台灣權證市場及權證價格分析與探討;Taiwan warrant market and warrant price Analysis

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Title:	台灣權證市場及權證價格分析與探討;Taiwan warrant market and warrant price Analysis
Authors:	鄧佳青;Teng,Chia-Ching
Contributors:	財務金融學系
Keywords:	權證;權證價格
Date:	2016-07-01
Issue Date:	2016-10-13 13:50:27 (UTC+8)
Publisher:	國立中央大學
Abstract:	台灣權證發展從民國86年9月至今已第19年，據2015年1月統計資料顯示權證市場規模為亞洲第二、全球第六，對於台灣權證市場的研究也蓬勃發展，許多研究指出權證市價與理論價格有顯著的差異。但並無針對此價格差異進一步說明。本篇研究樣本以台灣經濟新報資料庫中的衍生性金融商品資料庫為主，取得2013-2015年台灣發行之指數型權證、台灣五十成分股為標的之權證作為研究對象，首先針對權證價格是否為公平定價進行檢測，結果發現權證市價皆不為公平定價，價格皆有溢價的情形產生，因此本研究第二部分去探討台灣八大發行商發行權證溢價的幅度，以交易量較高的台灣五十成分股為研究對象，並以統計方法進一步探討溢價的成因，透過此研究可作為投資人投資權證的篩選方法之一。;The Taiwan warrant market began in 1997, it has been 19 years. According to a January, 2015 market statistical data, Taiwan warrant market are second largest in Asian, sixth largest in global. For Taiwan warrant market research is also booming. Many research indicated that warrant market price is significantly different from theoretical price. However, there is limited explanation for the difference. This study sample is from TEJ data base of derivative financial products including 2013-2015 Taiwan index warrants, Taiwan top 50 index constituent stock warrants. This study firstly focuses on is warrant price fairly priced. The result shows that warrant price is not fairly priced. Second, this paper studies on the warrant price premium of Taiwan top 50 index constituent stock warrants and use regression to further explore the causes of premium. Through this study can be used as reference for investment.
Appears in Collections:	[Graduate Institute of Finance] Electronic Thesis & Dissertation

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