:::

詳目顯示

回上一頁
題名:發行相同標的股票多檔權證其報酬率與波動性之互動關係--以臺灣權證市場為例
書刊名:臺灣銀行季刊
作者:楊雪蘭 引用關係
出版日期:2004
卷期:55:2
頁次:頁237-264
主題關鍵詞:認購權證累加避險量雙變量AR(1)-GARCH(1,1)互動模式波動性
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(1) 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:1
  • 共同引用共同引用:12
  • 點閱點閱:1
本研究採用雙變量AR(1)-GRACH(1,1)條件式互動模型,探討券商發行相同標的股票多檔權證的影響。自1998年至2001年,在臺灣權證市場中有41檔已下市權證標的集中於六家公司,本文設計累加避險量為變數,以降低因為各券商避險需求所產生標的股票或權證異常交易量所帶來的誤差,藉以釐清發行相同標的股票多檔權證其報酬率與波動性之間真實存在的互動關係。 在研究期內,實證結果指出權證(標的股票)報酬率前一期對當期有顯著影響者多數呈反向變動的關係。而兩種證券報酬率彼此之間則多半無顯著影響;此外,無論對標的股票或權證報酬率而言,當期大盤報酬率均有顯著正向影響,或許是個可用的預變數。另一方面,前項標的股票或權證報酬率的波動性,僅少量隨機地響當期波動性,殘差平方項亦然,或許不需考慮兩種證券報酬率的波動性會產生連動影響的問題。
期刊論文
1.Wei, K. C. John、Chan, Yue-Cheong(2001)。Price and Volume Effects Associated with Derivative Warrant Issuance on the Stock Exchange of Hong Kong。Journal of Banking & Finance,25(8),1401-1426。  new window
2.Granger, C. W. J.、Newbold, P.(1976)。Forecasting Transformed Series。Journal of the Royal Statistical Society. Series B (Methodological),38,189-203。  new window
3.Tai, Chu-Sheng(2001)。A multivariate GARCH in mean approach to testing uncovered interest parity: Evidence from Asia-Pacific foreign exchange markets。The Quarterly Review of Economics and Finance,41(4),441-460。  new window
4.Black, Fischer(1975)。Fact and Fantasy in the Use of Options。Financial Analysts Journal,31(4),36-41+61-72。  new window
5.Ng, Angela(2000)。Volatility Spillover Effects from Japan and the US to the Pacific-Basin。Journal of International Money and Finance,19(2),207-233。  new window
6.王毓敏(20020100)。交易量及波動性之關聯性--臺股認購權證與標的股票之探討。管理評論,21(1),115-136。new window  延伸查詢new window
7.Omran, M. F.、McKenzie, E.(2000)。Heteroscedasticity in Stock Returns Data Revisited: Volume versus GARCH Effects。Applied Financial Economics,10,553-560。  new window
8.曾維德(19981000)。認購權證的發行及交易與標的股票間之相互影響。證券金融,59,25-57。  延伸查詢new window
9.周行一、李怡宗、李志宏、劉玉珍、陳麗雯(20000400)。臺灣證券交易所認購權證價格與標的股票價格關係之研究。證券市場發展,12(1)=45,109-146。new window  延伸查詢new window
10.Theodossion, P.、Kahya, E.、Koutoms, G. A.、Chrisofi, A.(1997)。Volatility Reversion and Correlation Structure of Returns in Major International Stock Markets。The Financial Review,32(2),205-224。  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.Diltz, J. D.、Kim, Suhkyong(1996)。The Relationship between Stock and Option Price Changes。The Financial Review,31(3),499-519。  new window
13.Manaster, S.、Rendleman, R. J. Jr.(1982)。Option Prices as Predictors of Equilibrium Stock Prices。Journal of Finance,37(4),1043-1057。  new window
14.Bekaert, G.、Harvey, C. R.(1997)。Emerging Equity Market Volatility。Journal of Financial Economics,43(1),29-77。  new window
15.Detemple, Jerome、Jorion, Philippe(1990)。Option Listing and Stock Returns: An Empirical Analysis。Journal of Banking and Finance,14,781-801。  new window
16.Alkebäck, P.、Hagelin, N.(1998)。The Impact of Warrant Introductions on the Underlying Stocks, with a Comparison to Stock Options。The Journal of Futures Markets,18,307-328。  new window
17.Becchetti, L.、Caggese, A.(2000)。Effects of Index Option Introduction on Stock Index Volatility: A Procedure for Empirical Testing Based on SSC-GARCH Models。Applied Financial Economics,10,323-341。  new window
18.Conrad, J.(1989)。The Price Effect of Option Introduction。Journal of Finance,44(2),487-498。  new window
19.Hamao, Y.、Masulis, R. W.、Ng, V.(1990)。Correlations in Price Changes and Volatility A cross International Stock Markets。Review of Financial Studies,3,281-307。  new window
20.Malliaropulos, D.(1997)。A Multivariate GARCH Model of Risk Premium in Foreign Exchange Markets。Economic Modelling,14,61-79。  new window
21.Mcleod, A. I.、Li, W. K.(1983)。Diagnostic Checking ARMA Time Series Models Using Squared-Residual Correlations。Journal of Time Series Analysis,4,269-273。  new window
22.Pesaran, B.、Robinson, G.(1993)。The European Exchange Rate Mechanism and the Volatility of the Sterling-Deutschemark Exchange Rate。The Economic Journal,103,1418-1431。  new window
23.Shastri, K.、Sultan, J.、Tandon, K.(1996)。The Impact of the Listing of Options in the Foreign Exchange Market。Journal of International Money and Finance,15(1),37-64。  new window
24.Song, H.、Liu, X.、Romilly, P.(1998)。Stock Returns and Volatility: An Empirical Study of Chinese Stock Markets。International Review of Applied Economics,12(1),129-139。  new window
25.Stucki, T.、Wasserfallen, W.(1994)。Stock and Option Markets: The Swiss Evidence。Journal of Banking and Finance,18,881-893。  new window
26.Watt, W. H.、Yadav, P. K.、Draper, P.(1992)。The Impact of Option Listing on Underlying Stock Returns: The UK Evidence。Journal of Business Finance and Accounting,19(4),485-503。  new window
27.陳苑欽(19981000)。臺股認購權證之評價與其發行對股票波動之影響研究。證券金融,59,89-128。  延伸查詢new window
28.Fama, E. F.(1965)。The behavior of stock market prices。Journal of Business,38(1),34-105。  new window
29.Ljung, Greta M.、Box, George E. P.(1978)。On a Measure of Lack of Fit in Time Series Models。Biometrika,65(2),297-303。  new window
30.Bollerslev, Tim、Chou, Ray Y.、Kroner, Kenneth F.(1992)。ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence。Journal of Econometrics,52(1/2),5-59。  new window
31.Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of the Estimators for Autoregressive Time Series With a Unit Root。Journal of the American Statistical Association,74(366),427-431。  new window
32.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
33.Mandelbrot, Benoit B.(1963)。The Variation of Certain Speculative Prices。The Journal of Business,36(4),394-419。  new window
圖書
1.Haug, E. G.(1997)。The Complete Guide to Option Pricing Formulas。New York, NY:McGraw-Hill Book Co.。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top