形顯著，足以證明任何未考量買賣訂單失衡因素之集合競價制度，將直接影響集合競價報價效率性，亦間接造成更為顯著之到期日效應；(3) 與收盤結算制度相較，平均價之結算制度似乎更能降低期貨市場之到期日效應。本論文在不同結算制度之研究設計下，針對性質相近之台指期與新加坡摩台指期到期日效應所進行之比較分析結果，對新興市場衍生性商品制度之規劃，實具有重大意義。
第三個子題則是以台股指數日內五分鐘報酬平方和計算真實波動性，分別以單變量與包含迴歸，分析比較2001年至2005年期間各波動性模型在5、10、15與20天等四個台指選擇權到期循環中之預測績效，特別強調無模型設定隱含波動性(model-free implied volatility, MF-IV) 模型與Black-Scholes隱含波動性 (BS-IV) 模型預測能力與隱含資訊之比較。實證結果發現，整體而言，考慮所有履約價格而非單一特定價格之MF-IV模型似乎優於BS-IV模型。值得一提的是，MF-IV完全包含歷史波動性模型與GARCH (1,1) 模型在預測未來5天買權到期時現貨市場真實波動性所具有之資訊。由於新興市場如台灣股票市場可能因漲跌停、放空限制、交易成本與追蹤誤差等市場障礙因素，促使BS-IV模型之適用性備受質疑，本實證結果，有助於台股市場投資人能以更有效率之隱含波動資訊，制定其投資策略。
Over the past decade, investors have witnessed a rich variety of securities innovations in Taiwan, including the introduction of derivative warrants, futures and options. The innovations provide alternative instruments for hedging, arbitraging, and speculating. Regulators and academicians concern the trading mechanism of derivatives markets which may impact upon the underlying markets. In addition, market investors concern the implied volatility information from the options market which is important for evaluating investment decision and risk management. This dissertation focuses on three issues concerning the introduction effects of Taiwan derivative call warrants, the expiration day effects of Taiwan index futures, and the comparison of the relative forecasting performance of the implied volatility models in Taiwan.
The first essay employs an event-study methodology to examine whether the introduction of derivative warrants has any impact on the underlying stocks. Using the trading data of 318 Taiwan derivative call warrants issued on the 29 underlying stocks belonging to electronic sector from the third quarter of 1997 to the end of 2004, we have following results: (i) The warrant issuers show a good sense of timing and selecting in the issuing of warrants by writing warrants at market relative high and by selecting overvalued stocks as the issuing targets. (ii) There are positive abnormal returns and the CAR appears to peak at the announcement day, but returns decline thereafter. The effects of hedging demand on the underlying asset prices are more significant when there are several consecutive warrant issuances on a single underlying stock. (iii) Trading volume and liquidity are less affected, however, the volatility of the underlying asset decreases after the introduction of warrants.
As leveraged derivative warrants become important trading alternatives to small investors in emerging markets, the findings of this essay could help warrant investors to gain a better understanding of underlying stock prices and volume behavior surrounding the event days related to the issuing of derivative warrants.
In the second essay, we examine the impacts of the expiration day effects of the Taiwan Futures Exchange (TAIFEX) traded Taiwan Stock Exchange Capitalization Weighted Stock Index futures (TX) and the Singapore Exchange (SGX) traded Morgan Stanley Capital International Taiwan Stock Index (MSCI-TW) futures on the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) and Taiwan Semiconductor Manufacturing Company (TSMC), with concerns of the effect of different settlement procedures. The entire sample period, from September 1998 to December 2004, is divided into two sub-samples according to the settlement procedures.
The main findings are as follows: (i) Expiration day effects mainly stem from the expiration of the MSCI-TW futures rather than the TX. (ii) There are significant price reversal, volatility and abnormal volume on the expiration of the MSCI-TW futures, with the expiration day effects becoming much more significant following the adoption of the 5-minute closing call procedure by the Taiwan Stock Exchange Corporation (TSEC). Evidence suggests that any call auction design which fails to consider order imbalances will have a direct impact on the efficiency of call auction prices; accordingly, more significant expiration day effects exist. (iii) Using an average price settlement based on a longer period would mitigate expiration day effects much better than a closing price settlement. Given the different settlement methods between the TAIFEX and SGX, the analysis of the expiration day effects for both markets should be particularly informative in terms of guiding the mechanism design for the emerging derivatives markets.
In the third essay, we use sum of square 5-minute return of the TAIEX to calculate the realized volatility (RV), and conduct univariate and encompassing regressions to compare the relative performance perform of various volatility models based on 5-, 10-, 15- and 20-day forecast horizons over the life of the TAIEX options (TXO) during the period from 2001 to 2005, emphasizing in comparing the relative forecast ability and implied information content between the model-free implied volatility (MF-IV) and the Black-Scholes implied volatility (BS-IV). Evidences show that the MF-IV, which considers all strike prices instead of a single price, outperforms the BS-IV. It is worth noting that the MF-IV is informational efficiency and subsumes all information contained in the historical volatility (HV) and GARCH (1,1) in forecasting future RV on weekly horizon over the life of the TXO contract. For emerging derivative market such as Taiwan equity market, the effects of market friction may cause the BS-IV model to be mis-pecified. The findings of this essay provide investors with alternative IV measure for making their investment strategy in Taiwan options market.
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