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題名：臺股認購權證與標的股票交易量及資訊不對稱對於波動性之影響
書刊名：風險管理學報
作者：王毓敏／陳正佑 引用關係
作者(外文)：Wang, Yu-min／Chen, Cheng-yu
出版日期：2001
卷期：3:1
頁次：頁49-69
主題關鍵詞：ARIMA模型；GARCH模型；預期交易量；非預期交易量；資訊不對稱；ARIMA model；GARCH model；Expected trading volume；Unexpected trading volume；Information asymmetric
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(4) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:2
  • 共同引用共同引用:46
  • 點閱點閱:32
　　　　　本文以ARIMA（p,0,q）模型將交易量分為預期與非預期交易量，再以GARCH (1,1)-M模型說明臺股認購權證與標的股票交易量及資訊不對稱對於波動性的影響，綜合實證結果，可以歸納為以下幾點結論：(1)投資人承擔標的股票或認購權證投資風險，並未完全得到相對應的補償；(2)標的股票（認購權證）交易量愈大時，標的股票（認購權證）的波動性愈大；(3)標的股票交易量對於權證波動性有較大的影響，特別是預期的標的股票交易量愈大時，會提高權證的波動性；(4)資訊不對稱會影響波動性， 但其影響程度會因標的股票與權證的不同而有所差異。
　　　　　This paper partitions each trading volume series into expected and unexpected components based on the parameters estimated from ARIMA (p,0,q) model. Using GARCH (1,1)-M model, we investigate the effect of trading volume and information asymmetric on volatility of Taiwan warrants and underlying stocks. In this paper, the conclusions can be summarized as follows: (1)The risk of underlying stocks and warrants has not raised the holders to require risk premium for compensation. (2)The greater trading volume of underlying stocks (warrants) is associated with greater volatility of underlying stocks (warrants). (3)The trading volume of underlying stocks in explaining the conditional volatilities of warrants is significance. We also find that expected trading volume of underlying stocks contributes to enhanced volatility of warrants. (4)The information asymmetric has different effects on volatility for different underlying stocks and warrants.
期刊論文
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9.黃玉娟(19990100)。報酬與波動性動態關聯之研究--摩根臺股指數與指數期貨之探討。Proceedings of the National Science Council. Part C, Humanities and Social Sciences，9(1)，153-162。  延伸查詢new window
10.Aggarwal, R.(1988)。Stock Index Futures And Cash Market Volatility。Review of Futures Markets，7，290-299。  new window
11.Anthony, Joseph H.(1988)。The Interrelation of Stock and Options Market Trading-volume Data。The Journal of Finance，43(4)，949-964。  new window
12.Antoniou, Antonios、Holmes, Phil、Priestley, Richard(1998)。The Effects of Stock Index Futures Trading on Stock Index Volatility: An Analysis of the Asymmetric Response of Volatility to News。Journal of Futures Markets，18(2)，151-166。  new window
13.Damodaran, A.(1990)。Index Futures and Stock Market Volatility。Review of Futures Markets，9，442-457。  new window
14.Danthine, J. P.(1978)。Information, futures prices, and stabilizing speculation。Journal of Economics Theory，17(1)，79-98。  new window
15.Diltz, J. D.、Kim, Suhkyong(1996)。The Relationship between Stock and Option Price Changes。The Financial Review，31(3)，499-519。  new window
16.Grossman, S. J.(1988)。An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies。Journal of Business，61(3)，275-298。  new window
17.Hart, Oliver D.、Kreps, David M.(1986)。Price Destabilizing Speculation。Journal of Political Economy，94(5)，927-952。  new window
18.Lee, Sang Bin、Ohk, Ki Yool(1992)。Stock Index Futures Listing and Structural Change in Time-Varying Volatility。Journal of Futures Markets，12(5)，493-509。  new window
19.Lee, J. H.、Linn, S. C.(1994)。Intraday And Overnight Volatility Of Stock Index And Stock Index Futures Returns。Review of Futures Markets，13，1-30。  new window
20.Manaster, S.、Rendleman, R. J. Jr.(1982)。Option Prices as Predictors of Equilibrium Stock Prices。Journal of Finance，37(4)，1043-1057。  new window
21.Min, Jae Hoon、Najand, Mohammad(1999)。A Further Investigation of the Lead-lag Relationship Between the Spot Market and Stock Index Futures: Early Evidence from Korea。Journal of Futures Markets，19(2)，217-232。  new window
22.Park, Tae H.、Switzer, Lorne N.、Bedrossian, Robert(1999)。The interactions between trading volume and volatility: Evidence from the equity options markets。Applied Financial Economics，9(6)，627-637。  new window
23.Stein, J. C.(1987)。Informational externalities and welfare-reducing speculation。Journal of Political Economy，95(6)，1123-1145。  new window
24.De Jong, Frank、Donders, Monique W. M.(1998)。Intraday Lead-Lag Relationships Between the Futures-, Options and Stock Market。European Finance Review，1(3)，337-359。  new window
25.Figlewski, S.(1981)。Futures trading and volatility in the GNMA market。The Journal of Finance，36(2)，445-456。  new window
26.Hentschel, L.(1995)。All in the Family Nesting Symmetric and Asymmetric GARCH Models。Journal of Financial Economics，39，71-104。  new window
27.Karpoff, Jonathan M.(1987)。The Relation between Price Changes and Trading Volume: A Survey。Journal of Financial and Quantitative Analysis，22(1)，109-126。  new window
28.王甡(19950100)。報酬衝擊對條件波動所造成之不對稱效果--臺灣股票市場之實證分析。證券市場發展，7(1)=25，125-161。new window  延伸查詢new window
29.Braun, P. A.、Nelson, D. B.、Sunier, A. M.(1995)。Good News, Bad News, Volatility, and Betas。Journal of Finance，50(5)，1575-1603。  new window
30.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics，31(3)，307-327。  new window
31.Chan, Kalok、Chan, K. C.、Karolyi, G. Andrew(1991)。Intraday Volatility in the Stock Index and Stock Index Futures Markets。The Review of Financial Studies，4(4)，657-684。  new window
32.Campbell, John Y.、Hentschel, Ludger(1992)。No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns。Journal of Financial Economics，31(3)，281-318。  new window
33.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society，59(2)，347-370。  new window
34.Kyle, Albert S.(1985)。Continuous auctions and insider trading。Econometrica，53(6)，1315-1335。  new window
會議論文
1.王毓敏、黃昭祥、林苑宜(2000)。台股認購權證的價量關係。2000年亞太金融中心研討會。高雄：義守大學。  延伸查詢new window
學位論文
1.彭美苓(1997)。備兌型認股權證的發行對台灣現貨股票市場績效之影響(碩士論文)。國立中山大學。  延伸查詢new window
圖書
1.Friedman, Milton(1953)。Essays in Positive Economics。Chicago, Illinois：University of Chicago Press。  new window
2.Salant, S. W.(1984)。Profitable Speculation, Price Stability and Welfare。Mimeographed, Ann Arbor：University of Michigan。  new window
 
 
 
 
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