多數實證指出發行選擇權（或認購權證）會對標的股票產生價格影響（Harris & Gurel, 1986; Conard, 1989; Detemple & Jorion, 1990; Stucki & Wasserfallen, 1994; Chan & Wei, 2001）。並且Watt, yadav, and Draper (1992)又指出選擇權是標的股票之填充物。根據填充物互補的特性，推論臺灣各券商多次發行標的相同認購權證之現象，或許會對後續發行之認購權報酬率產生影響。 臺灣證券交易所（TAIEX）存在多次發行標的相同之認購權證的現象，本文探討在此現象之下，所有發行券商因應避險需求，形成之累加避險量變動率，對權證報酬率之影響。採用近三年已下市權證資料，並依據券商以Delta值加減碼買賣（持有）其所發行的認購權證及標的股票作為避險部位的假設，逐日計算累加避險量變動率，形成衡量變數，代入單變量與雙變量GARCH (1,1)兩種模式之中，並診斷模式後殘差，以降低估計模式偏誤之問題。結論如下：累加避險量變動率，在單變量模式中，80%以上對權證報酬率有顯著影響；而雙變量GARCH模式則有70%樣本有顯著影響，估計衡量變數之係數值，依各組權證發行時序，多半呈現由強轉弱、或由正轉負的現象。本文建議投資人，或許可以將累加避險量變動率對權證報酬率的影響之實證結果，當作權證市場操盤之參考訊息。

　　　　　The most evidences indicate the price effect from issuing options (or warrants) on the underlying stocks (Harris & Gurel, 1986; Conrad, 1989; Detemple & Jorion, 1990; Stucki & Wasserfallen, 1994; Chan & Wei, 2001). And Watt, Yadav and Draper (1992) also point out that the option complements the stock. It could deduce a conclusion from the character of complements help each other, that the phenomenon of multiple-listed warrants on the same underlying stocks in Taiwan might impact the return of warrants one after another. This paper studies the phenomenon of multiple-listed warrants on the same underlying stocks that has been in TAIEX. For the purpose of hedging needs, all of the securities corporations who issue multiple-listed warrants create the variation percentage of cumulative hedge volumes, which could impact the return of the warrants. The samples of this paper are the warrants that have now been executed nearly three years. The assumption is that dealers trade (hold) the warrants and underlying stocks for hedging needs by the principle of the enlarged or reduced value of Delta. By this assumption, the variation percentage of cumulative hedge volumes have been calculated day by day, use as a measuring variable, is added to two models of one-way and two-way GARCH (1,1). For reducing model errors, the residual from those models have been tested. The conclusions are that the variation percentage of cumulative hedge volumes impact significantly on the return of the warrants almost 80% sample from one-way GARCH model; and almost 70% samples from two-may GARCH model. The greater parts of the coefficients of those measuring variables appear that the effects change strongly (positive) into weakly (negative) by the sequence of issuing multiple-listed warrants on the same underlying stocks. These results suggest that investors to trade warrants might reference the effect of the variation percentage of cumulative hedge volumes on the return of the warrants.