| 姓名 |
廖唯均(Wei-Chun Liao)
查詢紙本館藏 |
畢業系所 |
財務金融學系 |
| 論文名稱 |
權證對標的股價的預測性-以臺灣市場為例
(The predictability of warrants against underlying stock prices - taking the Taiwan market as an example)
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| 相關論文 | |
| 檔案 |
 [Endnote RIS 格式]
[Bibtex 格式]
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| 摘要(中) |
本研究旨在檢測權證成交量是否對標的股價具有預測性以及方向性。在將認購權證與認售權證細分為買認購權證、賣認購權證、買認售權證、賣認售權證後本研究發現買認購權證成交量、淨認購權證成交量、總認購權證成交量皆具有良好的多方預測能力，其中以淨認購權證成交量之預測能力最佳; 買認售權證成交量、賣認售權證成交量、總認售權證成交量皆具有良好的空方預測能力，其中以總認售權證成交量之預測能力最強。
確立權證對標的股價具有預測性以及方向性後，本研究以權證成交量建立多方策略以及空方策略並獲得以下兩個結果，第一，權證所含的資訊為中短線資訊，以權證做為籌碼分析之策略僅適合偏中短線之交易，不適合長線交易。第二，此多方策略具有規模效果，市值越小的組別效果越好。
根據本研究的結果，權證成交量確實含有一定的資訊量且可以用來作為標的股票之籌碼分析，且經過更進一步的檢測後發現以權證成交量搭配標的股票之籌碼面資料建立策略將會帶來更高的獲利。 |
| 摘要(英) |
This research aims to test whether the trading volume of warrants is predictive and directional to the underlying stock price. After subdividing call warrants and put warrants into buy call warrants, sell call warrants, buy call warrants, and sell call warrants, this study found that the volume of buying call warrants, the volume of net call warrant, and the total volume of call warrants all have good long-side forecasting ability, among which the volume of net call warrants has the best forecasting ability; the buying call warrants volume, the selling call warrants trading volume, and the total call warrants trading volume all have good short-side forecasting capabilities. The forecasting ability of the total trading volume of warrants is the strongest.
After establishing that the warrants are predictive and directional against the underlying stock price, this research uses the trading volume of the warrants to establish a long-side strategy and a short-side strategy, and obtains the following two results. First, the information contained in the warrant is short- and medium-term information, and the warrant is used as the short-term information. The strategy of chip analysis is only suitable for short-term and medium-term trading. Second, this long-side strategy has a size effect, and the smaller the market value, the better the effect.
According to the results of this research, the warrant trading volume does contain a certain amount of information and can be used as a bargaining chip analysis of the underlying stock. After further testing, it is found that the bargaining data creation strategy of matching the trading volume of the warrant with the underlying stock will bring the higher profits. |
| 關鍵字(中) |
★ 權證
★ 策略 |
關鍵字(英) |
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| 論文目次 |
摘要 i
Abstract ii
目錄 iii
圖目錄 iv
表目錄 v
第一章 緒論 1
1-1 權證市場及權證特性 1
1-2 研究目的 3
第二章 文獻回顧 5
第三章 資料 7
3-1 資料來源 7
3-2 樣本選擇 7
第四章 權證市場預測標的股價的能力 8
4-1 指標建立 8
4-2 指標檢測結果 9
4-2-1 成交量 10
4-2-2 成交值 15
4-2-3 加入限制條件 19
4-2-4 指標效果的延續性 23
第五章 多方策略 28
5-1 策略建立 28
5-2 多方策略結果 30
第六章 空方策略 36
6-1 策略建立 36
6-2 空方指標結果 37
第七章 結論 42
參考文獻 43 |
| 參考文獻 |
Chang, C.-C., P.-F. Hsieh and H.-N. Lai (2009). "Do informed option investors predict stock returns? Evidence from the Taiwan stock exchange." Journal of Banking & Finance 33(4): 757-764.
Chung, S.-L., W.-R. Liu and W.-C. Tsai (2014). "The impact of derivatives hedging on the stock market: Evidence from Taiwan’s covered warrants market." Journal of Banking & Finance 42: 123-133.
Hu, J. (2014). "Does option trading convey stock price information?" Journal of Financial Economics 111(3): 625-645.
Lee, J. and C. H. Yi (2001). "Trade size and information-motivated trading in the options and stock markets." Journal of Financial and Quantitative Analysis: 485-501.
Pan, J. and A. M. Poteshman (2006). "The information in option volume for future stock prices." The Review of Financial Studies 19(3): 871-908.
Pearson, N. D., A. M. Poteshman and J. S. White (2007). Does option trading have a pervasive impact on underlying stock prices? AFA 2008 New Orleans Meetings Paper. |
| 指導教授 |
吳庭斌
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審核日期 |
2021-8-17 |
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